Refactor actus-solidity

atpar · Sep 3, 2020 · 43f084e · 43f084e
1 parent 7c084b8
commit 43f084e
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Showing 32 changed files with 427 additions and 418 deletions.
diff --git a/packages/actus-solidity/contracts/Core/ACTUSTypes.sol b/packages/actus-solidity/contracts/Core/ACTUSTypes.sol
@@ -53,15 +53,18 @@ struct ContractReference {
     ContractReferenceRole role;
 }
 
-struct State {
+struct UnderlyingState {
+    int256 exerciseAmount;
+    bool isSet;
+}
+
+struct ANNState {
     ContractPerformance contractPerformance;
 
     uint256 statusDate;
     uint256 nonPerformingDate;
     uint256 maturityDate;
-    uint256 exerciseDate;
     uint256 terminationDate;
-    uint256 lastCouponDay;
 
     int256 notionalPrincipal;
     // int256 notionalPrincipal2;
@@ -74,16 +77,74 @@ struct State {
     int256 interestScalingMultiplier;
     int256 notionalScalingMultiplier;
     int256 nextPrincipalRedemptionPayment;
+}
+
+struct CECState {
+    ContractPerformance contractPerformance;
+
+    uint256 statusDate;
+    uint256 maturityDate;
+    uint256 exerciseDate;
+    uint256 terminationDate;
+
+    int256 notionalPrincipal;
+    int256 feeAccrued;
+    int256 exerciseAmount;
+}
+
+struct CEGState {
+    ContractPerformance contractPerformance;
+
+    uint256 statusDate;
+    uint256 nonPerformingDate;
+    uint256 maturityDate;
+    uint256 exerciseDate;
+    uint256 terminationDate;
+
+    int256 notionalPrincipal;
+    int256 feeAccrued;
+    int256 exerciseAmount;
+}
+
+struct CERTFState {
+    ContractPerformance contractPerformance;
+
+    uint256 statusDate;
+    uint256 nonPerformingDate;
+    uint256 maturityDate;
+    uint256 exerciseDate;
+    uint256 terminationDate;
+    uint256 lastCouponDay;
+
     int256 exerciseAmount;
     int256 exerciseQuantity;
-
     int256 quantity;
     int256 couponAmountFixed;
     // int256 exerciseQuantityOrdered;
     int256 marginFactor;
     int256 adjustmentFactor;
 }
 
+struct PAMState {
+    ContractPerformance contractPerformance;
+
+    uint256 statusDate;
+    uint256 nonPerformingDate;
+    uint256 maturityDate;
+    uint256 terminationDate;
+
+    int256 notionalPrincipal;
+    // int256 notionalPrincipal2;
+    int256 accruedInterest;
+    // int256 accruedInterest2;
+    int256 feeAccrued;
+    int256 nominalInterestRate;
+    // int256 nominalInterestRate2;
+    // int256 interestCalculationBaseAmount;
+    int256 interestScalingMultiplier;
+    int256 notionalScalingMultiplier;
+}
+
 struct ANNTerms {
     ContractType contractType;
     Calendar calendar;

diff --git a/packages/actus-solidity/contracts/Engines/ANN/ANNEngine.sol b/packages/actus-solidity/contracts/Engines/ANN/ANNEngine.sol
@@ -29,14 +29,14 @@ contract ANNEngine is Core, ANNSTF, ANNPOF, IANNEngine {
      */
     function computeStateForEvent(
         ANNTerms calldata terms,
-        State calldata state,
+        ANNState calldata state,
         bytes32 _event,
         bytes32 externalData
     )
         external
         pure
         override
-        returns (State memory)
+        returns (ANNState memory)
     {
         return stateTransitionFunction(
             terms,
@@ -56,7 +56,7 @@ contract ANNEngine is Core, ANNSTF, ANNPOF, IANNEngine {
      */
     function computePayoffForEvent(
         ANNTerms calldata terms,
-        State calldata state,
+        ANNState calldata state,
         bytes32 _event,
         bytes32 externalData
     )
@@ -93,9 +93,9 @@ contract ANNEngine is Core, ANNSTF, ANNPOF, IANNEngine {
         external
         pure
         override
-        returns (State memory)
+        returns (ANNState memory)
     {
-        State memory state;
+        ANNState memory state;
 
         state.contractPerformance = ContractPerformance.PF;
         state.notionalScalingMultiplier = ONE_POINT_ZERO;
@@ -383,16 +383,14 @@ contract ANNEngine is Core, ANNSTF, ANNPOF, IANNEngine {
      * param _event event for which to check if its still scheduled
      * param terms terms of the contract
      * param state current state of the contract
-     * param hasUnderlying boolean indicating whether the contract has an underlying contract
      * param underlyingState state of the underlying (empty state object if non-existing)
      * @return boolean indicating whether event is still scheduled
      */
     function isEventScheduled(
         bytes32 /* _event */,
         ANNTerms calldata /* terms */,
-        State calldata /* state */,
-        bool /* hasUnderlying */,
-        State calldata /* underlyingState */
+        ANNState calldata /* state */,
+        UnderlyingState calldata /* underlyingState */
     )
         external
         pure
@@ -415,13 +413,13 @@ contract ANNEngine is Core, ANNSTF, ANNPOF, IANNEngine {
      */
     function stateTransitionFunction(
         ANNTerms memory terms,
-        State memory state,
+        ANNState memory state,
         bytes32 _event,
         bytes32 externalData
     )
         internal
         pure
-        returns (State memory)
+        returns (ANNState memory)
     {
         (EventType eventType, uint256 scheduleTime) = decodeEvent(_event);
 
@@ -461,7 +459,7 @@ contract ANNEngine is Core, ANNSTF, ANNPOF, IANNEngine {
      */
     function payoffFunction(
         ANNTerms memory terms,
-        State memory state,
+        ANNState memory state,
         bytes32 _event,
         bytes32 externalData
     )

diff --git a/packages/actus-solidity/contracts/Engines/ANN/ANNPOF.sol b/packages/actus-solidity/contracts/Engines/ANN/ANNPOF.sol
@@ -18,7 +18,7 @@ contract ANNPOF is Core {
      */
     function POF_ANN_FP (
         ANNTerms memory terms,
-        State memory state,
+        ANNState memory state,
         uint256 scheduleTime,
         bytes32 /* externalData */
     )
@@ -59,7 +59,7 @@ contract ANNPOF is Core {
      */
     function POF_ANN_IED (
         ANNTerms memory terms,
-        State memory /* state */,
+        ANNState memory /* state */,
         uint256 /* scheduleTime */,
         bytes32 /* externalData */
     )
@@ -81,7 +81,7 @@ contract ANNPOF is Core {
      */
     function POF_ANN_IP (
         ANNTerms memory terms,
-        State memory state,
+        ANNState memory state,
         uint256 scheduleTime,
         bytes32 /* externalData */
     )
@@ -118,7 +118,7 @@ contract ANNPOF is Core {
      */
     function POF_ANN_PP (
         ANNTerms memory terms,
-        State memory state,
+        ANNState memory state,
         uint256 /* scheduleTime */,
         bytes32 /* externalData */
     )
@@ -138,7 +138,7 @@ contract ANNPOF is Core {
      */
     function POF_ANN_MD (
         ANNTerms memory /* terms */,
-        State memory state,
+        ANNState memory state,
         uint256 /* scheduleTime */,
         bytes32 /* externalData */
     )
@@ -158,7 +158,7 @@ contract ANNPOF is Core {
      */
     function POF_ANN_PY (
         ANNTerms memory terms,
-        State memory state,
+        ANNState memory state,
         uint256 scheduleTime,
         bytes32 /* externalData */
     )
@@ -203,7 +203,7 @@ contract ANNPOF is Core {
      */
     function POF_ANN_TD (
         ANNTerms memory terms,
-        State memory state,
+        ANNState memory state,
         uint256 scheduleTime,
         bytes32 /* externalData */
     )
@@ -240,7 +240,7 @@ contract ANNPOF is Core {
      */
     function POF_ANN_PR (
         ANNTerms memory terms,
-        State memory state,
+        ANNState memory state,
         uint256 scheduleTime,
         bytes32 /* externalData */
     )