Fix wrong cyclic date if lastScheduleTime is zero in all Engines in a…

…ctus-solidity
atpar · Jul 1, 2020 · c38fb0b · c38fb0b
1 parent 81b14a8
commit c38fb0b
Show file tree

Hide file tree

Showing 10 changed files with 119 additions and 81 deletions.
diff --git a/packages/actus-solidity/contracts/Engines/ANN/ANNEngine.sol b/packages/actus-solidity/contracts/Engines/ANN/ANNEngine.sol
@@ -309,10 +309,9 @@ contract ANNEngine is Core, ANNSTF, ANNPOF, IANNEngine {
             // interest payment related (starting with PRANX interest is paid following the PR schedule)
             if (
                 terms.cycleOfInterestPayment.isSet == true && terms.cycleAnchorDateOfInterestPayment != 0) {
-                uint256 nextInterestPaymentDate = computeNextCycleDateFromPrecedingDate(
-                    terms.cycleOfInterestPayment,
-                    (lastScheduleTime == 0) ? terms.cycleAnchorDateOfInterestPayment : lastScheduleTime
-                );
+                uint256 nextInterestPaymentDate = (lastScheduleTime == 0)
+                    ? terms.cycleAnchorDateOfInterestPayment
+                    : computeNextCycleDateFromPrecedingDate(terms.cycleOfInterestPayment, lastScheduleTime);
                 if (nextInterestPaymentDate == 0) return bytes32(0);
                 if (nextInterestPaymentDate <= terms.capitalizationEndDate) return bytes32(0);
                 return encodeEvent(EventType.IP, nextInterestPaymentDate);
@@ -328,10 +327,9 @@ contract ANNEngine is Core, ANNSTF, ANNPOF, IANNEngine {
             ) {
                 IPS memory cycleOfInterestCapitalization = terms.cycleOfInterestPayment;
                 cycleOfInterestCapitalization.s = S.SHORT;
-                uint256 nextInterestCapitalizationDate = computeNextCycleDateFromPrecedingDate(
-                    cycleOfInterestCapitalization,
-                    (lastScheduleTime == 0) ? terms.cycleAnchorDateOfInterestPayment : lastScheduleTime
-                );
+                uint256 nextInterestCapitalizationDate = (lastScheduleTime == 0)
+                    ? terms.cycleAnchorDateOfInterestPayment
+                    : computeNextCycleDateFromPrecedingDate(cycleOfInterestCapitalization, lastScheduleTime);
                 if (nextInterestCapitalizationDate == 0) return bytes32(0);
                 return encodeEvent(EventType.IPCI, nextInterestCapitalizationDate);
             }
@@ -340,21 +338,19 @@ contract ANNEngine is Core, ANNSTF, ANNPOF, IANNEngine {
         // fees
         if (eventType == EventType.FP) {
             if (terms.cycleOfFee.isSet == true && terms.cycleAnchorDateOfFee != 0) {
-                uint256 nextFeeDate = computeNextCycleDateFromPrecedingDate(
-                    terms.cycleOfFee,
-                    (lastScheduleTime == 0) ? terms.cycleAnchorDateOfFee : lastScheduleTime
-                );
+                uint256 nextFeeDate = (lastScheduleTime == 0)
+                    ? terms.cycleAnchorDateOfFee
+                    : computeNextCycleDateFromPrecedingDate(terms.cycleOfFee, lastScheduleTime);
                 if (nextFeeDate == 0) return bytes32(0);
                 return encodeEvent(EventType.FP, nextFeeDate);
             }
         }
 
         // principal redemption
         if (eventType == EventType.PR) {
-            uint256 nextPrincipalRedemptionDate = computeNextCycleDateFromPrecedingDate(
-                terms.cycleOfPrincipalRedemption,
-                (lastScheduleTime == 0) ? terms.cycleAnchorDateOfPrincipalRedemption : lastScheduleTime
-            );
+            uint256 nextPrincipalRedemptionDate = (lastScheduleTime == 0)
+                ? terms.cycleAnchorDateOfPrincipalRedemption
+                : computeNextCycleDateFromPrecedingDate(terms.cycleOfPrincipalRedemption, lastScheduleTime);
             if (nextPrincipalRedemptionDate == 0) return bytes32(0);
             return encodeEvent(EventType.PR, nextPrincipalRedemptionDate);
         }

diff --git a/packages/actus-solidity/contracts/Engines/CEC/CECEngine.sol b/packages/actus-solidity/contracts/Engines/CEC/CECEngine.sol
@@ -169,15 +169,15 @@ contract CECEngine is Core, CECSTF, CECPOF, ICECEngine {
     /**
      * @notice Computes a schedule segment of cyclic contract events based on the contract terms
      * and the specified timestamps.
-     * @param terms terms of the contract
-     * @param lastScheduleTime last occurrence of cyclic event
-     * @param eventType eventType of the cyclic schedule
+     * param terms terms of the contract
+     * param lastScheduleTime last occurrence of cyclic event
+     * param eventType eventType of the cyclic schedule
      * @return event schedule segment
      */
     function computeNextCyclicEvent(
-        CECTerms calldata terms,
-        uint256 lastScheduleTime,
-        EventType eventType
+        CECTerms calldata /* terms */,
+        uint256 /* lastScheduleTime */,
+        EventType /* eventType */
     )
         external
         pure

diff --git a/packages/actus-solidity/contracts/Engines/CEG/CEGEngine.sol b/packages/actus-solidity/contracts/Engines/CEG/CEGEngine.sol
@@ -223,10 +223,9 @@ contract CEGEngine is Core, CEGSTF, CEGPOF, ICEGEngine {
         if (eventType == EventType.FP) {
             // fees
             if (terms.cycleOfFee.isSet == true && terms.cycleAnchorDateOfFee != 0) {
-                uint256 nextFeeDate = computeNextCycleDateFromPrecedingDate(
-                    terms.cycleOfFee,
-                    (lastScheduleTime == 0) ? terms.cycleAnchorDateOfFee : lastScheduleTime
-                );
+                uint256 nextFeeDate = (lastScheduleTime == 0)
+                    ? terms.cycleAnchorDateOfFee
+                    : computeNextCycleDateFromPrecedingDate(terms.cycleOfFee, lastScheduleTime);
                 if (nextFeeDate == 0) return bytes32(0);
                 return encodeEvent(EventType.FP, nextFeeDate);
             }

diff --git a/packages/actus-solidity/contracts/Engines/CERTF/CERTFEngine.sol b/packages/actus-solidity/contracts/Engines/CERTF/CERTFEngine.sol
@@ -314,21 +314,19 @@ contract CERTFEngine is Core, CERTFSTF, CERTFPOF, ICERTFEngine {
     {
         if (eventType == EventType.CFD) {
             if (terms.cycleOfCoupon.isSet == true && terms.cycleAnchorDateOfCoupon != 0) {
-                uint256 nextCouponDate = computeNextCycleDateFromPrecedingDate(
-                    terms.cycleOfCoupon,
-                    (lastScheduleTime == 0) ? terms.cycleAnchorDateOfCoupon : lastScheduleTime
-                );
+                uint256 nextCouponDate = (lastScheduleTime == 0)
+                    ? terms.cycleAnchorDateOfCoupon
+                    : computeNextCycleDateFromPrecedingDate(terms.cycleOfCoupon, lastScheduleTime);
                 if (nextCouponDate == uint256(0)) return bytes32(0);
                 return encodeEvent(EventType.CFD, nextCouponDate);
             }
         }
 
          if (eventType == EventType.CPD) {
             if (terms.cycleOfCoupon.isSet == true && terms.cycleAnchorDateOfCoupon != 0) {
-                uint256 nextCouponDate = computeNextCycleDateFromPrecedingDate(
-                    terms.cycleOfCoupon,
-                    (lastScheduleTime == 0) ? terms.cycleAnchorDateOfCoupon : lastScheduleTime
-                );
+                uint256 nextCouponDate = (lastScheduleTime == 0)
+                    ? terms.cycleAnchorDateOfCoupon
+                    : computeNextCycleDateFromPrecedingDate(terms.cycleOfCoupon, lastScheduleTime);
                 if (nextCouponDate == uint256(0)) return bytes32(0);
                 uint256 couponPaymentDayScheduleTime = getTimestampPlusPeriod(terms.settlementPeriod, nextCouponDate);
                 return encodeEvent(EventType.CFD, couponPaymentDayScheduleTime);
@@ -337,21 +335,19 @@ contract CERTFEngine is Core, CERTFSTF, CERTFPOF, ICERTFEngine {
 
         if (eventType == EventType.RFD) {
             if (terms.cycleOfRedemption.isSet == true && terms.cycleAnchorDateOfRedemption != 0) {
-                uint256 nextRedemptionDate = computeNextCycleDateFromPrecedingDate(
-                    terms.cycleOfRedemption,
-                    (lastScheduleTime == 0) ? terms.cycleAnchorDateOfRedemption : lastScheduleTime
-                );
+                uint256 nextRedemptionDate = (lastScheduleTime == 0)
+                    ? terms.cycleAnchorDateOfRedemption
+                    : computeNextCycleDateFromPrecedingDate(terms.cycleOfRedemption, lastScheduleTime);
                 if (nextRedemptionDate == uint256(0)) return bytes32(0);
                 return encodeEvent(EventType.RFD, nextRedemptionDate);
             }
         }
 
         if (eventType == EventType.RPD) {
             if (terms.cycleOfRedemption.isSet == true && terms.cycleAnchorDateOfRedemption != 0) {
-                uint256 nextRedemptionDate = computeNextCycleDateFromPrecedingDate(
-                    terms.cycleOfRedemption,
-                    (lastScheduleTime == 0) ? terms.cycleAnchorDateOfRedemption : lastScheduleTime
-                );
+                uint256 nextRedemptionDate = (lastScheduleTime == 0)
+                    ? terms.cycleAnchorDateOfRedemption
+                    : computeNextCycleDateFromPrecedingDate(terms.cycleOfRedemption, lastScheduleTime);
                 if (nextRedemptionDate == uint256(0)) return bytes32(0);
                 uint256 redemptionPaymentDayScheduleTime = getTimestampPlusPeriod(terms.settlementPeriod, nextRedemptionDate);
                 return encodeEvent(EventType.RPD, redemptionPaymentDayScheduleTime);
@@ -360,10 +356,9 @@ contract CERTFEngine is Core, CERTFSTF, CERTFPOF, ICERTFEngine {
 
         if (eventType == EventType.XD) {
             if (terms.cycleOfRedemption.isSet == true && terms.cycleAnchorDateOfRedemption != 0) {
-                uint256 nextRedemptionDate = computeNextCycleDateFromPrecedingDate(
-                    terms.cycleOfRedemption,
-                    (lastScheduleTime == 0) ? terms.cycleAnchorDateOfRedemption : lastScheduleTime
-                );
+                uint256 nextRedemptionDate = (lastScheduleTime == 0)
+                    ? terms.cycleAnchorDateOfRedemption
+                    : computeNextCycleDateFromPrecedingDate(terms.cycleOfRedemption, lastScheduleTime);
                 if (nextRedemptionDate == uint256(0)) return bytes32(0);
                 if (nextRedemptionDate == terms.maturityDate) return bytes32(0);
                 uint256 executionDateScheduleTime = getTimestampPlusPeriod(terms.exercisePeriod, nextRedemptionDate);

diff --git a/packages/actus-solidity/contracts/Engines/PAM/PAMEngine.sol b/packages/actus-solidity/contracts/Engines/PAM/PAMEngine.sol
@@ -325,12 +325,10 @@ contract PAMEngine is Core, PAMSTF, PAMPOF, IPAMEngine {
     {
         if (eventType == EventType.IP) {
             // interest payment related (starting with PRANX interest is paid following the PR schedule)
-            if (
-                terms.cycleOfInterestPayment.isSet == true && terms.cycleAnchorDateOfInterestPayment != 0) {
-                uint256 nextInterestPaymentDate = computeNextCycleDateFromPrecedingDate(
-                    terms.cycleOfInterestPayment,
-                    (lastScheduleTime == 0) ? terms.cycleAnchorDateOfInterestPayment : lastScheduleTime
-                );
+            if (terms.cycleOfInterestPayment.isSet == true && terms.cycleAnchorDateOfInterestPayment != 0) {
+                uint256 nextInterestPaymentDate = (lastScheduleTime == 0)
+                    ? terms.cycleAnchorDateOfInterestPayment
+                    : computeNextCycleDateFromPrecedingDate(terms.cycleOfInterestPayment, lastScheduleTime);
                 if (nextInterestPaymentDate == 0) return bytes32(0);
                 if (nextInterestPaymentDate <= terms.capitalizationEndDate) return bytes32(0);
                 return encodeEvent(EventType.IP, nextInterestPaymentDate);
@@ -346,10 +344,9 @@ contract PAMEngine is Core, PAMSTF, PAMPOF, IPAMEngine {
             ) {
                 IPS memory cycleOfInterestCapitalization = terms.cycleOfInterestPayment;
                 cycleOfInterestCapitalization.s = S.SHORT;
-                uint256 nextInterestCapitalizationDate = computeNextCycleDateFromPrecedingDate(
-                    cycleOfInterestCapitalization,
-                    (lastScheduleTime == 0) ? terms.cycleAnchorDateOfInterestPayment : lastScheduleTime
-                );
+                uint256 nextInterestCapitalizationDate = (lastScheduleTime == 0)
+                    ? terms.cycleAnchorDateOfInterestPayment
+                    : computeNextCycleDateFromPrecedingDate(cycleOfInterestCapitalization, lastScheduleTime);
                 if (nextInterestCapitalizationDate == 0) return bytes32(0);
                 return encodeEvent(EventType.IPCI, nextInterestCapitalizationDate);
             }
@@ -358,10 +355,9 @@ contract PAMEngine is Core, PAMSTF, PAMPOF, IPAMEngine {
         if (eventType == EventType.RR) {
             // rate reset
             if (terms.cycleOfRateReset.isSet == true && terms.cycleAnchorDateOfRateReset != 0) {
-                uint256 nextRateResetDate = computeNextCycleDateFromPrecedingDate(
-                    terms.cycleOfRateReset,
-                    (lastScheduleTime == 0) ? terms.cycleAnchorDateOfRateReset : lastScheduleTime
-                );
+                uint256 nextRateResetDate = (lastScheduleTime == 0)
+                    ? terms.cycleAnchorDateOfRateReset
+                    : computeNextCycleDateFromPrecedingDate(terms.cycleOfRateReset, lastScheduleTime);
                 if (nextRateResetDate == 0) return bytes32(0);
                 return encodeEvent(EventType.RR, nextRateResetDate);
             }
@@ -371,10 +367,9 @@ contract PAMEngine is Core, PAMSTF, PAMPOF, IPAMEngine {
         if (eventType == EventType.FP) {
             // fees
             if (terms.cycleOfFee.isSet == true && terms.cycleAnchorDateOfFee != 0) {
-                uint256 nextFeeDate = computeNextCycleDateFromPrecedingDate(
-                    terms.cycleOfFee,
-                    (lastScheduleTime == 0) ? terms.cycleAnchorDateOfFee : lastScheduleTime
-                );
+                uint256 nextFeeDate = (lastScheduleTime == 0)
+                    ? terms.cycleAnchorDateOfFee
+                    : computeNextCycleDateFromPrecedingDate(terms.cycleOfFee, lastScheduleTime);
                 if (nextFeeDate == 0) return bytes32(0);
                 return encodeEvent(EventType.FP, nextFeeDate);
             }
@@ -383,10 +378,9 @@ contract PAMEngine is Core, PAMSTF, PAMPOF, IPAMEngine {
         if (eventType == EventType.SC) {
             // scaling
             if ((terms.scalingEffect != ScalingEffect._000) && terms.cycleAnchorDateOfScalingIndex != 0) {
-                uint256 nextScalingDate = computeNextCycleDateFromPrecedingDate(
-                    terms.cycleOfScalingIndex,
-                    (lastScheduleTime == 0) ? terms.cycleAnchorDateOfScalingIndex : lastScheduleTime
-                );
+                uint256 nextScalingDate = (lastScheduleTime == 0)
+                    ? terms.cycleAnchorDateOfScalingIndex
+                    : computeNextCycleDateFromPrecedingDate(terms.cycleOfScalingIndex, lastScheduleTime);
                 if (nextScalingDate == 0) return bytes32(0);
                 return encodeEvent(EventType.SC, nextScalingDate);
             }

diff --git a/packages/ap-contracts/contracts/Core/Base/AssetRegistry/Schedule/ScheduleRegistry.sol b/packages/ap-contracts/contracts/Core/Base/AssetRegistry/Schedule/ScheduleRegistry.sol
@@ -199,12 +199,15 @@ abstract contract ScheduleRegistry is
 
         if (asset.schedule.length == 0 && nextCyclicEvent == bytes32(0)) return bytes32(0);
 
-        (, uint256 scheduleTimeNextCyclicEvent) = decodeEvent(nextCyclicEvent);
-        (, uint256 scheduleTimeNextScheduleEvent) = decodeEvent(nextScheduleEvent);
+        (EventType eventTypeNextCyclicEvent, uint256 scheduleTimeNextCyclicEvent) = decodeEvent(nextCyclicEvent);
+        (EventType eventTypeNextScheduleEvent, uint256 scheduleTimeNextScheduleEvent) = decodeEvent(nextScheduleEvent);
 
         if (
-            scheduleTimeNextScheduleEvent == 0
-            || (scheduleTimeNextCyclicEvent != 0 && scheduleTimeNextCyclicEvent < scheduleTimeNextScheduleEvent)
+            (scheduleTimeNextScheduleEvent == 0 || (scheduleTimeNextCyclicEvent != 0 && scheduleTimeNextCyclicEvent < scheduleTimeNextScheduleEvent))
+            || (
+                scheduleTimeNextCyclicEvent == scheduleTimeNextScheduleEvent
+                && getEpochOffset(eventTypeNextCyclicEvent) < getEpochOffset(eventTypeNextScheduleEvent)
+            )
         ) {
             return nextCyclicEvent;
         } else {

diff --git a/packages/ap-contracts/test/Core/PAM/PAMActor/TestCycles.js b/packages/ap-contracts/test/Core/PAM/PAMActor/TestCycles.js
@@ -46,7 +46,7 @@ contract('PAMActor', (accounts) => {
     this.terms.settlementCurrency = this.PaymentTokenInstance.address;
     this.terms.statusDate = this.terms.contractDealDate;
 
-    this.schedule = [];
+    this.schedule = await generateSchedule(this.PAMEngineInstance, this.terms);
     this.state = web3ResponseToState(await this.PAMEngineInstance.computeInitialState(this.terms));
 
     const tx = await this.PAMActorInstance.initialize(
@@ -56,12 +56,10 @@ contract('PAMActor', (accounts) => {
       this.PAMEngineInstance.address,
       ZERO_ADDRESS
     );
-
     await expectEvent.inTransaction(
       tx.tx, PAMActor, 'InitializedAsset'
     );
-
-    this.assetId =  tx.logs[0].args.assetId;
+    this.assetId = tx.logs[0].args.assetId;
 
     snapshot = await createSnapshot();
   });
@@ -70,6 +68,59 @@ contract('PAMActor', (accounts) => {
     await revertToSnapshot(snapshot);
   });
 
+  it('should process the first non-cyclic event', async () => {
+    const _event = await this.PAMRegistryInstance.getNextScheduledEvent(web3.utils.toHex(this.assetId));
+    const eventTime = await getEventTime(_event, this.terms)
+
+    const payoff = new BigNumber(await this.PAMEngineInstance.computePayoffForEvent(
+      this.terms, 
+      this.state, 
+      _event,
+      web3.utils.toHex(0)
+    ));
+
+    const value = web3.utils.toHex((payoff.isGreaterThan(0)) ? payoff : payoff.negated());
+
+    // set allowance for Payment Router
+    await this.PaymentTokenInstance.approve(
+      this.PAMActorInstance.address,
+      value,
+      { from: (payoff.isGreaterThan(0)) ? counterpartyObligor : creatorObligor }
+    );
+
+    // settle and progress asset state
+    await mineBlock(eventTime);
+    const tx = await this.PAMActorInstance.progress(
+      web3.utils.toHex(this.assetId), 
+      { from: creatorObligor }
+    );
+    const { args: { 0: emittedAssetId } } = await expectEvent.inTransaction(
+      tx.tx, PAMActor, 'ProgressedAsset'
+    );
+
+    const storedNextState = web3ResponseToState(await this.PAMRegistryInstance.getState(web3.utils.toHex(this.assetId)));
+    const isEventSettled = await this.PAMRegistryInstance.isEventSettled(web3.utils.toHex(this.assetId), _event);
+    const projectedNextState = web3ResponseToState(await this.PAMEngineInstance.computeStateForEvent(
+      this.terms,
+      this.state,
+      _event,
+      web3.utils.toHex(0)
+    ));
+    const storedNextEvent = await this.PAMRegistryInstance.getNextScheduledEvent(web3.utils.toHex(this.assetId));
+
+    assert.equal(emittedAssetId, this.assetId);
+    assert.notEqual(storedNextEvent, _event);
+    assert.equal(storedNextState.statusDate, eventTime);
+    assert.equal(isEventSettled[0], true);
+    assert.equal(isEventSettled[1].toString(), payoff.toFixed());
+    assert.deepEqual(storedNextState, projectedNextState);
+
+    this.state = storedNextState;
+
+    // await revertToSnapshot(snapshot_asset);
+    // snapshot_asset = await createSnapshot();
+  });
+
   it('should process the next cyclic event', async () => {
     const _event = await this.PAMRegistryInstance.getNextScheduledEvent(web3.utils.toHex(this.assetId));
     const eventTime = await getEventTime(_event, this.terms)

diff --git a/packages/ap-contracts/test/Core/PAM/PAMActor/TestPerformance.js b/packages/ap-contracts/test/Core/PAM/PAMActor/TestPerformance.js
@@ -92,7 +92,7 @@ contract('PAMActor', (accounts) => {
 
   it('should process next state with contract status equal to PF', async () => {
     const _event = await this.PAMRegistryInstance.getNextScheduledEvent(web3.utils.toHex(this.assetId));
-    const eventTime = await getEventTime(_event, this.terms)
+    const eventTime = await getEventTime(_event, this.terms);
 
     const payoff = new BigNumber(await this.PAMEngineInstance.computePayoffForEvent(
       this.terms,