From 3e3ec3d728c2038046be76214ea7ffebf57e2ca6 Mon Sep 17 00:00:00 2001 From: "sirigineni.akhil@odedtech.com" Date: Mon, 25 Aug 2025 14:15:09 +0530 Subject: [PATCH 1/3] Added test cases for LAM RPL use case and also for the holidays calendar(MFH). Added test cases to verify the functionality of Fee in PAM --- tests/actus-tests-lam.json | 916 ++++++++++++++++++++++++++++++++++++- tests/actus-tests-pam.json | 857 +++++++++++++++++++++++++++++++++- 2 files changed, 1769 insertions(+), 4 deletions(-) diff --git a/tests/actus-tests-lam.json b/tests/actus-tests-lam.json index 9d557f9..9633cd5 100644 --- a/tests/actus-tests-lam.json +++ b/tests/actus-tests-lam.json @@ -9290,6 +9290,918 @@ "accruedInterest": 0 } ] - } + }, + "lam32": { + "identifier": "lam32", + "terms": { + "contractType": "LAM", + "contractID": "lam32", + "contractRole": "RPL", + "contractDealDate": "2021-12-30T00:00:00", + "initialExchangeDate": "2021-12-31T00:00:00", + "statusDate": "2021-12-30T00:00:00", + "notionalPrincipal": "1000", + "maturityDate": "2022-12-31T00:00:00", + "cycleAnchorDateOfPrincipalRedemption": "2022-01-31T00:00:00", + "dayCountConvention": "A365", + "nominalInterestRate": "0.08", + "nextPrincipalRedemptionPayment": "500", + "currency": "USD", + "cycleOfPrincipalRedemption": "P1ML1", + "cycleAnchorDateOfInterestPayment": "2022-01-31T00:00:00", + "cycleOfInterestPayment": "P1ML0" + }, + "to": "2022-12-31T00:00:00", + "dataObserved": {}, + "eventsObserved": [], + "results": [ + { + "eventDate": "2021-12-31T00:00:00", + "eventType": "IED", + "payoff": 1000.0, + "currency": "USD", + "notionalPrincipal": -1000.0, + "nominalInterestRate": 0.0, + "accruedInterest": 0.0 + }, + { + "eventDate": "2022-01-31T00:00:00", + "eventType": "PR", + "payoff": -500.0, + "currency": "USD", + "notionalPrincipal": -500.0, + "nominalInterestRate": 0.0, + "accruedInterest": -6.0 + }, + { + "eventDate": "2022-01-31T00:00:00", + "eventType": "IP", + "payoff": -6.0, + "currency": "USD", + "notionalPrincipal": -500.0, + "nominalInterestRate": 0.0, + "accruedInterest": 0.0 + }, + { + "eventDate": "2022-02-28T00:00:00", + "eventType": "PR", + "payoff": -500.0, + "currency": "USD", + "notionalPrincipal": 0.0, + "nominalInterestRate": 0.0, + "accruedInterest": -3.0 + }, + { + "eventDate": "2022-02-28T00:00:00", + "eventType": "IP", + "payoff": -3.0, + "currency": "USD", + "notionalPrincipal": 0.0, + "nominalInterestRate": 0.0, + "accruedInterest": 0.0 + }, + { + "eventDate": "2022-03-31T00:00:00", + "eventType": "PR", + "payoff": 0.0, + "currency": "USD", + "notionalPrincipal": 0.0, + "nominalInterestRate": 0.0, + "accruedInterest": 0.0 + }, + { + "eventDate": "2022-03-31T00:00:00", + "eventType": "IP", + "payoff": 0.0, + "currency": "USD", + "notionalPrincipal": 0.0, + "nominalInterestRate": 0.0, + "accruedInterest": 0.0 + }, + { + "eventDate": "2022-04-30T00:00:00", + "eventType": "PR", + "payoff": 0.0, + "currency": "USD", + "notionalPrincipal": 0.0, + "nominalInterestRate": 0.0, + "accruedInterest": 0.0 + }, + { + "eventDate": "2022-04-30T00:00:00", + "eventType": "IP", + "payoff": 0.0, + "currency": "USD", + "notionalPrincipal": 0.0, + "nominalInterestRate": 0.0, + "accruedInterest": 0.0 + }, + { + "eventDate": "2022-05-31T00:00:00", + "eventType": "PR", + "payoff": 0.0, + "currency": "USD", + "notionalPrincipal": 0.0, + "nominalInterestRate": 0.0, + "accruedInterest": 0.0 + }, + { + "eventDate": "2022-05-31T00:00:00", + "eventType": "IP", + "payoff": 0.0, + "currency": "USD", + "notionalPrincipal": 0.0, + "nominalInterestRate": 0.0, + "accruedInterest": 0.0 + }, + { + "eventDate": "2022-06-30T00:00:00", + "eventType": "PR", + "payoff": 0.0, + "currency": "USD", + "notionalPrincipal": 0.0, + "nominalInterestRate": 0.0, + "accruedInterest": 0.0 + }, + { + "eventDate": "2022-06-30T00:00:00", + "eventType": "IP", + "payoff": 0.0, + "currency": "USD", + "notionalPrincipal": 0.0, + "nominalInterestRate": 0.0, + "accruedInterest": 0.0 + }, + { + "eventDate": "2022-07-31T00:00:00", + "eventType": "PR", + "payoff": 0.0, + "currency": "USD", + "notionalPrincipal": 0.0, + "nominalInterestRate": 0.0, + "accruedInterest": 0.0 + }, + { + "eventDate": "2022-07-31T00:00:00", + "eventType": "IP", + "payoff": 0.0, + "currency": "USD", + "notionalPrincipal": 0.0, + "nominalInterestRate": 0.0, + "accruedInterest": 0.0 + }, + { + "eventDate": "2022-08-31T00:00:00", + "eventType": "PR", + "payoff": 0.0, + "currency": "USD", + "notionalPrincipal": 0.0, + "nominalInterestRate": 0.0, + "accruedInterest": 0.0 + }, + { + "eventDate": "2022-08-31T00:00:00", + "eventType": "IP", + "payoff": 0.0, + "currency": "USD", + "notionalPrincipal": 0.0, + "nominalInterestRate": 0.0, + "accruedInterest": 0.0 + }, + { + "eventDate": "2022-09-30T00:00:00", + "eventType": "PR", + "payoff": 0.0, + "currency": "USD", + "notionalPrincipal": 0.0, + "nominalInterestRate": 0.0, + "accruedInterest": 0.0 + }, + { + "eventDate": "2022-09-30T00:00:00", + "eventType": "IP", + "payoff": 0.0, + "currency": "USD", + "notionalPrincipal": 0.0, + "nominalInterestRate": 0.0, + "accruedInterest": 0.0 + }, + { + "eventDate": "2022-10-31T00:00:00", + "eventType": "PR", + "payoff": 0.0, + "currency": "USD", + "notionalPrincipal": 0.0, + "nominalInterestRate": 0.0, + "accruedInterest": 0.0 + }, + { + "eventDate": "2022-10-31T00:00:00", + "eventType": "IP", + "payoff": 0.0, + "currency": "USD", + "notionalPrincipal": 0.0, + "nominalInterestRate": 0.0, + "accruedInterest": 0.0 + }, + { + "eventDate": "2022-11-30T00:00:00", + "eventType": "PR", + "payoff": 0.0, + "currency": "USD", + "notionalPrincipal": 0.0, + "nominalInterestRate": 0.0, + "accruedInterest": 0.0 + }, + { + "eventDate": "2022-11-30T00:00:00", + "eventType": "IP", + "payoff": 0.0, + "currency": "USD", + "notionalPrincipal": 0.0, + "nominalInterestRate": 0.0, + "accruedInterest": 0.0 + }, + { + "eventDate": "2022-12-31T00:00:00", + "eventType": "IP", + "payoff": 0.0, + "currency": "USD", + "notionalPrincipal": 0.0, + "nominalInterestRate": 0.0, + "accruedInterest": 0.0 + }, + { + "eventDate": "2022-12-31T00:00:00", + "eventType": "MD", + "payoff": 0.0, + "currency": "USD", + "notionalPrincipal": 0.0, + "nominalInterestRate": 0.0, + "accruedInterest": 0.0 + } + ] + }, + "lam33": { + "identifier": "lam33", + "terms": { + "contractType": "LAM", + "contractID": "lam33", + "contractRole": "RPA", + "contractDealDate": "2021-12-30T00:00:00", + "initialExchangeDate": "2021-12-31T00:00:00", + "statusDate": "2021-12-30T00:00:00", + "notionalPrincipal": "1000", + "maturityDate": "2022-12-31T00:00:00", + "cycleAnchorDateOfPrincipalRedemption": "2022-01-31T00:00:00", + "dayCountConvention": "A365", + "nominalInterestRate": "0.08", + "nextPrincipalRedemptionPayment": "500", + "currency": "USD", + "cycleOfPrincipalRedemption": "P1ML1", + "cycleAnchorDateOfInterestPayment": "2022-01-31T00:00:00", + "cycleOfInterestPayment": "P1ML0" + }, + "to": "2022-12-31T00:00:00", + "dataObserved": {}, + "eventsObserved": [], + "results": [ + { + "eventDate": "2021-12-31T00:00:00", + "eventType": "IED", + "payoff": -1000.0, + "currency": "USD", + "notionalPrincipal": 1000.0, + "nominalInterestRate": 0.0, + "accruedInterest": 0.0 + }, + { + "eventDate": "2022-01-31T00:00:00", + "eventType": "PR", + "payoff": 500.0, + "currency": "USD", + "notionalPrincipal": 500.0, + "nominalInterestRate": 0.0, + "accruedInterest": 6.0 + }, + { + "eventDate": "2022-01-31T00:00:00", + "eventType": "IP", + "payoff": 6.0, + "currency": "USD", + "notionalPrincipal": 500.0, + "nominalInterestRate": 0.0, + "accruedInterest": 0.0 + }, + { + "eventDate": "2022-02-28T00:00:00", + "eventType": "PR", + "payoff": 500.0, + "currency": "USD", + "notionalPrincipal": 0.0, + "nominalInterestRate": 0.0, + "accruedInterest": 3.0 + }, + { + "eventDate": "2022-02-28T00:00:00", + "eventType": "IP", + "payoff": 3.0, + "currency": "USD", + "notionalPrincipal": 0.0, + "nominalInterestRate": 0.0, + "accruedInterest": 0.0 + }, + { + "eventDate": "2022-03-31T00:00:00", + "eventType": "PR", + "payoff": 0.0, + "currency": "USD", + "notionalPrincipal": 0.0, + "nominalInterestRate": 0.0, + "accruedInterest": 0.0 + }, + { + "eventDate": "2022-03-31T00:00:00", + "eventType": "IP", + 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"eventDate": "2014-01-01T00:00", + "eventType": "MD", + "payoff": 3000, + "currency": "USD", + "notionalPrincipal": 0, + "nominalInterestRate": 0.1, + "accruedInterest": 0 + } + ] + } } - From 54b38f090255847777c35f8771783cd8f787bb3a Mon Sep 17 00:00:00 2001 From: "sirigineni.akhil@odedtech.com" Date: Mon, 25 Aug 2025 14:23:49 +0530 Subject: [PATCH 2/3] Added test cases for LAM RPL use case and also for the holidays calendar(MFH). Added test cases to verify the functionality of Fee in PAM From 0e9074dd2d96695e43ee2cdb0786c431deec46af Mon Sep 17 00:00:00 2001 From: "sirigineni.akhil@odedtech.com" Date: Mon, 6 Oct 2025 15:48:22 +0530 Subject: [PATCH 3/3] Updated lam32 and lam33 test cases with correct nominal interest rate (no rounding) --- tests/actus-tests-lam.json | 1009 ++++++++++++++++++------------------ 1 file changed, 507 insertions(+), 502 deletions(-) diff --git a/tests/actus-tests-lam.json b/tests/actus-tests-lam.json index 9633cd5..072b946 100644 --- a/tests/actus-tests-lam.json +++ b/tests/actus-tests-lam.json @@ -9291,508 +9291,512 @@ } ] }, - "lam32": { - "identifier": "lam32", - "terms": { - "contractType": "LAM", - "contractID": "lam32", - "contractRole": "RPL", - "contractDealDate": "2021-12-30T00:00:00", - "initialExchangeDate": "2021-12-31T00:00:00", - "statusDate": "2021-12-30T00:00:00", - "notionalPrincipal": "1000", - "maturityDate": "2022-12-31T00:00:00", - "cycleAnchorDateOfPrincipalRedemption": "2022-01-31T00:00:00", - "dayCountConvention": "A365", - "nominalInterestRate": "0.08", - "nextPrincipalRedemptionPayment": "500", - "currency": "USD", - "cycleOfPrincipalRedemption": "P1ML1", - "cycleAnchorDateOfInterestPayment": "2022-01-31T00:00:00", - "cycleOfInterestPayment": "P1ML0" - }, - "to": "2022-12-31T00:00:00", - "dataObserved": {}, - "eventsObserved": [], - "results": [ - { - "eventDate": "2021-12-31T00:00:00", - "eventType": "IED", - "payoff": 1000.0, - "currency": "USD", - "notionalPrincipal": -1000.0, - "nominalInterestRate": 0.0, - "accruedInterest": 0.0 - }, - { - "eventDate": "2022-01-31T00:00:00", - "eventType": "PR", - "payoff": -500.0, - "currency": "USD", - "notionalPrincipal": -500.0, - "nominalInterestRate": 0.0, - "accruedInterest": -6.0 - }, - { - "eventDate": "2022-01-31T00:00:00", - "eventType": "IP", - "payoff": -6.0, - "currency": "USD", - "notionalPrincipal": -500.0, - "nominalInterestRate": 0.0, - "accruedInterest": 0.0 - }, - { - "eventDate": "2022-02-28T00:00:00", - "eventType": "PR", - "payoff": -500.0, - "currency": "USD", - "notionalPrincipal": 0.0, - "nominalInterestRate": 0.0, - "accruedInterest": -3.0 - }, - { - "eventDate": "2022-02-28T00:00:00", - "eventType": "IP", - "payoff": -3.0, - "currency": "USD", - "notionalPrincipal": 0.0, - "nominalInterestRate": 0.0, - "accruedInterest": 0.0 - }, - { - "eventDate": "2022-03-31T00:00:00", - "eventType": "PR", - "payoff": 0.0, - "currency": "USD", - "notionalPrincipal": 0.0, - "nominalInterestRate": 0.0, - "accruedInterest": 0.0 - }, - { - "eventDate": "2022-03-31T00:00:00", - "eventType": "IP", - "payoff": 0.0, - "currency": "USD", - "notionalPrincipal": 0.0, - "nominalInterestRate": 0.0, - "accruedInterest": 0.0 - }, - { - "eventDate": "2022-04-30T00:00:00", - "eventType": "PR", - "payoff": 0.0, - "currency": "USD", - "notionalPrincipal": 0.0, - "nominalInterestRate": 0.0, - "accruedInterest": 0.0 - }, - { - "eventDate": 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