Merge pull request #3895 from input-output-hk/scp-2708-actus-validate…

…-ann SCP 2708 - ACTUS ANN contracts
IntersectMBO · Sep 13, 2021 · 652d927 · 652d927
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diff --git a/marlowe-actus/README.md b/marlowe-actus/README.md
@@ -1,5 +1,35 @@
 # Marlowe ACTUS: standardised financial contracts on Cardano Computation Layer
 
-Here we present a library to generate Marlowe contracts from ACTUS contract terms
+_marlowe-actus_ is a library to generate Marlowe contracts from ACTUS contract terms
 
-See: https://www.actusfrf.org/
+## ACTUS (algorithmic contract types unified standards)
+
+ACTUS is a foundation that defines the ACTUS taxonomy of financial contracts, see https://www.actusfrf.org/
+
+### Contract types
+
+The following contract types are implemented in Haskell and Marlowe.
+
+#### Amortizing loans
+
+An amortizing loan is a loan that requires periodic payments where a payment consists of the interest payment and the principal.
+
+##### Principal at maturity (PAM)
+
+Principal at maturity only defines periodic interest payments, the full principal is due at maturity.
+
+##### Linear Amortizer (LAM)
+
+Regular principal repayments over time, the interest payments decrease linearly.
+
+##### Negative Amortizer (NAM)
+
+Negative amortization means that the payments per period are smaller than the interest, i.e. the balance of the loan increases over time.
+
+##### Annuity (ANN)
+
+The annuity amortization consists of regular payments of equal amounts over the lifetime of the loan.
+
+## Test cases
+
+For the contract types mentioned above the implementation is tested with the test cases provided by ACTUS: https://github.com/actusfrf/actus-tests
diff --git a/marlowe-actus/app/Main.hs b/marlowe-actus/app/Main.hs
@@ -4,30 +4,39 @@
 
 module Main where
 
-import           Data.Aeson                                  (decode)
-import           Data.Int                                    (Int32)
-import           Data.Map                                    as M (empty)
-import           Data.String                                 (IsString (fromString))
-import           Data.Time.Calendar                          (showGregorian)
-import           Language.Marlowe.ACTUS.Analysis             (sampleCashflows)
-import           Language.Marlowe.ACTUS.Definitions.Schedule (CashFlow (..))
-import           Language.R                                  (R)
-import qualified Language.R                                  as R
+import           Data.Aeson                                        (decode)
+import           Data.Int                                          (Int32)
+import           Data.String                                       (IsString (fromString))
+import           Data.Time                                         (Day)
+import           Data.Time.Calendar                                (showGregorian)
+import           Language.Marlowe.ACTUS.Analysis                   (genProjectedCashflows)
+import           Language.Marlowe.ACTUS.Definitions.BusinessEvents
+import           Language.Marlowe.ACTUS.Definitions.Schedule       (CashFlow (..))
+import           Language.R                                        (R)
+import qualified Language.R                                        as R
 import           Language.R.QQ
 
+riskFactors :: EventType -> Day -> RiskFactors
+riskFactors _ _ =
+    RiskFactorsPoly
+        { o_rf_CURS = 1.0,
+          o_rf_RRMO = 1.0,
+          o_rf_SCMO = 1.0,
+          pp_payoff = 0.0
+        }
+
 get_dates :: String -> R s [String]
 get_dates terms = return $ case (decode $ fromString terms) of
-    Just terms' ->
-      let
-        cfs = sampleCashflows M.empty terms'
-        date = showGregorian <$> cashCalculationDay <$> cfs
-        event = show <$> cashEvent <$> cfs
+    Just terms' -> let
+          cfs = genProjectedCashflows riskFactors terms'
+          date = showGregorian <$> cashCalculationDay <$> cfs
+          event = show <$> cashEvent <$> cfs
       in (\(d, e) -> d ++ " " ++ e) <$> (zip date event)
     Nothing -> []
 
 get_cfs :: String -> R s [Double]
 get_cfs terms = return $ case (decode $ fromString terms) of
-    Just terms' -> amount <$> sampleCashflows M.empty terms'
+    Just terms' -> amount <$> genProjectedCashflows riskFactors terms'
     Nothing     -> []
 
 r_shiny :: R s Int32

diff --git a/marlowe-actus/marlowe-actus.cabal b/marlowe-actus/marlowe-actus.cabal
@@ -33,7 +33,6 @@ library
     base -any,
     bytestring,
     containers -any,
-    mtl,
     newtype-generics,
     template-haskell -any,
     plutus-tx -any,
@@ -44,8 +43,7 @@ library
     marlowe -any,
     time -any,
     sort -any,
-    validation -any,
-    QuickCheck
+    validation -any
   default-language: Haskell2010
   default-extensions: ExplicitForAll ScopedTypeVariables
                       DeriveGeneric StandaloneDeriving DeriveLift
@@ -54,7 +52,6 @@ library
   exposed-modules:
     Language.Marlowe.ACTUS.MarloweCompat
     Language.Marlowe.ACTUS.Generator
-    Language.Marlowe.ACTUS.QCGenerator
     Language.Marlowe.ACTUS.Analysis
     Language.Marlowe.ACTUS.Definitions.BusinessEvents
     Language.Marlowe.ACTUS.Definitions.ContractTerms
@@ -69,10 +66,9 @@ library
     Language.Marlowe.ACTUS.Model.SCHED.ContractScheduleModel
     Language.Marlowe.ACTUS.Model.SCHED.ContractSchedule
     Language.Marlowe.ACTUS.Model.INIT.StateInitializationModel
-    Language.Marlowe.ACTUS.Model.INIT.StateInitialization
-    Language.Marlowe.ACTUS.Model.INIT.StateInitializationFs
     Language.Marlowe.ACTUS.Model.APPLICABILITY.Applicability
     Language.Marlowe.ACTUS.Model.APPLICABILITY.ApplicabilityModel
+    Language.Marlowe.ACTUS.Model.Utility.ANN.Annuity
     Language.Marlowe.ACTUS.Model.Utility.DateShift
     Language.Marlowe.ACTUS.Model.Utility.ScheduleGenerator
     Language.Marlowe.ACTUS.Model.Utility.YearFraction
@@ -105,8 +101,7 @@ executable marlowe-shiny
       Language.Marlowe.ACTUS.Model.SCHED.ContractScheduleModel
       Language.Marlowe.ACTUS.Model.SCHED.ContractSchedule
       Language.Marlowe.ACTUS.Model.INIT.StateInitializationModel
-      Language.Marlowe.ACTUS.Model.INIT.StateInitialization
-      Language.Marlowe.ACTUS.Model.INIT.StateInitializationFs
+      Language.Marlowe.ACTUS.Model.Utility.ANN.Annuity
       Language.Marlowe.ACTUS.Model.Utility.DateShift
       Language.Marlowe.ACTUS.Model.Utility.ScheduleGenerator
       Language.Marlowe.ACTUS.Model.Utility.YearFraction
@@ -162,8 +157,7 @@ executable marlowe-actus-test-kit
       Language.Marlowe.ACTUS.Model.SCHED.ContractScheduleModel
       Language.Marlowe.ACTUS.Model.SCHED.ContractSchedule
       Language.Marlowe.ACTUS.Model.INIT.StateInitializationModel
-      Language.Marlowe.ACTUS.Model.INIT.StateInitialization
-      Language.Marlowe.ACTUS.Model.INIT.StateInitializationFs
+      Language.Marlowe.ACTUS.Model.Utility.ANN.Annuity
       Language.Marlowe.ACTUS.Model.Utility.DateShift
       Language.Marlowe.ACTUS.Model.Utility.ScheduleGenerator
       Language.Marlowe.ACTUS.Model.Utility.YearFraction