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SDC-539, create initial/regular settlement with provided marketData #111

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merged 4 commits into from
Dec 13, 2024
Merged

SDC-539, create initial/regular settlement with provided marketData #111

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47819ff
SDC-539, added possibility to add own/custom marketData, if e.g. mark…
Julius278 Oct 25, 2024
3a30d22
SDC-539, added missing md_historical
Julius278 Oct 25, 2024
5901d6b
Merge remote-tracking branch 'origin/feature/539' into feature/539
Julius278 Dec 13, 2024
7d41e3d
SDC-539, small fix for marginValue format in test
Julius278 Dec 13, 2024
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63 changes: 52 additions & 11 deletions src/main/java/net/finmath/smartcontract/valuation/service/utils/SettlementService.java
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Original file line number Diff line number Diff line change
Expand Up @@ -23,12 +23,18 @@
import java.time.LocalDateTime;
import java.time.ZonedDateTime;
import java.time.format.DateTimeFormatter;
import java.util.*;
import java.util.ArrayList;
import java.util.List;
import java.util.Map;
import java.util.Optional;
import java.util.Properties;
import java.util.concurrent.atomic.AtomicReference;

@Service
public class SettlementService {
private static final Logger logger = LoggerFactory.getLogger(SettlementService.class);
public static final String NEW_MARKET_DATA_STRING = "{} - newMarketDataString: {}";
public static final String SETTLEMENT_REQUEST_INFO = "{} - sdc trade id: {}, product marketdata provider: {}, valuation service marketdata provider: {}";

private final MarginCalculator marginCalculator = new MarginCalculator();

Expand All @@ -45,13 +51,24 @@ public SettlementService(RefinitivConfig refinitivConfig, ValuationConfig valuat
public RegularSettlementResult generateRegularSettlementResult(RegularSettlementRequest regularSettlementRequest) {
logger.info("Generating regular settlement result, liveData: {}, now parsing trade data", valuationConfig.isLiveMarketData());
SmartDerivativeContractDescriptor sdc = parseProductData(regularSettlementRequest.getTradeData());
logger.info("generateRegularSettlementResult - sdc trade id: {}, product marketdata provider: {}, valuation service marketdata provider: {}", sdc.getDltTradeId(), sdc.getMarketDataProvider(), valuationConfig.getLiveMarketDataProvider());
MarketDataList newMarketDataList = retrieveMarketData(sdc);
includeFixingsOfLastSettlement(regularSettlementRequest, newMarketDataList);
String newMarketDataString = SDCXMLParser.marshalClassToXMLString(newMarketDataList);
logger.info(SETTLEMENT_REQUEST_INFO, "generateRegularSettlementResult", sdc.getDltTradeId(), sdc.getMarketDataProvider(), valuationConfig.getLiveMarketDataProvider());

String newMarketDataString;

if (regularSettlementRequest.getNewProvidedMarketData() == null) {
MarketDataList newMarketDataList = retrieveMarketData(sdc);
includeFixingsOfLastSettlement(regularSettlementRequest, newMarketDataList);
newMarketDataString = SDCXMLParser.marshalClassToXMLString(newMarketDataList);
} else {
logger.info("provided custom marketData per string in regularSettlementRequest");
newMarketDataString = regularSettlementRequest.getNewProvidedMarketData();
checkMarketDataString(newMarketDataString);
logger.info("provided marketData in regularSettlementRequest passed the marketData check");
}
logger.info(NEW_MARKET_DATA_STRING, "generateRegularSettlementResult", newMarketDataString);

Settlement settlementLast = SDCXMLParser.unmarshalXml(regularSettlementRequest.getSettlementLast(), Settlement.class);
String marketDataLastString = SDCXMLParser.marshalClassToXMLString(settlementLast.getMarketData());
logger.info("generateRegularSettlementResult - newMarketDataString: {}", newMarketDataString);

// TODO Using now here is a bit strange in the unit test. Results will vary.
ZonedDateTime settlementTimeNext = ZonedDateTime.now().plusDays(1);
Expand Down Expand Up @@ -85,10 +102,19 @@ public RegularSettlementResult generateRegularSettlementResult(RegularSettlement
public InitialSettlementResult generateInitialSettlementResult(InitialSettlementRequest initialSettlementRequest) {
logger.info("Generating initial settlement result, liveData: {}, now parsing trade data", valuationConfig.isLiveMarketData());
SmartDerivativeContractDescriptor sdc = parseProductData(initialSettlementRequest.getTradeData());
logger.info("generateInitialSettlementResult- sdc trade id: {}, product marketdata provider: {}, valuation service marketdata provider: {}", sdc.getDltTradeId(), sdc.getMarketDataProvider(), valuationConfig.getLiveMarketDataProvider());
MarketDataList newMarketDataList = retrieveMarketData(sdc);
String newMarketDataString = SDCXMLParser.marshalClassToXMLString(newMarketDataList);
logger.debug("generateInitialSettlementResult- newMarketDataString: {}", newMarketDataString);
logger.info(SETTLEMENT_REQUEST_INFO, "generateInitialSettlementResult", sdc.getDltTradeId(), sdc.getMarketDataProvider(), valuationConfig.getLiveMarketDataProvider());
String newMarketDataString;

if (initialSettlementRequest.getNewProvidedMarketData() == null) {
MarketDataList newMarketDataList = retrieveMarketData(sdc);
newMarketDataString = SDCXMLParser.marshalClassToXMLString(newMarketDataList);
} else {
logger.info("provided custom marketData per string in initialSettlementRequest");
newMarketDataString = initialSettlementRequest.getNewProvidedMarketData();
checkMarketDataString(newMarketDataString);
logger.info("provided marketData in initialSettlementRequest passed the marketData check");
}
logger.info(NEW_MARKET_DATA_STRING, "generateInitialSettlementResult", newMarketDataString);

ZonedDateTime settlementTimeNext = ZonedDateTime.now().plusDays(1);

Expand All @@ -115,6 +141,21 @@ public InitialSettlementResult generateInitialSettlementResult(InitialSettlement
.valuationDate(LocalDateTime.now().format(DateTimeFormatter.ofPattern("yyyyMMdd-HHmmss")));
}

/**
* checks the format of a providedMarketDataString, if not valid it will throw an exception
* @param newMarketDataString XML marketDataList as string
*/
private void checkMarketDataString(String newMarketDataString) {
try {
SDCXMLParser.unmarshalXml(newMarketDataString, MarketDataList.class);
} catch (SDCException e){
logger.error("MarketDataString is invalid, error while unmarshalling string: " + newMarketDataString, e);
throw new SDCException(ExceptionId.SDC_XML_PARSE_ERROR, "provided MarketDataString is invalid, please check input", 400);
} catch (Exception e) {
logger.error("unknown error recognized while unmarshalling string: " + newMarketDataString, e);
throw e;
}
}

private static SmartDerivativeContractDescriptor parseProductData(String tradeData) {
try {
Expand Down Expand Up @@ -205,7 +246,7 @@ private void includeFixingsOfLastSettlement(RegularSettlementRequest regularSett
.findAny();
List<String> symbols;

if(symbolsOptional.isPresent()) {symbols = symbolsOptional.get().getSymbol();}
if (symbolsOptional.isPresent()) {symbols = symbolsOptional.get().getSymbol();}
else {
logger.warn("no Fixings found in SDC product data XML, marketDataList not changed");
return;
Expand Down
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