Merge pull request #101 from Julius278/feature/634_fix

SDC-634, fix for including multiple fixings
finmath · Nov 4, 2024 · 6531078 · 6531078
2 parents 265cd1a + 13615e1
commit 6531078
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Showing 2 changed files with 50 additions and 8 deletions.
diff --git a/src/main/java/net/finmath/smartcontract/valuation/service/utils/SettlementService.java b/src/main/java/net/finmath/smartcontract/valuation/service/utils/SettlementService.java
@@ -213,16 +213,15 @@ private void includeFixingsOfLastSettlement(RegularSettlementRequest regularSett
 
 		//matching symbols from product data xml to last settlement xml marketdataPoints
 		Settlement settlementLast = SDCXMLParser.unmarshalXml(regularSettlementRequest.getSettlementLast(), Settlement.class);
-		List<MarketDataPoint> marketDataPointsLastSettlement = settlementLast.getMarketData().getPoints().stream().filter(marketDataPoint -> {
-			for (String symbol : symbols) {
-				if (marketDataPoint.getId().equalsIgnoreCase(symbol)) return true;
-			}
-			return false;
-		}).findAny().stream().toList();
+		List<MarketDataPoint> fixingsLastSettlement = new ArrayList<>();
+		symbols.forEach(s -> settlementLast.getMarketData().getPoints().forEach(marketDataPoint -> {
+			if (marketDataPoint.getId().equalsIgnoreCase(s))
+				fixingsLastSettlement.add(marketDataPoint);
+		}));
 
 		//add matching marketdataPoints to the new marketdata
-		logger.info("add matching marketdataPoints to product symbols: {}", marketDataPointsLastSettlement);
-		for (MarketDataPoint marketDataPoint : marketDataPointsLastSettlement) {
+		logger.info("add matching marketdataPoints to product symbols: {}", fixingsLastSettlement);
+		for (MarketDataPoint marketDataPoint : fixingsLastSettlement) {
 			newMarketDataList.add(marketDataPoint);
 		}
 	}

diff --git a/src/test/java/net/finmath/smartcontract/valuation/service/utils/SettlementServiceTest.java b/src/test/java/net/finmath/smartcontract/valuation/service/utils/SettlementServiceTest.java
@@ -113,4 +113,47 @@ void generateRegularSettlement_includes_FixingOfLastSettlement() throws IOExcept
 		assertTrue(settlementString.contains("<settlementType>REGULAR</settlementType>"));
 	}
 
+	@Test
+	void generateRegularSettlement_includes_FixingOfLastSettlement_twice() throws IOException {
+		String settlementLast = new String(SettlementServiceTest.class.getClassLoader().getResourceAsStream("net/finmath/smartcontract/valuation/client/settlement_testset_initial_historical.xml").readAllBytes(), StandardCharsets.UTF_8);
+
+		InputStream inputStream = SettlementServiceTest.class.getClassLoader().getResourceAsStream("net.finmath.smartcontract.product.xml/smartderivativecontract_simulated_historical_marketdata.xml");
+		String productXml = new String(inputStream.readAllBytes());
+
+		when(valuationConfig.getLiveMarketDataProvider()).thenReturn("internal");
+		when(valuationConfig.getInternalMarketDataProvider()).thenReturn("internal");
+		when(valuationConfig.isLiveMarketData()).thenReturn(false);
+		when(valuationConfig.getProductFixingType()).thenReturn("Fixing");
+
+
+		//first regular settlement request
+		RegularSettlementRequest regularSettlementRequest = new RegularSettlementRequest()
+				.settlementLast(settlementLast)
+				.tradeData(productXml);
+
+		RegularSettlementResult regularSettlementResult = serviceUnderTest.generateRegularSettlementResult(regularSettlementRequest);
+		String settlementString = regularSettlementResult.getGeneratedRegularSettlement();
+		System.out.println("first regular settlementString");
+		System.out.println(settlementString);
+
+		//second regular settlement request
+		RegularSettlementRequest secondSettlementRequest = new RegularSettlementRequest()
+				.settlementLast(regularSettlementResult.getGeneratedRegularSettlement())
+				.tradeData(productXml);
+		RegularSettlementResult secondSettlementResult = serviceUnderTest.generateRegularSettlementResult(secondSettlementRequest);
+
+		settlementString = secondSettlementResult.getGeneratedRegularSettlement();
+		System.out.println("second regular settlementString");
+		System.out.println(settlementString);
+
+		//fixing from initial settlement
+		assertTrue(settlementString.contains("<id>EUB6FIX6M</id><value>0.0521</value><timeStamp>20080917-170000</timeStamp>"));
+		//fixing first settlement request
+		assertTrue(settlementString.contains("<id>EUB6FIX6M</id><value>0.0484</value><timeStamp>20080502-170000</timeStamp>"));
+		//fixing second settlement request
+		assertTrue(settlementString.contains("<id>EUB6FIX6M</id><value>0.0484</value><timeStamp>20080505-170000</timeStamp>"));
+		assertTrue(settlementString.contains("<settlementNPV>72349.58</settlementNPV>"));
+		assertTrue(settlementString.contains("<settlementType>REGULAR</settlementType>"));
+	}
+
 }