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…rba_Commodity_Delivery_Option_Forward_updated
rosetta-models · Nov 14, 2023 · 7515cb2 · 7515cb2
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diff --git a/RELEASE.md b/RELEASE.md
@@ -1,51 +1,36 @@
-# *Exchange Traded Positions Model*
+# *Rename product qualification for Securities Lending and Repo*
 
 _Background_
 
-The CDM model does not currently support exchange traded positions within its framework. To that end, a collaborative effort has been made to model them within the framework of the CDM. This initiative has been a collective endeavor, drawing upon the expertise of SMEs. The primary objective has been to establish a representation of Exchange Traded Positions that aligns with the broader CDM. A working model has been reached which gathers consensus among member firms, and entails the creation of a root type `CounterpartyPositionState`, and a new type `CounterpartyPositionBusinessEvent` within the already existing `WorkflowStep` to document the state transition of a counterparty position in CDM.
+The current product qualification rules do not distinguish between securities lending and repurchase agreement product types.  A future enhancement will refactor how `product` works and also introduce additional capabilities to the qualification functions to use additional attributes to support finer grained qualification (see Issue #2365).
+
+In the meantime, the current qualification rule for repurchase agreements - which is invoked also for securities lending products - will be renamed to be "SecuritiesFinancing" to more loosely differentiate both sets of products.
 
 _What is being released?_
 
-- Support for exchange traded positions to CDM Core.
+- An updated product qualification rule:  `Qualify_RepurchaseAgreement` is renamed to `Qualify_SecuritiesFinancing`.
 
 _Data types_
 
-- Added new `CounterpartyPositionState` root type.
-- `counterpartyPosition` attribute of type `CounterpartyPosition` added to `CounterpartyPositionState` type.
-- `state` attribute of type `State` added to `CounterpartyPositionState` type.
-- `observationHistory` attribute of type `ObservationEvent` added to `CounterpartyPositionState` type.
-- `valuationHistory` attribute of type `Valuation` added to `CounterpartyPositionState` type.
-- Added new `CounterpartyPositionBusinessEvent` type.
-- `intent` attribute of type `PositionEventIntentEnum` added to `CounterpartyPositionBusinessEvent` type.
-- `corporateActionIntent` attribute of type `CorporateActionTypeEnum` added to `CounterpartyPositionBusinessEvent` type.
-- `eventDate` attribute of type `date` added to `CounterpartyPositionBusinessEvent` type.
-- `effectiveDate` attribute of type `date` added to `CounterpartyPositionBusinessEvent` type.
-- `packageInformation` attribute of type `IdentifiedList` added to `CounterpartyPositionBusinessEvent` type.
-- `after` attribute of type `CounterpartyPositionState` added to `CounterpartyPositionBusinessEvent` type.
-- Added new `PositionIdentifier` type.
-- `identifierType` attribute of type `PositionIdentifierTypeEnum` added to `PositionIdentifier` type.
-- `valuationTiming` attribute of type `PriceTimingEnum` added to `Valuation` type.
-- `priceComponent` attribute of type `Price` added to `Valuation` type.
-- `counterpartyPositionBusinessEvent` attribute of type `CounterpartyPositionBusinessEvent` added to `WorkflowStep` type.
-- Added new `ContractBase` type.
-- `contractDetails` attribute of type `ContractDetails` added to `ContractBase` type.
-- `executionDetails` attribute of type `ExecutionDetails` added to `ContractBase` type.
-- `collateral` attribute of type `Collateral` added to `ContractBase` type.
-- Added new `CounterpartyPosition` type.
-- `positionIdentifier` attribute of type `PositionIdentifier` added to `CounterpartyPosition` type.
-- `openDateTime` attribute of type `dateTime` added to `CounterpartyPosition` type.
-- `tradeReference` attribute of type `TradeState` added to `CounterpartyPosition` type.
-- `party` attribute of type `Party` added to `CounterpartyPosition` type.
-- `partyRole` attribute of type `PartyRole` added to `CounterpartyPosition` type.
-- `positionBase` attribute of type `TradableProduct` added to `CounterpartyPosition` type.
-- Added condition `CounterpartyPositionBusinessEventOrBusinessEventChoice` to `WorkflowStep` type.
-- Added `[metadata key]` to `Collateral` type.
+No changes.
 
 _Enumerations_
 
-- Added new `PositionEventIntentEnum` enumeration.
-- Added new `PriceTimingEnum` enumeration.
+No changes.
+
+_Sample Files_
+
+The following JSON sample files have been updated to reflect the current modeling of securities lending products which is to have the collateral information inside the `Collateral` data type rather than inside `AssetPayout`.
+
+- create-security-lending-invoice-func-input.json
+- full-return-settlement-workflow-func-input.json
+- new-settlement-workflow-func-input.json
+- new-settlement-workflow-func-input.json
+- allocation/allocation-sec-lending-func-input.json
+- reallocation/reallocation-pre-settled-func-input.json
 
 _Review directions_
 
-In the CDM Portal, select the Textual Browser and inspect each of the changes listed above.
+In the CDM Portal, select the Textual Browser and inspect each of the changes identified above.
+
+Changes can be reviewed in PR: https://github.com/finos/common-domain-model/pull/2456
diff --git a/rosetta-source/src/main/java/cdm/event/workflow/processor/FISMapperMappingProcessor.java b/rosetta-source/src/main/java/cdm/event/workflow/processor/FISMapperMappingProcessor.java
@@ -555,8 +555,13 @@ private PathValue<EconomicTermsBuilder> getEcTerms(PathValue<TradeStateBuilder>
 
 	private PathValue<AssetPayout.AssetPayoutBuilder> getSecPO(PathValue<TradeStateBuilder> ts) {
 		PathValue<EconomicTermsBuilder> et = getEcTerms(ts);
-		return new PathValue<>(et.getModelPath().addElement("payout").addElement("securityFinancePayout", 0),
-				et.getValue().getOrCreatePayout().getOrCreateAssetPayout(0));
+		return new PathValue<>(et.getModelPath().addElement("collateral").addElement("collateralPortfolio", 0)
+				.addElement("collateralPosition", 0).addElement("product")
+				.addElement("contractualProduct").addElement("economicTerms")
+					.addElement("payout").addElement("assetPayout", 0),
+				et.getValue().getOrCreateCollateral().getOrCreateCollateralPortfolio(0).getOrCreateValue()
+						.getOrCreateCollateralPosition(0).getOrCreateProduct().getOrCreateContractualProduct()
+						.getOrCreateEconomicTerms().getOrCreatePayout().getOrCreateAssetPayout(0));
 	}
 
 	private PathValue<CollateralProvisions.CollateralProvisionsBuilder> getColPro(PathValue<TradeStateBuilder> ts) {

diff --git a/rosetta-source/src/main/java/cdm/security/lending/functions/SettlementFunctionHelper.java b/rosetta-source/src/main/java/cdm/security/lending/functions/SettlementFunctionHelper.java
@@ -11,7 +11,9 @@
 import cdm.event.common.functions.CalculateTransfer;
 import cdm.event.common.functions.Create_BusinessEvent;
 import cdm.event.common.functions.Create_Return;
+import cdm.event.common.metafields.ReferenceWithMetaCollateralPortfolio;
 import cdm.event.workflow.EventInstruction;
+import cdm.product.collateral.Collateral;
 import cdm.product.template.*;
 import com.google.common.collect.Iterables;
 import com.rosetta.model.lib.RosettaModelObject;
@@ -21,9 +23,7 @@
 
 import javax.inject.Inject;
 import java.time.LocalDate;
-import java.util.Arrays;
-import java.util.List;
-import java.util.Optional;
+import java.util.*;
 import java.util.function.Function;
 import java.util.stream.Collectors;
 
@@ -171,7 +171,17 @@ private Optional<Payout> getPayout(BusinessEvent executionBusinessEvent) {
                 .map(TradableProduct::getProduct)
                 .map(Product::getContractualProduct)
                 .map(ContractualProduct::getEconomicTerms)
-                .map(EconomicTerms::getPayout);
+                .map(EconomicTerms::getCollateral)
+                .map(Collateral::getCollateralPortfolio)
+                .orElse(Collections.emptyList()).stream()
+                .map(ReferenceWithMetaCollateralPortfolio::getValue)
+                .map(CollateralPortfolio::getCollateralPosition)
+                .flatMap(Collection::stream)
+                .map(CollateralPosition::getProduct)
+                .map(Product::getContractualProduct)
+                .map(ContractualProduct::getEconomicTerms)
+                .map(EconomicTerms::getPayout)
+                .findFirst();
     }
 
     private Optional<Payout> getSecurityPayout(BusinessEvent executionBusinessEvent) {

diff --git a/rosetta-source/src/main/resources/cdm-sample-files/fis/expectations.json b/rosetta-source/src/main/resources/cdm-sample-files/fis/expectations.json
@@ -1,2 +1,2 @@
 [
-{"fileName":"cdm-sample-files/fis/isla1.xml","excludedPaths":0,"externalPaths":120,"outstandingMappings":10,"validationFailures":37,"qualificationExpectation":{"success":false,"qualifyResults":[{"qualifiedName":"SecurityLendingAgreement","qualifiedObjectClass":"cdm.product.template.EconomicTerms"},{"qualifiedName":"SecurityLendingAgreement","qualifiedObjectClass":"cdm.product.template.EconomicTerms"},{"qualifiedName":"SecurityLendingAgreement","qualifiedObjectClass":"cdm.product.template.EconomicTerms"},{"qualifiedName":"SecurityLendingAgreement","qualifiedObjectClass":"cdm.product.template.EconomicTerms"},{"qualifiedName":"SecurityLendingAgreement","qualifiedObjectClass":"cdm.product.template.EconomicTerms"},{"qualifiedName":"SecurityLendingAgreement","qualifiedObjectClass":"cdm.product.template.EconomicTerms"}],"qualifiableObjectCount":7}}]
+{"fileName":"cdm-sample-files/fis/isla1.xml","excludedPaths":0,"externalPaths":120,"outstandingMappings":10,"validationFailures":37,"qualificationExpectation":{"success":false,"qualifyResults":[{"qualifiedName":"SecuritiesFinance","qualifiedObjectClass":"cdm.product.template.EconomicTerms"},{"qualifiedName":"SecuritiesFinance","qualifiedObjectClass":"cdm.product.template.EconomicTerms"},{"qualifiedName":"SecuritiesFinance","qualifiedObjectClass":"cdm.product.template.EconomicTerms"},{"qualifiedName":"SecuritiesFinance","qualifiedObjectClass":"cdm.product.template.EconomicTerms"},{"qualifiedName":"SecuritiesFinance","qualifiedObjectClass":"cdm.product.template.EconomicTerms"},{"qualifiedName":"SecuritiesFinance","qualifiedObjectClass":"cdm.product.template.EconomicTerms"}],"qualifiableObjectCount":13}}]
diff --git a/...urce/src/main/resources/cdm-sample-files/functions/repo-and-bond/cancellation-output.json b/...urce/src/main/resources/cdm-sample-files/functions/repo-and-bond/cancellation-output.json
@@ -141,7 +141,7 @@
                   }
                 }, {
                   "source" : "ISDA",
-                  "productQualifier" : "RepurchaseAgreement"
+                  "productQualifier" : "SecuritiesFinance"
                 } ],
                 "economicTerms" : {
                   "effectiveDate" : {
@@ -398,7 +398,7 @@
                   }
                 }, {
                   "source" : "ISDA",
-                  "productQualifier" : "RepurchaseAgreement"
+                  "productQualifier" : "SecuritiesFinance"
                 } ],
                 "economicTerms" : {
                   "effectiveDate" : {
@@ -827,7 +827,7 @@
               }
             }, {
               "source" : "ISDA",
-              "productQualifier" : "RepurchaseAgreement"
+              "productQualifier" : "SecuritiesFinance"
             } ],
             "economicTerms" : {
               "effectiveDate" : {
@@ -1255,7 +1255,7 @@
               }
             }, {
               "source" : "ISDA",
-              "productQualifier" : "RepurchaseAgreement"
+              "productQualifier" : "SecuritiesFinance"
             } ],
             "economicTerms" : {
               "effectiveDate" : {

diff --git a/...main/resources/cdm-sample-files/functions/repo-and-bond/clearing-via-novation-output.json b/...main/resources/cdm-sample-files/functions/repo-and-bond/clearing-via-novation-output.json
@@ -129,7 +129,7 @@
                   }
                 }, {
                   "source" : "ISDA",
-                  "productQualifier" : "RepurchaseAgreement"
+                  "productQualifier" : "SecuritiesFinance"
                 } ],
                 "economicTerms" : {
                   "effectiveDate" : {
@@ -572,7 +572,7 @@
               }
             }, {
               "source" : "ISDA",
-              "productQualifier" : "RepurchaseAgreement"
+              "productQualifier" : "SecuritiesFinance"
             } ],
             "economicTerms" : {
               "effectiveDate" : {
@@ -996,7 +996,7 @@
               }
             }, {
               "source" : "ISDA",
-              "productQualifier" : "RepurchaseAgreement"
+              "productQualifier" : "SecuritiesFinance"
             } ],
             "economicTerms" : {
               "effectiveDate" : {
@@ -1420,7 +1420,7 @@
               }
             }, {
               "source" : "ISDA",
-              "productQualifier" : "RepurchaseAgreement"
+              "productQualifier" : "SecuritiesFinance"
             } ],
             "economicTerms" : {
               "effectiveDate" : {

diff --git a/...in/resources/cdm-sample-files/functions/repo-and-bond/clearing-via-open-offer-output.json b/...in/resources/cdm-sample-files/functions/repo-and-bond/clearing-via-open-offer-output.json
@@ -30,7 +30,7 @@
               }
             }, {
               "source" : "ISDA",
-              "productQualifier" : "RepurchaseAgreement"
+              "productQualifier" : "SecuritiesFinance"
             } ],
             "economicTerms" : {
               "effectiveDate" : {
@@ -465,7 +465,7 @@
               }
             }, {
               "source" : "ISDA",
-              "productQualifier" : "RepurchaseAgreement"
+              "productQualifier" : "SecuritiesFinance"
             } ],
             "economicTerms" : {
               "effectiveDate" : {
@@ -909,7 +909,7 @@
               }
             }, {
               "source" : "ISDA",
-              "productQualifier" : "RepurchaseAgreement"
+              "productQualifier" : "SecuritiesFinance"
             } ],
             "economicTerms" : {
               "effectiveDate" : {
@@ -1358,7 +1358,7 @@
               }
             }, {
               "source" : "ISDA",
-              "productQualifier" : "RepurchaseAgreement"
+              "productQualifier" : "SecuritiesFinance"
             } ],
             "economicTerms" : {
               "effectiveDate" : {

diff --git a/...resources/cdm-sample-files/functions/repo-and-bond/on-demand-interest-payment-output.json b/...resources/cdm-sample-files/functions/repo-and-bond/on-demand-interest-payment-output.json
@@ -308,7 +308,7 @@
                   }
                 }, {
                   "source" : "ISDA",
-                  "productQualifier" : "RepurchaseAgreement"
+                  "productQualifier" : "SecuritiesFinance"
                 } ],
                 "economicTerms" : {
                   "effectiveDate" : {

diff --git a/...main/resources/cdm-sample-files/functions/repo-and-bond/on-demand-rate-change-output.json b/...main/resources/cdm-sample-files/functions/repo-and-bond/on-demand-rate-change-output.json
@@ -60,7 +60,7 @@
                   }
                 }, {
                   "source" : "ISDA",
-                  "productQualifier" : "RepurchaseAgreement"
+                  "productQualifier" : "SecuritiesFinance"
                 } ],
                 "economicTerms" : {
                   "effectiveDate" : {
@@ -317,7 +317,7 @@
                   }
                 }, {
                   "source" : "ISDA",
-                  "productQualifier" : "RepurchaseAgreement"
+                  "productQualifier" : "SecuritiesFinance"
                 } ],
                 "economicTerms" : {
                   "effectiveDate" : {
@@ -746,7 +746,7 @@
               }
             }, {
               "source" : "ISDA",
-              "productQualifier" : "RepurchaseAgreement"
+              "productQualifier" : "SecuritiesFinance"
             } ],
             "economicTerms" : {
               "effectiveDate" : {
@@ -1174,7 +1174,7 @@
               }
             }, {
               "source" : "ISDA",
-              "productQualifier" : "RepurchaseAgreement"
+              "productQualifier" : "SecuritiesFinance"
             } ],
             "economicTerms" : {
               "effectiveDate" : {

diff --git a/...a-source/src/main/resources/cdm-sample-files/functions/repo-and-bond/pair-off-output.json b/...a-source/src/main/resources/cdm-sample-files/functions/repo-and-bond/pair-off-output.json
@@ -15,7 +15,7 @@
               }
             }, {
               "source" : "ISDA",
-              "productQualifier" : "RepurchaseAgreement"
+              "productQualifier" : "SecuritiesFinance"
             } ],
             "economicTerms" : {
               "effectiveDate" : {
@@ -503,7 +503,7 @@
                   }
                 }, {
                   "source" : "ISDA",
-                  "productQualifier" : "RepurchaseAgreement"
+                  "productQualifier" : "SecuritiesFinance"
                 } ],
                 "economicTerms" : {
                   "effectiveDate" : {
@@ -908,7 +908,7 @@
               }
             }, {
               "source" : "ISDA",
-              "productQualifier" : "RepurchaseAgreement"
+              "productQualifier" : "SecuritiesFinance"
             } ],
             "economicTerms" : {
               "effectiveDate" : {
@@ -1396,7 +1396,7 @@
                   }
                 }, {
                   "source" : "ISDA",
-                  "productQualifier" : "RepurchaseAgreement"
+                  "productQualifier" : "SecuritiesFinance"
                 } ],
                 "economicTerms" : {
                   "effectiveDate" : {
@@ -1825,7 +1825,7 @@
               }
             }, {
               "source" : "ISDA",
-              "productQualifier" : "RepurchaseAgreement"
+              "productQualifier" : "SecuritiesFinance"
             } ],
             "economicTerms" : {
               "effectiveDate" : {
@@ -2301,7 +2301,7 @@
               }
             }, {
               "source" : "ISDA",
-              "productQualifier" : "RepurchaseAgreement"
+              "productQualifier" : "SecuritiesFinance"
             } ],
             "economicTerms" : {
               "effectiveDate" : {

diff --git a/...c/main/resources/cdm-sample-files/functions/repo-and-bond/repo-execution-func-output.json b/...c/main/resources/cdm-sample-files/functions/repo-and-bond/repo-execution-func-output.json
@@ -14,7 +14,7 @@
               }
             }, {
               "source" : "ISDA",
-              "productQualifier" : "RepurchaseAgreement"
+              "productQualifier" : "SecuritiesFinance"
             } ],
             "economicTerms" : {
               "effectiveDate" : {
@@ -452,7 +452,7 @@
               }
             }, {
               "source" : "ISDA",
-              "productQualifier" : "RepurchaseAgreement"
+              "productQualifier" : "SecuritiesFinance"
             } ],
             "economicTerms" : {
               "effectiveDate" : {

diff --git a/rosetta-source/src/main/resources/cdm-sample-files/functions/repo-and-bond/roll-output.json b/rosetta-source/src/main/resources/cdm-sample-files/functions/repo-and-bond/roll-output.json
@@ -141,7 +141,7 @@
                   }
                 }, {
                   "source" : "ISDA",
-                  "productQualifier" : "RepurchaseAgreement"
+                  "productQualifier" : "SecuritiesFinance"
                 } ],
                 "economicTerms" : {
                   "effectiveDate" : {
@@ -398,7 +398,7 @@
                   }
                 }, {
                   "source" : "ISDA",
-                  "productQualifier" : "RepurchaseAgreement"
+                  "productQualifier" : "SecuritiesFinance"
                 } ],
                 "economicTerms" : {
                   "effectiveDate" : {
@@ -826,7 +826,7 @@
               }
             }, {
               "source" : "ISDA",
-              "productQualifier" : "RepurchaseAgreement"
+              "productQualifier" : "SecuritiesFinance"
             } ],
             "economicTerms" : {
               "effectiveDate" : {
@@ -1254,7 +1254,7 @@
               }
             }, {
               "source" : "ISDA",
-              "productQualifier" : "RepurchaseAgreement"
+              "productQualifier" : "SecuritiesFinance"
             } ],
             "economicTerms" : {
               "effectiveDate" : {