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ContractTerms.hs
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ContractTerms.hs
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{-# LANGUAGE DeriveAnyClass #-}
{-# LANGUAGE DeriveGeneric #-}
{-# LANGUAGE DerivingStrategies #-}
{-# LANGUAGE FlexibleInstances #-}
{-# LANGUAGE OverloadedStrings #-}
{-# LANGUAGE RecordWildCards #-}
{-# LANGUAGE TypeSynonymInstances #-}
module Language.Marlowe.ACTUS.Definitions.ContractTerms where
import Data.Aeson.Types (FromJSON, ToJSON)
import Data.Maybe (fromMaybe)
import Data.Time (Day, LocalTime)
import GHC.Generics (Generic)
import qualified Language.Marlowe as Marlowe (Observation, Value)
-- |ContractType
data CT = PAM -- ^ Principal at maturity
| LAM -- ^ Linear amortizer
| NAM -- ^ Negative amortizer
| ANN -- ^ Annuity
| STK -- ^ Stock
| OPTNS -- ^ Option
| FUTUR -- ^ Future
deriving stock (Show, Read, Eq, Generic)
deriving anyclass (FromJSON, ToJSON)
-- |ContractRole
data CR = CR_RPA -- ^ Real position asset
| CR_RPL -- ^ Real position liability
| CR_CLO -- ^ Role of a collateral
| CR_CNO -- ^ Role of a close-out-netting
| CR_COL -- ^ Role of an underlying to a collateral
| CR_LG -- ^ Long position
| CR_ST -- ^ Short position
| CR_BUY -- ^ Protection buyer
| CR_SEL -- ^ Protection seller
| CR_RFL -- ^ Receive first leg
| CR_PFL -- ^ Pay first leg
| CR_RF -- ^ Receive fix leg
| CR_PF -- ^ Pay fix leg
deriving stock (Show, Read, Eq, Generic)
deriving anyclass (FromJSON, ToJSON)
-- |DayCountConvention
data DCC = DCC_A_AISDA -- ^ Actual/Actual ISDA
| DCC_A_360 -- ^ Actual/360
| DCC_A_365 -- ^ Actual/365
| DCC_E30_360ISDA -- ^ 30E/360 ISDA
| DCC_E30_360 -- ^ 30E/360
| DCC_B_252 -- ^ Business / 252
deriving stock (Show, Read, Eq, Generic)
deriving anyclass (FromJSON, ToJSON)
-- |EndOfMonthConvention
data EOMC = EOMC_EOM -- ^ End of month
| EOMC_SD -- ^ Same day
deriving stock (Show, Read, Eq, Generic)
deriving anyclass (FromJSON, ToJSON)
-- |BusinessDayConvention
data BDC = BDC_NULL -- ^ No shift
| BDC_SCF -- ^ Shift/calculate following
| BDC_SCMF -- ^ Shift/calculate modified following
| BDC_CSF -- ^ Calculate/shift following
| BDC_CSMF -- ^ Calculate/shift modified following
| BDC_SCP -- ^ Shift/calculate preceding
| BDC_SCMP -- ^ Shift/calculate modified preceding
| BDC_CSP -- ^ Calculate/shift preceding
| BDC_CSMP -- ^ Calculate/shift modified preceding
deriving stock (Show, Read, Eq, Generic)
deriving anyclass (FromJSON, ToJSON)
data Calendar = CLDR_MF -- ^ Monday to Friday
| CLDR_NC -- ^ No calendar
deriving stock (Show, Read, Eq, Generic)
deriving anyclass (FromJSON, ToJSON)
data ScheduleConfig = ScheduleConfig
{ calendar :: Maybe Calendar
, eomc :: Maybe EOMC
, bdc :: Maybe BDC
}
deriving stock (Show, Generic)
deriving anyclass (FromJSON, ToJSON)
-- |ContractPerformance
data PRF = PRF_PF -- ^ Performant
| PRF_DL -- ^ Delayed
| PRF_DQ -- ^ Delinquent
| PRF_DF -- ^ Default
deriving stock (Show, Read, Eq, Generic)
deriving anyclass (FromJSON, ToJSON)
-- |FeeBasis
data FEB = FEB_A -- ^ Absolute value
| FEB_N -- ^ Notional of underlying
deriving stock (Show, Read, Eq, Generic)
deriving anyclass (FromJSON, ToJSON)
-- |InterestCalculationBase
data IPCB = IPCB_NT -- ^ Calculation base always equals to NT
| IPCB_NTIED -- ^ Notional remains constant amount as per IED
| IPCB_NTL -- ^ Calculation base is notional base laged
deriving stock (Show, Read, Eq, Generic)
deriving anyclass (FromJSON, ToJSON)
-- |ScalingEffect
data SCEF = SE_000 -- ^ No scaling
| SE_I00 -- ^ Only interest payments scaled
| SE_0N0 -- ^ Only nominal payments scaled
| SE_00M -- ^ Only maximum deferred amount scaled
| SE_IN0 -- ^ Interest and nominal payments scaled
| SE_0NM -- ^ Nominal and maximum deferred amount scaled
| SE_I0M -- ^ Interest and maximum deferred amount scaled
| SE_INM -- ^ Interest, nominal and maximum deferred amount scaled
deriving stock (Show, Read, Eq, Generic)
deriving anyclass (FromJSON, ToJSON)
-- |PenaltyType
data PYTP = PYTP_A -- ^ Absolute
| PYTP_N -- ^ Nominal rate
| PYTP_I -- ^ Current interest rate differential
| PYTP_O -- ^ No penalty
deriving stock (Show, Read, Eq, Generic)
deriving anyclass (FromJSON, ToJSON)
-- |Option Type
data OPTP = OPTP_C -- ^ Call Option
| OPTP_P -- ^ Put Option
| OPTP_CP -- ^ Call-Put Option
deriving stock (Show, Read, Eq, Generic)
deriving anyclass (FromJSON, ToJSON)
-- |Option Exercise Type
data OPXT = OPXT_E -- ^ European
| OPXT_B -- ^ Bermudan
| OPXT_A -- ^ American
deriving stock (Show, Read, Eq, Generic)
deriving anyclass (FromJSON, ToJSON)
-- |Settlement
data DS = DS_S -- ^ Cash Settlement
| DS_D -- ^ Physical Settlement
deriving stock (Show, Read, Eq, Generic)
deriving anyclass (FromJSON, ToJSON)
-- |PrepaymentEffect
data PPEF = PPEF_N -- ^ No prepayment
| PPEF_A -- ^ Prepayment allowed, prepayment results in reduction of PRNXT while MD remains
| PPEF_M -- ^ Prepayment allowed, prepayment results in reduction of MD while PRNXT remains
deriving stock (Show, Read, Eq, Ord, Generic)
deriving anyclass (FromJSON, ToJSON)
data CalendarType = NoCalendar
| MondayToFriday
| CustomCalendar {holidays :: [Day]}
deriving stock (Show, Generic)
deriving anyclass (FromJSON, ToJSON)
-- |CyclePeriod
data Period = P_D -- ^ Day
| P_W -- ^ Week
| P_M -- ^ Month
| P_Q -- ^ Quarter
| P_H -- ^ Half year
| P_Y -- ^ Year
deriving stock (Show, Read, Eq, Ord, Generic)
deriving anyclass (FromJSON, ToJSON)
-- |CycleStub
data Stub = ShortStub -- ^ Short last stub
| LongStub -- ^ Long last stub
deriving stock (Show, Eq, Ord, Generic)
deriving anyclass (FromJSON, ToJSON)
-- |Cycle
data Cycle = Cycle
{ n :: Integer
, p :: Period
, stub :: Stub
, includeEndDay :: Bool
}
deriving stock (Show, Eq, Ord, Generic)
deriving anyclass (FromJSON, ToJSON)
-- For applicability failures
data TermValidationError =
Required String
| NotApplicable String
deriving stock (Eq)
instance Show TermValidationError where
show (Required s) = "Missing required term: " ++ s
show (NotApplicable s) = "Term not applicable to contract: " ++ s
data Assertions = Assertions
{ context :: AssertionContext
, assertions :: [Assertion]
}
deriving stock (Show, Generic)
deriving anyclass (FromJSON, ToJSON)
data AssertionContext = AssertionContext
{ rrmoMin :: Double
, rrmoMax :: Double
}
deriving stock (Show, Generic)
deriving anyclass (FromJSON, ToJSON)
data Assertion = NpvAssertionAgainstZeroRiskBond
{ zeroRiskInterest :: Double
, expectedNpv :: Double
}
deriving stock (Show, Generic)
deriving anyclass (FromJSON, ToJSON)
-- |Reference type
data ReferenceType = CNT
| CID
| MOC
| EID
| CST
deriving stock (Eq, Show, Read, Generic)
deriving anyclass (FromJSON, ToJSON)
-- |Reference role
data ReferenceRole = UDL
deriving stock (Eq, Read, Show, Generic)
deriving anyclass (FromJSON, ToJSON)
-- |Market object code
type MarketObjectCode = String
-- |Contract structure
data ContractStructure = ContractStructure
{
marketObjectCode :: MarketObjectCode
, referenceType :: ReferenceType
, referenceRole :: ReferenceRole
}
deriving stock (Show, Generic)
deriving anyclass (FromJSON, ToJSON)
{-| ACTUS contract terms and attributes are defined in
https://github.com/actusfrf/actus-dictionary/blob/master/actus-dictionary-terms.json
-}
data ContractTermsPoly a b = ContractTermsPoly
{ -- General
contractId :: String
, contractType :: CT
, contractStructure :: [ContractStructure]
, ct_CNTRL :: CR
, ct_CURS :: Maybe String
-- Calendar
, ct_IED :: Maybe b -- ^ Initial Exchange Date
, ct_DCC :: Maybe DCC -- ^ Day Count Convention
, scfg :: ScheduleConfig
-- Contract Identification
, ct_SD :: b -- ^ Status Date
-- Counterparty
, ct_PRF :: Maybe PRF -- ^ Contract Performance
-- Fees
, ct_FECL :: Maybe Cycle -- ^ Cycle Of Fee
, ct_FEANX :: Maybe b -- ^ Cycle Anchor Date Of Fee
, ct_FEAC :: Maybe a -- ^ Fee Accrued
, ct_FEB :: Maybe FEB -- ^ Fee Basis
, ct_FER :: Maybe a -- ^ Fee Rate
-- Interest
, ct_IPANX :: Maybe b -- ^ Cycle Anchor Date Of Interest Payment
, ct_IPCL :: Maybe Cycle -- ^ Cycle Of Interest Payment
, ct_IPAC :: Maybe a -- ^ Accrued Interest
, ct_IPCED :: Maybe b -- ^ Capitalization End Date
, ct_IPCBANX :: Maybe b -- ^ Cycle Anchor Date Of Interest Calculation Base
, ct_IPCBCL :: Maybe Cycle -- ^ Cycle Of Interest Calculation Base
, ct_IPCB :: Maybe IPCB -- ^ Interest Calculation Base
, ct_IPCBA :: Maybe a -- ^ Interest Calculation Base Amount
, ct_IPNR :: Maybe a -- ^ Nominal Interest Rate
, ct_SCIP :: Maybe a -- ^ Interest Scaling Multiplier
-- Dates
, ct_MD :: Maybe b -- ^ Maturity Date
, ct_AD :: Maybe b -- ^ Amortization Date
, ct_XD :: Maybe b -- ^ Exercise Date
-- , ct_STD :: Maybe b -- ^ Settlement Date
-- Notional Principal
, ct_NT :: Maybe a -- ^ Notional Principal
, ct_PDIED :: Maybe a -- ^ Premium Discount At IED
, ct_PRANX :: Maybe b -- ^ Cycle Anchor Date Of Principal Redemption
, ct_PRCL :: Maybe Cycle -- ^ Cycle Of Principal Redemption
, ct_PRNXT :: Maybe a -- ^ Next Principal Redemption Payment
, ct_PRD :: Maybe b -- ^ Purchase Date
, ct_PPRD :: Maybe a -- ^ Price At Purchase Date
, ct_TD :: Maybe b -- ^ Termination Date
, ct_PTD :: Maybe a -- ^ Price At Termination Date
-- Scaling Index
, ct_SCIED :: Maybe a -- ^ Scaling Index At Status Date
, ct_SCANX :: Maybe b -- ^ Cycle Anchor Date Of Scaling Index
, ct_SCCL :: Maybe Cycle -- ^ Cycle Of Scaling Index
, ct_SCEF :: Maybe SCEF -- ^ Scaling Effect
, ct_SCCDD :: Maybe a -- ^ Scaling Index At Contract Deal Date
, ct_SCMO :: Maybe String -- ^ Market Object Code Of Scaling Index
, ct_SCNT :: Maybe a -- ^ Notional Scaling Multiplier
-- Optionality
, ct_OPCL :: Maybe Cycle -- ^ Cycle Of Optionality
, ct_OPANX :: Maybe b -- ^ Cycle Anchor Date Of Optionality
, ct_OPTP :: Maybe OPTP -- ^ Option Type
, ct_OPS1 :: Maybe a -- ^ Option Strike 1
, ct_OPXT :: Maybe OPXT -- ^ Option Exercise Type
-- Settlement
, ct_STP :: Maybe Cycle -- ^ Settlement Period
, ct_DS :: Maybe DS -- ^ Delivery Settlement
, ct_XA :: Maybe a -- ^ Exercise Amount
, ct_PFUT :: Maybe a -- ^ Futures Price
-- Penalty
, ct_PYRT :: Maybe a -- ^ Penalty Rate
, ct_PYTP :: Maybe PYTP -- ^ Penalty Type
, ct_PPEF :: Maybe PPEF -- ^ Prepayment Effect
-- Rate Reset
, ct_RRCL :: Maybe Cycle -- ^ Cycle Of Rate Reset
, ct_RRANX :: Maybe b -- ^ Cycle Anchor Date Of Rate Reset
, ct_RRNXT :: Maybe a -- ^ Next Reset Rate
, ct_RRSP :: Maybe a -- ^ Rate Spread
, ct_RRMLT :: Maybe a -- ^ Rate Multiplier
, ct_RRPF :: Maybe a -- ^ Period Floor
, ct_RRPC :: Maybe a -- ^ Period Cap
, ct_RRLC :: Maybe a -- ^ Life Cap
, ct_RRLF :: Maybe a -- ^ Life Floor
, ct_RRMO :: Maybe String -- ^ Market Object Code Of Rate Reset
-- Dividend
, ct_DVCL :: Maybe Cycle -- ^ Cycle Of Dividend
, ct_DVANX :: Maybe b -- ^ Cycle Anchor Date Of Dividend
, ct_DVNP :: Maybe a -- ^ Next Dividend Payment Amount
-- enable settlement currency
, enableSettlement :: Bool
, constraints :: Maybe Assertions
, collateralAmount :: Integer
}
deriving stock (Show, Generic)
deriving anyclass (FromJSON, ToJSON)
{- TODO: SCP-2881
instance FromJSON ContractTerms where
parseJSON (Object v) =
ContractTermsPoly
<$> v .: "contractId"
<*> v .: "contractType"
<*> v .:? "contractStructure"
<*> v .: "contractRole"
<*> v .:? "settlementCurrency"
<*> v .:? "initialExchangeDate"
<*> v .:? "dayCountConvention"
...
-}
type ContractTerms = ContractTermsPoly Double LocalTime
type ContractTermsMarlowe = ContractTermsPoly (Marlowe.Value Marlowe.Observation) (Marlowe.Value Marlowe.Observation)
setDefaultContractTermValues :: ContractTerms -> ContractTerms
setDefaultContractTermValues ct@ContractTermsPoly{..} =
let ScheduleConfig{..} = scfg in
ct {
scfg = scfg
{ eomc = applyDefault EOMC_SD eomc
, bdc = applyDefault BDC_NULL bdc
, calendar = applyDefault CLDR_NC calendar
}
, ct_PRF = applyDefault PRF_PF ct_PRF
, ct_IPCB = applyDefault IPCB_NT ct_IPCB
, ct_PDIED = applyDefault 0.0 ct_PDIED
, ct_SCEF = applyDefault SE_000 ct_SCEF
, ct_PYRT = applyDefault 0.0 ct_PYRT
, ct_PYTP = applyDefault PYTP_O ct_PYTP
, ct_PPEF = applyDefault PPEF_N ct_PPEF
, ct_RRSP = applyDefault 0.0 ct_RRSP
, ct_RRMLT = applyDefault 1.0 ct_RRMLT
, ct_FEAC = applyDefault 0.0 ct_FEAC
, ct_FER = applyDefault 0.0 ct_FER
, ct_IPAC = applyDefault 0.0 ct_IPAC
, ct_IPNR = applyDefault 0.0 ct_IPNR
, ct_PPRD = applyDefault 0.0 ct_PPRD
, ct_PTD = applyDefault 0.0 ct_PTD
, ct_SCCDD = applyDefault 0.0 ct_SCCDD
, ct_RRPF = applyDefault (-infinity) ct_RRPF
, ct_RRPC = applyDefault infinity ct_RRPC
, ct_RRLC = applyDefault infinity ct_RRLC
, ct_RRLF = applyDefault (-infinity) ct_RRLF
, ct_IPCBA = applyDefault 0.0 ct_IPCBA
}
where
infinity :: Double
infinity = 1/0 :: Double
applyDefault :: a -> Maybe a -> Maybe a
applyDefault v = Just . fromMaybe v