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Merge feature/AP-197-refactor-schedule-generation #34

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Dec 12, 2019
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Merge feature/AP-197-refactor-schedule-generation #34

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605bd28
Refactor cyclic schedule generation methods
jo-es Dec 11, 2019
dc97454
Merge branch 'MS1' into feature/AP-197-refactor-schedule-generation
jo-es Dec 12, 2019
ab3133f
Fix some tests
jo-es Dec 12, 2019
f0d14b6
Fix cyclic generation
jo-es Dec 12, 2019
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2 changes: 1 addition & 1 deletion artifacts/ACTUSTypes.json
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"version": "0.5.2+commit.1df8f40c.Emscripten.clang"
},
"networks": {},
"updatedAt": "2019-12-12T10:18:18.352Z"
"updatedAt": "2019-12-12T14:54:18.525Z"
}
6 changes: 3 additions & 3 deletions artifacts/ANNEngine.json
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2 changes: 1 addition & 1 deletion artifacts/BaseEngine.json
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"version": "0.5.2+commit.1df8f40c.Emscripten.clang"
},
"networks": {},
"updatedAt": "2019-12-12T10:18:18.404Z"
"updatedAt": "2019-12-12T14:54:18.633Z"
}
2 changes: 1 addition & 1 deletion artifacts/BokkyPooBahsDateTimeLibrary.json
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"version": "0.5.2+commit.1df8f40c.Emscripten.clang"
},
"networks": {},
"updatedAt": "2019-12-10T15:52:56.912Z"
"updatedAt": "2019-12-12T14:54:18.847Z"
}
2 changes: 1 addition & 1 deletion artifacts/BusinessDayConvention.json
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"version": "0.5.2+commit.1df8f40c.Emscripten.clang"
},
"networks": {},
"updatedAt": "2019-12-12T10:18:18.356Z"
"updatedAt": "2019-12-12T14:54:18.533Z"
}
2 changes: 1 addition & 1 deletion artifacts/CECEngine.json
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"version": "0.5.2+commit.1df8f40c.Emscripten.clang"
},
"networks": {},
"updatedAt": "2019-12-12T10:18:18.409Z"
"updatedAt": "2019-12-12T14:54:18.640Z"
}
2 changes: 1 addition & 1 deletion artifacts/CEGEngine.json
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"version": "0.5.2+commit.1df8f40c.Emscripten.clang"
},
"networks": {},
"updatedAt": "2019-12-12T10:18:18.416Z"
"updatedAt": "2019-12-12T14:54:18.656Z"
}
2 changes: 1 addition & 1 deletion artifacts/ContractDefaultConvention.json
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"version": "0.5.2+commit.1df8f40c.Emscripten.clang"
},
"networks": {},
"updatedAt": "2019-12-12T10:18:18.359Z"
"updatedAt": "2019-12-12T14:54:18.539Z"
}
2 changes: 1 addition & 1 deletion artifacts/ContractRoleConvention.json
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"version": "0.5.2+commit.1df8f40c.Emscripten.clang"
},
"networks": {},
"updatedAt": "2019-12-12T10:18:18.360Z"
"updatedAt": "2019-12-12T14:54:18.541Z"
}
2 changes: 1 addition & 1 deletion artifacts/Core.json
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"version": "0.5.2+commit.1df8f40c.Emscripten.clang"
},
"networks": {},
"updatedAt": "2019-12-12T10:18:18.371Z"
"updatedAt": "2019-12-12T14:54:18.564Z"
}
2 changes: 1 addition & 1 deletion artifacts/DayCountConvention.json
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"version": "0.5.2+commit.1df8f40c.Emscripten.clang"
},
"networks": {},
"updatedAt": "2019-12-12T10:18:18.364Z"
"updatedAt": "2019-12-12T14:54:18.552Z"
}
2 changes: 1 addition & 1 deletion artifacts/EndOfMonthConvention.json
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"version": "0.5.2+commit.1df8f40c.Emscripten.clang"
},
"networks": {},
"updatedAt": "2019-12-12T10:18:18.370Z"
"updatedAt": "2019-12-12T14:54:18.561Z"
}
2 changes: 1 addition & 1 deletion artifacts/IEngine.json
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"version": "0.5.2+commit.1df8f40c.Emscripten.clang"
},
"networks": {},
"updatedAt": "2019-12-12T10:18:18.422Z"
"updatedAt": "2019-12-12T14:54:18.668Z"
}
2 changes: 1 addition & 1 deletion artifacts/Migrations.json
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"version": "0.5.2+commit.1df8f40c.Emscripten.clang"
},
"networks": {},
"updatedAt": "2019-12-10T15:52:56.898Z"
"updatedAt": "2019-12-12T14:54:18.826Z"
}
6 changes: 3 additions & 3 deletions artifacts/PAMEngine.json
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2 changes: 1 addition & 1 deletion artifacts/POF.json
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"version": "0.5.2+commit.1df8f40c.Emscripten.clang"
},
"networks": {},
"updatedAt": "2019-12-12T10:18:18.447Z"
"updatedAt": "2019-12-12T14:54:18.728Z"
}
2 changes: 1 addition & 1 deletion artifacts/STF.json
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"version": "0.5.2+commit.1df8f40c.Emscripten.clang"
},
"networks": {},
"updatedAt": "2019-12-12T10:18:18.478Z"
"updatedAt": "2019-12-12T14:54:18.776Z"
}
2 changes: 1 addition & 1 deletion artifacts/SafeMath.json
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"version": "0.5.2+commit.1df8f40c.Emscripten.clang"
},
"networks": {},
"updatedAt": "2019-12-10T15:52:56.942Z"
"updatedAt": "2019-12-12T14:54:18.885Z"
}
2 changes: 1 addition & 1 deletion artifacts/Schedule.json
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"version": "0.5.2+commit.1df8f40c.Emscripten.clang"
},
"networks": {},
"updatedAt": "2019-12-12T10:18:18.377Z"
"updatedAt": "2019-12-12T14:54:18.573Z"
}
2 changes: 1 addition & 1 deletion artifacts/SignedMath.json
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"version": "0.5.2+commit.1df8f40c.Emscripten.clang"
},
"networks": {},
"updatedAt": "2019-12-10T15:52:56.780Z"
"updatedAt": "2019-12-12T14:54:18.581Z"
}
2 changes: 1 addition & 1 deletion artifacts/SignedSafeMath.json
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"version": "0.5.2+commit.1df8f40c.Emscripten.clang"
},
"networks": {},
"updatedAt": "2019-12-10T15:52:56.939Z"
"updatedAt": "2019-12-12T14:54:18.882Z"
}
2 changes: 1 addition & 1 deletion artifacts/TestPOF.json
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"version": "0.5.2+commit.1df8f40c.Emscripten.clang"
},
"networks": {},
"updatedAt": "2019-12-12T10:18:18.509Z"
"updatedAt": "2019-12-12T14:54:18.867Z"
}
2 changes: 1 addition & 1 deletion artifacts/TestSTF.json
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"version": "0.5.2+commit.1df8f40c.Emscripten.clang"
},
"networks": {},
"updatedAt": "2019-12-12T10:18:18.515Z"
"updatedAt": "2019-12-12T14:54:18.875Z"
}
2 changes: 1 addition & 1 deletion artifacts/Utils.json
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"version": "0.5.2+commit.1df8f40c.Emscripten.clang"
},
"networks": {},
"updatedAt": "2019-12-12T10:18:18.382Z"
"updatedAt": "2019-12-12T14:54:18.588Z"
}
66 changes: 38 additions & 28 deletions contracts/Engines/ANNEngine.sol
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Expand Up @@ -95,8 +95,8 @@ contract ANNEngine is BaseEngine, STF, POF {
if (isInPeriod(terms.maturityDate, segmentStart, segmentEnd) == true) {
_eventSchedule[index] = encodeEvent(EventType.MD, terms.maturityDate);
index++;
_eventSchedule[index] = encodeEvent(EventType.IP, terms.maturityDate);
index++;
// _eventSchedule[index] = encodeEvent(EventType.IP, terms.maturityDate);
// index++;
}

return _eventSchedule;
Expand All @@ -122,46 +122,58 @@ contract ANNEngine is BaseEngine, STF, POF {
{
bytes32[MAX_EVENT_SCHEDULE_SIZE] memory _eventSchedule;

if (eventType == EventType.IP || eventType == EventType.IPCI) {
if (eventType == EventType.IP) {
uint256 index = 0;

// interest payment related (covers pre-repayment period only,
// starting with PRANX interest is paid following the PR schedule)
if (terms.cycleOfInterestPayment.isSet == true &&
terms.cycleAnchorDateOfInterestPayment != 0 &&
terms.cycleAnchorDateOfInterestPayment < terms.cycleAnchorDateOfPrincipalRedemption)
{
if (
terms.cycleOfInterestPayment.isSet == true
&& terms.cycleAnchorDateOfInterestPayment != 0
) {
uint256[MAX_CYCLE_SIZE] memory interestPaymentSchedule = computeDatesFromCycleSegment(
terms.cycleAnchorDateOfInterestPayment,
terms.cycleAnchorDateOfPrincipalRedemption, // pure IP schedule ends at beginning of combined IP/PR schedule
terms.maturityDate,
terms.cycleOfInterestPayment,
false, // do not create an event for cycleAnchorDateOfPrincipalRedemption as covered with the PR schedule
true,
segmentStart,
segmentEnd
);
for (uint8 i = 0; i < MAX_CYCLE_SIZE; i++) {
if (interestPaymentSchedule[i] == 0) break;
if (interestPaymentSchedule[i] <= terms.capitalizationEndDate) continue;
if (isInPeriod(interestPaymentSchedule[i], segmentStart, segmentEnd) == false) continue;
if (
terms.capitalizationEndDate != 0 &&
interestPaymentSchedule[i] <= terms.capitalizationEndDate
) {
if (interestPaymentSchedule[i] == terms.capitalizationEndDate) continue;
_eventSchedule[index] = encodeEvent(EventType.IPCI, interestPaymentSchedule[i]);
index++;
} else {
_eventSchedule[index] = encodeEvent(EventType.IP, interestPaymentSchedule[i]);
index++;
}
_eventSchedule[index] = encodeEvent(EventType.IP, interestPaymentSchedule[i]);
index++;
}
}
// capitalization end date
}

if (eventType == EventType.IPCI) {
uint256 index = 0;

// IPCI
if (
terms.capitalizationEndDate != 0 &&
terms.capitalizationEndDate < terms.cycleAnchorDateOfPrincipalRedemption
terms.cycleOfInterestPayment.isSet == true
&& terms.cycleAnchorDateOfInterestPayment != 0
&& terms.capitalizationEndDate != 0
&& terms.capitalizationEndDate < terms.cycleAnchorDateOfPrincipalRedemption
) {
if (isInPeriod(terms.capitalizationEndDate, segmentStart, segmentEnd)) {
_eventSchedule[index] = encodeEvent(EventType.IPCI, terms.capitalizationEndDate);
IPS memory cycleOfInterestCapitalization = terms.cycleOfInterestPayment;
cycleOfInterestCapitalization.s = S.SHORT;

uint256[MAX_CYCLE_SIZE] memory interestPaymentSchedule = computeDatesFromCycleSegment(
terms.cycleAnchorDateOfInterestPayment,
terms.capitalizationEndDate,
cycleOfInterestCapitalization,
true,
segmentStart,
segmentEnd
);
for (uint8 i = 0; i < MAX_CYCLE_SIZE; i++) {
if (interestPaymentSchedule[i] == 0) break;
if (isInPeriod(interestPaymentSchedule[i], segmentStart, segmentEnd) == false) continue;
_eventSchedule[index] = encodeEvent(EventType.IPCI, interestPaymentSchedule[i]);
index++;
}
}
Expand Down Expand Up @@ -192,7 +204,7 @@ contract ANNEngine is BaseEngine, STF, POF {
if (eventType == EventType.PR) {
uint256 index = 0;

// principal redemption related (covers also interest events post PRANX)
// principal redemption
uint256[MAX_CYCLE_SIZE] memory principalRedemptionSchedule = computeDatesFromCycleSegment(
terms.cycleAnchorDateOfPrincipalRedemption,
terms.maturityDate,
Expand All @@ -206,8 +218,6 @@ contract ANNEngine is BaseEngine, STF, POF {
if (isInPeriod(principalRedemptionSchedule[i], segmentStart, segmentEnd) == false) continue;
_eventSchedule[index] = encodeEvent(EventType.PR, principalRedemptionSchedule[i]);
index++;
_eventSchedule[index] = encodeEvent(EventType.IP, principalRedemptionSchedule[i]);
index++;
}
}

Expand Down
59 changes: 34 additions & 25 deletions contracts/Engines/PAMEngine.sol
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Expand Up @@ -112,12 +112,14 @@ contract PAMEngine is BaseEngine, STF, POF {
{
bytes32[MAX_EVENT_SCHEDULE_SIZE] memory _eventSchedule;

if (eventType == EventType.IP || eventType == EventType.IPCI) {
if (eventType == EventType.IP) {
uint256 index = 0;

// interest payment related (e.g. for reoccurring interest payments)
if (terms.nominalInterestRate != 0 && (
terms.cycleOfInterestPayment.isSet == true && terms.cycleAnchorDateOfInterestPayment != 0)
// interest payment related (covers pre-repayment period only,
// starting with PRANX interest is paid following the PR schedule)
if (
terms.cycleOfInterestPayment.isSet == true
&& terms.cycleAnchorDateOfInterestPayment != 0
) {
uint256[MAX_CYCLE_SIZE] memory interestPaymentSchedule = computeDatesFromCycleSegment(
terms.cycleAnchorDateOfInterestPayment,
Expand All @@ -127,33 +129,40 @@ contract PAMEngine is BaseEngine, STF, POF {
segmentStart,
segmentEnd
);
if (terms.capitalizationEndDate != 0) {
if (isInPeriod(terms.capitalizationEndDate, segmentStart, segmentEnd)) {
_eventSchedule[index] = encodeEvent(EventType.IPCI, terms.capitalizationEndDate);
index++;
}
}
for (uint8 i = 0; i < MAX_CYCLE_SIZE; i++) {
if (interestPaymentSchedule[i] == 0) break;
if (interestPaymentSchedule[i] <= terms.capitalizationEndDate) continue;
if (isInPeriod(interestPaymentSchedule[i], segmentStart, segmentEnd) == false) continue;
if (
terms.capitalizationEndDate != 0 &&
interestPaymentSchedule[i] <= terms.capitalizationEndDate
) {
if (interestPaymentSchedule[i] == terms.capitalizationEndDate) continue;
_eventSchedule[index] = encodeEvent(EventType.IPCI, interestPaymentSchedule[i]);
index++;
} else {
_eventSchedule[index] = encodeEvent(EventType.IP, interestPaymentSchedule[i]);
index++;
}
_eventSchedule[index] = encodeEvent(EventType.IP, interestPaymentSchedule[i]);
index++;
}
}
}

if (eventType == EventType.IPCI) {
uint256 index = 0;

// IPCI
if (
terms.cycleOfInterestPayment.isSet == true
&& terms.cycleAnchorDateOfInterestPayment != 0
&& terms.capitalizationEndDate != 0
) {
IPS memory cycleOfInterestCapitalization = terms.cycleOfInterestPayment;
cycleOfInterestCapitalization.s = S.SHORT;

// capitalization end date
else if (terms.capitalizationEndDate != 0) {
if (isInPeriod(terms.capitalizationEndDate, segmentStart, segmentEnd)) {
_eventSchedule[index] = encodeEvent(EventType.IPCI, terms.capitalizationEndDate);
uint256[MAX_CYCLE_SIZE] memory interestPaymentSchedule = computeDatesFromCycleSegment(
terms.cycleAnchorDateOfInterestPayment,
terms.capitalizationEndDate,
cycleOfInterestCapitalization,
true,
segmentStart,
segmentEnd
);
for (uint8 i = 0; i < MAX_CYCLE_SIZE; i++) {
if (interestPaymentSchedule[i] == 0) break;
if (isInPeriod(interestPaymentSchedule[i], segmentStart, segmentEnd) == false) continue;
_eventSchedule[index] = encodeEvent(EventType.IPCI, interestPaymentSchedule[i]);
index++;
}
}
Expand Down
25 changes: 22 additions & 3 deletions test/Engines/ANN/TestANNEngine.js
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Expand Up @@ -13,15 +13,21 @@ const {
contract('ANNEngine', () => {

const computeEventScheduleSegment = async (terms, segmentStart, segmentEnd) => {
const generatingTerms = parseTermsToGeneratingTerms(terms);

// fix for new schedule generation
generatingTerms.cycleAnchorDateOfInterestPayment = generatingTerms.cycleAnchorDateOfPrincipalRedemption;
generatingTerms.cycleOfInterestPayment = generatingTerms.cycleOfPrincipalRedemption;

const _eventSchedule = [];

_eventSchedule.push(... await this.ANNEngineInstance.computeNonCyclicScheduleSegment(
terms,
generatingTerms,
segmentStart,
segmentEnd
));
_eventSchedule.push(... await this.ANNEngineInstance.computeCyclicScheduleSegment(
terms,
generatingTerms,
segmentStart,
segmentEnd,
4 // FP
Expand All @@ -30,14 +36,27 @@ contract('ANNEngine', () => {
terms,
segmentStart,
segmentEnd,
7 // IPCI
));
_eventSchedule.push(... await this.ANNEngineInstance.computeCyclicScheduleSegment(
generatingTerms,
segmentStart,
segmentEnd,
8 // IP
));
_eventSchedule.push(... await this.ANNEngineInstance.computeCyclicScheduleSegment(
terms,
generatingTerms,
segmentStart,
segmentEnd,
15 // PR
));
_eventSchedule.push(... await this.ANNEngineInstance.computeCyclicScheduleSegment(
generatingTerms,
segmentStart,
segmentEnd,
18 // RR
));


return sortEvents(removeNullEvents(_eventSchedule));
}
Expand Down
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