Valuation Service (ReST service)

If you like to run the valuation service locally from this repository, running mvn spring-boot:run or runnning net.finmath.smartcontract.service.Appplication starts a ReST service providing a valuation oracle.

Docker: Running Valuation Service

Run the Docker Container (starts Valuation Service)

Important: provide users and passwords via an application.yml file that resides in /PATH/TO/YOUR/CONFIG (on the machine running Docker) (see Section “Config” below for the format of that file).

To run Docker Container with the image from Docker Hub execute following commands.

docker run -v /PATH/TO/YOUR/CONFIG:/workspace/config -p 8080:8080 finmath/finmath-smart-derivative-contract:1.0.1

The service will be available at http://localhost:8080/index.html

You can also then try the service out on its OpenAPI page: http://localhost:8080/swagger-ui/index.html or https://localhost:8443/swagger-ui/index.html

Config

A sample application.yml is

data:
  sdc:
    users:
      - username: user1
        password: password1
        role: USER_ONE
      - username: user2
        password: password2
        role: USER_TWO

Testing the Valuation Service

Clone this repository, if not done yet:

git clone https://github.com/finmath/finmath-smart-derivative-contract.git
cd finmath-smart-derivative-contract

Run

./scripts/test-margin-valuation-oracle.sh https://localhost:8080 user:password

where user is a username configured in the application.yml (in /PATH/TO/YOUR/CONFIG) and password is the corresponding password configured in the application.yml (in /PATH/TO/YOUR/CONFIG) .

Change the hostname as required.

Running the service on https 8443

In the above application.yml add

server:
  ssl:
    key-store: /config/keyfile.p12
    key-store-password: password
    key-store-type: pkcs12
  port: 8443

Then place the keyfile (here keyfile.p12 at the stated location (here /config (the folder mounted by our Docker commands).

Generating a certificate

keytool -genkeypair -keyalg RSA -keysize 2048 -storetype PKCS12 -keystore config/finmath.p12 -validity 365 -alias finmath -ext "SAN=IP:127.0.0.1" -dname "CN=127.0.0.1"

Note: change the file (keystore), the validity, the alias, and the IP/domain name as required

For choosing CN an SAN see https://stackoverflow.com/questions/5935369/how-do-common-names-cn-and-subject-alternative-names-san-work-together

Get the corresponding .cer file

openssl pkcs12 -in config/finmath.p12 -clcerts -nokeys -out config/finmath.cer
keytool -printcert -file config/finmath.cer

Note: change the files as required

Import a .cer file into the truststore (cacert)

keytool -import -file config/finmath.cer -keystore $JAVA_HOME/lib/security/cacerts -storepass changeit -alias finmath

Note: change the files and the alias as required

Import a .pem file into the truststore (cacert)

keytool -import -v -trustcacerts -file config/finmath.pem -keystore $JAVA_HOME/lib/security/cacerts -storepass changeit -alias finmath

Delete an alias from the truststrore

keytool -delete -alias mykey -keystore $JAVA_HOME/lib/security/cacerts -storepass changeit

Test the service with https

./scripts/test-margin-valuation-oracle.sh https://localhost:8443 user1:password1

Enpoints

The enpoint https://localhost:8080/valuation/value allows the valuation of a financial product under given market data.

The enpoint https://localhost:8080/valuation/margin allows the calculation of the settlement amount between two market data sets.

The market data has to be provided as a JSON. The product data as to be provided as an XML (containing a part being an FPML of the underlying product).

Value

The endpoint value calculates the value of a financial product with given market data.

The endpoint parameters are

product P
market data M
valuation time t (see note below)

Note: The valuation time t is currently taken from the market data set M

The result is the value

V(P,M,t)

Note: The valuation time t is currently taken from the market data set M1

Margin

The enpoint parameters are

product P
market data M0 (market data at previous margin call or initial valuation)
market data M1 (market data for margin call)
valuation time t (see note below)