net.finmath.smartcontract.valuation.oracle.SmartDerivativeContractSettlementOracle Maven / Gradle / Ivy

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Project to support the implementation a of smart derivative contract.

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/*
 * (c) Copyright Christian P. Fries, Germany. Contact: [email protected].
 *
 * Created on 7 Oct 2018
 */

package net.finmath.smartcontract.valuation.oracle;

import java.math.BigDecimal;
import java.time.LocalDateTime;
import java.util.Map;
import java.util.stream.Collectors;

/**
 * The margin agreement of a smart derivative contract.
 * The agreement consists of
 * 
 * a valuation oracle, implementing net.finmath.smartcontract.oracle.ValuationOracle
 * 
 * 
 * The accrual of the collateral is assumed to e consistent with the valuation, hence, the accrued collateral
 * can be determined from calling getValue(marginPeriodEnd, marginPeriodStart).
 *
 * @author Christian Fries
 * @see ValuationOracle
 */
public class SmartDerivativeContractSettlementOracle {

	private final ValuationOracle derivativeValuationOracle;

	public SmartDerivativeContractSettlementOracle(final ValuationOracle derivativeValuationOracle) {
		super();
		this.derivativeValuationOracle = derivativeValuationOracle;
	}

	/**
	 * Get the margin of the contract based on the valuation oracles.
	 *
	 * @param marginPeriodStart Period start time of the margin period.
	 * @param marginPeriodEnd   Period end time of the margin period.
	 * @return The margin.
	 */
	public Map getMargin(final LocalDateTime marginPeriodStart, final LocalDateTime marginPeriodEnd) {
		final Map valueDerivativeCurrent = derivativeValuationOracle.getValues(marginPeriodEnd, marginPeriodEnd);
		final Map valueDerivativePrevious = derivativeValuationOracle.getValues(marginPeriodEnd, marginPeriodStart);

		//
		Map margin = valueDerivativeCurrent.keySet().stream().collect(Collectors.toMap(
				key -> key,
				key -> valueDerivativeCurrent.get(key).subtract(valueDerivativePrevious.get(key))
		));

		return margin;
	}
}