fixed tests

finmath · Oct 23, 2023 · 901e123 · 901e123
1 parent 99a81ba
commit 901e123
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Showing 2 changed files with 134 additions and 2 deletions.
diff --git a/src/test/java/net/finmath/smartcontract/product/xml/PlainSwapEditorHandlerTests.java b/src/test/java/net/finmath/smartcontract/product/xml/PlainSwapEditorHandlerTests.java
@@ -0,0 +1,132 @@
+package net.finmath.smartcontract.product.xml;
+
+import com.fasterxml.jackson.databind.ObjectMapper;
+import com.fasterxml.jackson.databind.json.JsonMapper;
+import com.fasterxml.jackson.datatype.jsr310.JavaTimeModule;
+import net.finmath.smartcontract.client.ValuationClient;
+import net.finmath.smartcontract.model.*;
+import net.finmath.smartcontract.product.xml.PlainSwapEditorHandler;
+import net.finmath.smartcontract.valuation.MarginCalculator;
+import org.junit.jupiter.api.Assertions;
+import org.junit.jupiter.api.Test;
+import org.springframework.boot.test.autoconfigure.json.AutoConfigureJson;
+import org.springframework.boot.test.autoconfigure.json.AutoConfigureJsonTesters;
+import org.springframework.core.io.ClassPathResource;
+
+import java.io.File;
+import java.nio.charset.StandardCharsets;
+import java.time.LocalDateTime;
+import java.time.Month;
+import java.time.OffsetDateTime;
+import java.time.ZoneOffset;
+
+@AutoConfigureJsonTesters // manually re-enable Spring Jackson auto-config
+@AutoConfigureJson
+public class PlainSwapEditorHandlerTests {
+
+	@Test
+	void handlerTest() throws java.lang.Exception {
+
+		final String generatorFile = "generators/eur_euribor_y_s_with_fixings.xml";
+		final String schemaPath = "schemas/sdc-schemas/sdcml-contract.xsd";
+
+		PlainSwapOperationRequest request = generateRequest(generatorFile);
+
+		PlainSwapEditorHandler handler =new PlainSwapEditorHandler(request,request.getCurrentGenerator(),schemaPath);
+
+		String product = handler.getContractAsXmlString();
+
+		final String marketData = new String(ValuationClient.class.getClassLoader().getResourceAsStream("net.finmath.smartcontract.client/md_testset_with_fixings.json").readAllBytes(), StandardCharsets.UTF_8);
+
+		MarginCalculator marginCalculator = new MarginCalculator();
+		ValueResult valuationResult = marginCalculator.getValue(marketData, product);
+
+		double value = valuationResult.getValue().doubleValue();
+
+		Assertions.assertEquals(-549726.34, value, 0.005, "Valuation");
+		System.out.println(valuationResult);
+
+
+
+	}
+
+	private PlainSwapOperationRequest generateRequest(String currentGeneratorFile) throws java.lang.Exception {
+
+
+		ObjectMapper objectMapper = JsonMapper.builder()
+				.addModule(new JavaTimeModule())
+				.build();
+
+		final String fullSymbolListFromTemplate = new ClassPathResource(
+				"references" + File.separator + "template2_symbolslist.json").getContentAsString(
+				StandardCharsets.UTF_8);
+
+		final Counterparty firstCounterparty = new Counterparty().baseUrl("aaa").bicCode("ABCDXXXX")
+				.fullName("PartyDoubleTest");
+		final PaymentFrequency floatingPaymentFrequency = new PaymentFrequency().period("M").periodMultiplier(6)
+				.fullName("Semiannual");
+		final PaymentFrequency fixedPaymentFrequency = new PaymentFrequency().period("Y").periodMultiplier(1)
+				.fullName("Annual");
+		final Counterparty secondCounterparty = new Counterparty().baseUrl("bbb").bicCode("EFDGXXXX")
+				.fullName("PartyTest");
+		final PlainSwapOperationRequest plainSwapOperationRequest = new PlainSwapOperationRequest().firstCounterparty(
+						firstCounterparty).secondCounterparty(secondCounterparty).marginBufferAmount(30000.0)
+				.terminationFeeAmount(
+						10000.0)
+				.currency("EUR")
+				.tradeDate(		//2022-09-07
+						OffsetDateTime.of(
+								LocalDateTime.of(
+										2022,
+										Month.SEPTEMBER,
+										05,
+										14,
+										35),
+								ZoneOffset.UTC))
+				.effectiveDate(
+						OffsetDateTime.of(
+								LocalDateTime.of(
+										2022,
+										Month.SEPTEMBER,
+										7,
+										14,
+										35),
+								ZoneOffset.UTC))
+				.terminationDate(
+						OffsetDateTime.of(
+								LocalDateTime.of(
+										2032,
+										Month.FEBRUARY,
+										7,
+										14,
+										35),
+								ZoneOffset.UTC))
+				.fixedPayingParty(
+						secondCounterparty)
+				.floatingPayingParty(
+						firstCounterparty)
+				.fixedRate(3.95)
+				.fixedDayCountFraction(
+						"30E/360")
+				.fixedPaymentFrequency(
+						fixedPaymentFrequency)
+				.floatingRateIndex(
+						"EURIBOR 6M")
+				.floatingDayCountFraction(
+						"ACT/360")
+				.floatingFixingDayOffset(
+						-2)
+				.floatingPaymentFrequency(
+						floatingPaymentFrequency)
+				.notionalAmount(
+						10000000.00)
+				.valuationSymbols(
+						objectMapper.readerForListOf(
+										FrontendItemSpec.class)
+								.readValue(
+										fullSymbolListFromTemplate))
+				.currentGenerator(currentGeneratorFile);
+
+		return plainSwapOperationRequest;
+	}
+}
diff --git a/src/test/java/net/finmath/smartcontract/valuation/MarginCalculatorTest.java b/src/test/java/net/finmath/smartcontract/valuation/MarginCalculatorTest.java
@@ -28,15 +28,15 @@ void testMargin() throws Exception {
 
 	@Test
 	void testValue() throws Exception {
-		final String marketData = new String(ValuationClient.class.getClassLoader().getResourceAsStream("net.finmath.smartcontract.client/md_testset2.json").readAllBytes(), StandardCharsets.UTF_8);
+		final String marketData = new String(ValuationClient.class.getClassLoader().getResourceAsStream("net.finmath.smartcontract.client/md_testset_with_fixings.json").readAllBytes(), StandardCharsets.UTF_8);
 		final String product = new String(ValuationClient.class.getClassLoader().getResourceAsStream("net.finmath.smartcontract.product.xml/smartderivativecontract.xml").readAllBytes(), StandardCharsets.UTF_8);
 
 		MarginCalculator marginCalculator = new MarginCalculator();
 		ValueResult valuationResult = marginCalculator.getValue(marketData, product);
 
 		double value = valuationResult.getValue().doubleValue();
 
-		Assertions.assertEquals(936312.49, value, 0.005, "Valuation");
+		Assertions.assertEquals(582165.72, value, 0.005, "Valuation");
 		System.out.println(valuationResult);
 	}
 }