def test_libor_update_date_in_the_future(self):
key = signed_object.generate_signing_key()
store = ObjectStore()
update = \
CreateLIBORUpdate(
update_type='CreateLIBOR',
date='2100-01-01',
rates={
'Overnight': 0.1,
'OneWeek': 0.1,
'OneMonth': 0.1,
'TwoMonth': 0.1,
'ThreeMonth': 0.1,
'SixMonth': 0.1,
'OneYear': 0.1
},
signature='G/gl8XhptfXUGih7X4g4s8EeXNXpX+qz7yEHd6ah1xXyrica2p'
'pdePFikWb9wbR5rOnvKC8FDAIg8CadhAaizt0=')
transaction = BondTransaction()
transaction._updates = [update]
transaction.sign_object(key)
try:
transaction.check_valid(store)
self.fail('This transaction should be invalid')
except InvalidTransactionError:
pass
def test_libor_update_invalid_value_six_month(self):
key = signed_object.generate_signing_key()
store = ObjectStore()
update = \
CreateLIBORUpdate(
update_type='CreateLIBOR',
date='2016-05-24',
rates={
'Overnight': 0.1,
'OneWeek': 0.1,
'OneMonth': 0.1,
'TwoMonth': 0.1,
'ThreeMonth': 0.1,
'SixMonth': 'invalid rate',
'OneYear': 0.1
},
signature='HHlwEyzhFYP53vg2tE44snVyAD4UUIzElBiaiNUPZLKrkGmO'
'5TLHHmRJ8RvTAkxL5elIicRiNwOKc7JI0Zjkn5o=')
transaction = BondTransaction()
transaction._updates = [update]
transaction.sign_object(key)
try:
transaction.check_valid(store)
self.fail('This transaction should be invalid')
except InvalidTransactionError:
pass
def test_libor_update_invalid_value_two_month(self):
key = signed_object.generate_signing_key()
store = ObjectStore()
update = \
CreateLIBORUpdate(
update_type='CreateLIBOR',
date='2016-05-24',
rates={
'Overnight': 0.1,
'OneWeek': 0.1,
'OneMonth': 0.1,
'TwoMonth': 'invalid rate',
'ThreeMonth': 0.1,
'SixMonth': 0.1,
'OneYear': 0.1
},
signature='HCi5tDerqxHZ8han4SmTqMsbKN1JscETRCqYDU3gNQSofp'
't8fm25i5xyo7EwBXDlxpcOyU5em8DVQOGsdyx8jXk=')
transaction = BondTransaction()
transaction._updates = [update]
transaction.sign_object(key)
try:
transaction.check_valid(store)
self.fail('This transaction should be invalid')
except InvalidTransactionError:
pass
def test_libor_update_missing_date(self):
key = signed_object.generate_signing_key()
store = ObjectStore()
update = \
CreateLIBORUpdate(
update_type='CreateLIBOR',
date=None,
rates={
'Overnight': 0.1,
'OneWeek': 0.1,
'OneMonth': 0.1,
'TwoMonth': 0.1,
'ThreeMonth': 0.1,
'SixMonth': 0.1,
'OneYear': 0.1
},
signature="G78QicusrNO9l8Yxt/qJGX0TxkVh0ftSiW9dYkQPL5qYctd"
"pb4Cq3GR15gT6DeHj0ujFcf4CK+Pu0Sqe77Zi92Y=")
transaction = BondTransaction()
transaction._updates = [update]
transaction.sign_object(key)
try:
transaction.check_valid(store)
self.fail('This transaction should be invalid')
except InvalidTransactionError:
pass
def test_libor_update_invalid_value_one_week(self):
key = signed_object.generate_signing_key()
store = ObjectStore()
update = \
CreateLIBORUpdate(
update_type='CreateLIBOR',
date='2016-05-24',
rates={
'Overnight': 0.1,
'OneWeek': 'invalid rate',
'OneMonth': 0.1,
'TwoMonth': 0.1,
'ThreeMonth': 0.1,
'SixMonth': 0.1,
'OneYear': 0.1
},
signature='HBYQ8UxaSl6tTv2Ab3Hctki7kl+G8qBthr+4vVXRvJhMrppcEA3'
'CMtm3OitDoYsqmB6MC0WiFqqgSzOEiqJmPUg=')
transaction = BondTransaction()
transaction._updates = [update]
transaction.sign_object(key)
try:
transaction.check_valid(store)
self.fail('This transaction should be invalid')
except InvalidTransactionError:
pass
def test_libor_update_invalid_value_one_month(self):
key = signed_object.generate_signing_key()
store = ObjectStore()
update = \
CreateLIBORUpdate(
update_type='CreateLIBOR',
date='2016-05-24',
rates={
'Overnight': 0.1,
'OneWeek': 0.1,
'OneMonth': 'invalid rate',
'TwoMonth': 0.1,
'ThreeMonth': 0.1,
'SixMonth': 0.1,
'OneYear': 0.1
},
signature='G+eKJzXQBJCEgIj3ZZ46mfp73WqECskUBh4JPjFIMy9D2EAW0'
'2ry7VN1NA6r4ZPf2dGtRY50yHSLrRwf/3Yn0gs=')
transaction = BondTransaction()
transaction._updates = [update]
transaction.sign_object(key)
try:
transaction.check_valid(store)
self.fail('This transaction should be invalid')
except InvalidTransactionError:
pass
def test_libor_update_duplicate_date(self):
key = signed_object.generate_signing_key()
store = ObjectStore()
update = \
CreateLIBORUpdate(
update_type='CreateLIBOR',
date='2016-05-24',
rates={
'Overnight': 0.1,
'OneWeek': 0.1,
'OneMonth': 0.1,
'TwoMonth': 0.1,
'ThreeMonth': 0.1,
'SixMonth': 0.1,
'OneYear': 0.1
},
signature='G38pbExUmKqKzdC07QJS1OJSglnpLKGr+PMu4muigey37CdT2P'
'7d0PBQxmaWNjtsADdPxQAS5FhtHOQbtD41fkU=')
transaction = BondTransaction()
transaction._updates = [update]
transaction.sign_object(key)
try:
transaction.check_valid(store)
except InvalidTransactionError:
self.fail('This transaction should be valid')
transaction.apply(store)
try:
transaction.check_valid(store)
self.fail('This transaction should be invalid')
except InvalidTransactionError:
pass
def test_libor_update_invalid_value_overnight(self):
key = signed_object.generate_signing_key()
store = ObjectStore()
update = \
CreateLIBORUpdate(
update_type='CreateLIBOR',
date='2016-05-24',
rates={
'Overnight': 'invalid rate',
'OneWeek': 0.1,
'OneMonth': 0.1,
'TwoMonth': 0.1,
'ThreeMonth': 0.1,
'SixMonth': 0.1,
'OneYear': 0.1
},
signature='HLwpLLCM0TdAOdyj/zpR4LUNp7QQosVTBBTqEq71zZkjKZ3a5y'
'SqRqFAC8Wgv9VQHyRbScLXJxFOG7xH83SxLYc=')
transaction = BondTransaction()
transaction._updates = [update]
transaction.sign_object(key)
try:
transaction.check_valid(store)
self.fail('This transaction should be invalid')
except InvalidTransactionError:
pass
def test_libor_update_signature_does_not_match(self):
key = signed_object.generate_signing_key()
store = ObjectStore()
update = \
CreateLIBORUpdate(
update_type='CreateLIBOR',
date='2016-05-24',
rates={
'Overnight': '0.1',
'OneWeek': '0.1',
'OneMonth': '0.1',
'TwoMonth': '0.1',
'ThreeMonth': '0.1',
'SixMonth': '0.1',
'OneYear': '0.1',
},
signature='hjoq7knkzlxo4qubsjslfarl1ej/qso0ar4zsucd5xguniuvqjv'
'zj5lrqhayi5tqvniqxai0lkt31zqsztgojxw=')
transaction = BondTransaction()
transaction._updates = [update]
transaction.sign_object(key)
try:
transaction.check_valid(store)
self.fail('This transaction should be invalid')
except InvalidTransactionError:
pass
def test_libor_update_not_signed(self):
key = signed_object.generate_signing_key()
store = ObjectStore()
update = \
CreateLIBORUpdate(
update_type='CreateLIBOR',
date='2016-05-24',
rates={
'Overnight': '0.1',
'OneWeek': '0.1',
'OneMonth': '0.1',
'TwoMonth': '0.1',
'ThreeMonth': '0.1',
'SixMonth': '0.1',
'OneYear': '0.1'
},
signature=None)
transaction = BondTransaction()
transaction._updates = [update]
transaction.sign_object(key)
try:
transaction.check_valid(store)
self.fail('This transaction should be invalid')
except InvalidTransactionError:
pass
def test_libor_update_invalid_value_one_year(self):
key = signed_object.generate_signing_key()
store = ObjectStore()
libor_key = TestCreateLIBORUpdate.libor_key
libor_public_key = signing.generate_pubkey(libor_key)
update = \
CreateLIBORUpdate(
update_type='CreateLIBOR',
date='2016-05-24',
rates={
'Overnight': 0.1,
'OneWeek': 0.1,
'OneMonth': 0.1,
'TwoMonth': 0.1,
'ThreeMonth': 0.1,
'SixMonth': 0.1,
'OneYear': 'invalid rate'
},
libor_public_key=libor_public_key)
update.sign_update_object(libor_key)
transaction = BondTransaction()
transaction._updates = [update]
transaction.sign_object(key)
try:
transaction.check_valid(store)
self.fail('This transaction should be invalid')
except InvalidTransactionError:
pass
def test_libor_update_invalid_value_one_year(self):
key = signed_object.generate_signing_key()
store = ObjectStore()
update = \
CreateLIBORUpdate(
update_type='CreateLIBOR',
date='2016-05-24',
rates={
'Overnight': 0.1,
'OneWeek': 0.1,
'OneMonth': 0.1,
'TwoMonth': 0.1,
'ThreeMonth': 0.1,
'SixMonth': 0.1,
'OneYear': 'invalid rate'
},
signature='HDRqSWSJN8wCPMGITZLx0pW/ccqsMDYnnG9mbRUL3x1O8bz'
'tfGmgkD9n+6OQgb/glO52zuJdFIFV5ehCdr4L0Ug=')
transaction = BondTransaction()
transaction._updates = [update]
transaction.sign_object(key)
try:
transaction.check_valid(store)
self.fail('This transaction should be invalid')
except InvalidTransactionError:
pass
def test_libor_update_invalid_value_three_month(self):
key = signed_object.generate_signing_key()
store = ObjectStore()
update = \
CreateLIBORUpdate(
update_type='CreateLIBOR',
date='2016-05-24',
rates={
'Overnight': 0.1,
'OneWeek': 0.1,
'OneMonth': 0.1,
'TwoMonth': 0.1,
'ThreeMonth': 'invalid rate',
'SixMonth': 0.1,
'OneYear': 0.1
},
signature='HO+xNW91CfhWVrvBKyk2P0rak82TPG8ZSsBucI3QhSXT7SegQd'
'y/Sq0dTZC+31rGQgMVdylbXLSO++aIb9OP0y8=')
transaction = BondTransaction()
transaction._updates = [update]
transaction.sign_object(key)
try:
transaction.check_valid(store)
self.fail('This transaction should be invalid')
except InvalidTransactionError:
pass
def setUp(self):
self.key = signed_object.generate_signing_key()
participant = CreateParticipantUpdate("CreateParticipant", "testuser")
object_id = participant._object_id
transaction = BondTransaction({})
transaction._updates = [participant]
self.store = ObjectStore()
transaction.sign_object(self.key)
transaction.check_valid(self.store)
transaction.apply(self.store)
sub = self.store.lookup("participant:username",
"testuser")["object-id"]
transaction = BondTransaction({
"UpdateType":
"CreateOrganization",
'Updates': [{
"UpdateType":
"CreateOrganization",
"name":
"Test Bank",
"ticker":
"T",
"pricing_source":
"ABCD",
"industry":
"Test",
"authorization": [{
"ParticipantId": sub,
"Role": "marketmaker"
}]
}]
})
transaction.sign_object(self.key)
transaction.check_valid(self.store)
transaction.apply(self.store)
def test_libor_update(self):
key = signed_object.generate_signing_key()
store = ObjectStore()
libor_key = TestCreateLIBORUpdate.libor_key
libor_public_key = signing.generate_pubkey(libor_key)
update = \
CreateLIBORUpdate(
update_type='CreateLIBOR',
date='2016-05-24',
rates={
'Overnight': 0.1,
'OneWeek': 0.1,
'OneMonth': 0.1,
'TwoMonth': 0.1,
'ThreeMonth': 0.1,
'SixMonth': 0.1,
'OneYear': 0.1
},
libor_public_key=libor_public_key)
update.sign_update_object(libor_key)
transaction = BondTransaction()
transaction._updates = [update]
transaction.sign_object(key)
try:
transaction.check_valid(store)
except InvalidTransactionError as e:
self.fail('This transaction should be valid\n error:' + str(e))
try:
store.lookup('libor:date', '2016-05-24')
self.fail('LIBOR data for 2016-05-24 should not be in store')
except KeyError:
pass
transaction.apply(store)
self.assertIsNotNone(store.lookup('libor:date', '2016-05-24'))
update = \
CreateLIBORUpdate(
update_type='CreateLIBOR',
date='2016-05-25',
rates={
'Overnight': '0.1',
'OneWeek': '-0.1',
'OneMonth': '0',
'TwoMonth': 0.1,
'ThreeMonth': -0.1,
'SixMonth': 0,
'OneYear': 1
},
libor_public_key=libor_public_key)
update.sign_update_object(libor_key)
transaction._updates = [update]
transaction.sign_object(key)
try:
transaction.check_valid(store)
except InvalidTransactionError as e:
self.fail('This transaction should be valid\n error: ' + str(e))
try:
store.lookup('libor:date', '2016-05-25')
self.fail('LIBOR data for 2016-05-25 should not be in store')
except KeyError:
pass
transaction.apply(store)
self.assertIsNotNone(store.lookup('libor:date', '2016-05-25'))
def setUp(self):
self.key = signed_object.generate_signing_key()
participant = CreateParticipantUpdate("CreateParticipant", "testuser")
object_id = participant._object_id
transaction = BondTransaction({})
transaction._updates = [participant]
self.store = ObjectStore()
transaction.sign_object(self.key)
transaction.check_valid(self.store)
transaction.apply(self.store)
sub = self.store.lookup("participant:username",
"testuser")["object-id"]
self._set_clock(1994, 10, 4, 0)
# add another organization
transaction = BondTransaction({
"UpdateType":
"CreateOrganization",
'Updates': [{
"UpdateType":
"CreateOrganization",
"name":
"First Bank",
"ticker":
"T",
"pricing_source":
"ABCD",
"industry":
"Test",
"authorization": [{
"ParticipantId": sub,
"Role": "marketmaker"
}]
}]
})
transaction.sign_object(self.key)
transaction.check_valid(self.store)
transaction.apply(self.store)
transaction = BondTransaction({
"UpdateType":
"CreateOrganization",
'Updates': [{
"UpdateType":
"CreateOrganization",
"name":
"Second Bank",
"ticker":
"I",
"pricing_source":
"EFGH",
"industry":
"Test",
"authorization": [{
"ParticipantId": sub,
"Role": "marketmaker"
}]
}]
})
transaction.sign_object(self.key)
transaction.check_valid(self.store)
transaction.apply(self.store)
transaction = BondTransaction({
"UpdateType":
"CreateBond",
'Updates': [{
"UpdateType": "CreateBond",
"amount_outstanding": 42671000000,
'corporate_debt_ratings': {
"Fitch": "AAA",
"Moodys": "AAA",
"S&P": "AA+"
},
"coupon_rate": 1,
"coupon_type": "Fixed",
"coupon_frequency": "Quarterly",
"cusip": "912828R77",
"face_value": 1000,
"isin": "US912828R770",
"first_settlement_date": "01/11/2012",
"first_coupon_date": "03/01/2012",
"maturity_date": "01/01/2016",
"issuer": "T"
}]
})
transaction.sign_object(self.key)
transaction.check_valid(self.store)
transaction.apply(self.store)
org = self.store.lookup("organization:name", "Second Bank")
# add holding?
transaction = BondTransaction({
"UpdateType":
"CreateHolding",
'Updates': [{
"UpdateType":
"CreateHolding",
"owner_id":
org["object-id"],
"asset_type":
"Currency",
"asset_id":
"USD",
"amount":
0,
"object_id":
"34d813716009ca1786222a44347ccff258a4ab6029" +
"d936664fde0d13f23992b5"
}]
})
transaction.sign_object(self.key)
transaction.check_valid(self.store)
try:
transaction.check_valid(self.store)
transaction.apply(self.store)
except InvalidTransactionError:
self.fail("This should be valid")
bond = self.store.lookup("bond:cusip", "912828R77")
transaction = BondTransaction({
"UpdateType":
"CreateHolding",
'Updates': [{
"UpdateType":
"CreateHolding",
"owner_id":
org["object-id"],
"asset_type":
"Bond",
"asset_id":
bond["object-id"],
"amount":
100000,
"object_id":
"34d813716009ca1786222a44347ccff258a4ab6029" +
"d936664fde0d13f23992b7"
}]
})
transaction.sign_object(self.key)
try:
transaction.check_valid(self.store)
transaction.apply(self.store)
except InvalidTransactionError:
self.fail("This should be valid")
org1 = self.store.lookup("organization:name", "First Bank")
transaction = BondTransaction({
"UpdateType":
"CreateHolding",
'Updates': [{
"UpdateType":
"CreateHolding",
"owner_id":
org1["object-id"],
"asset_type":
"Currency",
"asset_id":
"USD",
"amount":
100000000,
"object_id":
"34d813716009ca1786222a44347ccff258a4ab6029" +
"d936664fde0d13f23org1"
}]
})
transaction.sign_object(self.key)
transaction.check_valid(self.store)
try:
transaction.check_valid(self.store)
transaction.apply(self.store)
except InvalidTransactionError:
self.fail("This should be valid")
bond = self.store.lookup("bond:cusip", "912828R77")
transaction = BondTransaction({
"UpdateType":
"CreateHolding",
'Updates': [{
"UpdateType":
"CreateHolding",
"owner_id":
org1["object-id"],
"asset_type":
"Bond",
"asset_id":
bond["object-id"],
"amount":
100000,
"object_id":
"34d813716009ca1786222a44347ccff258a4ab6029" +
"d936664fde0d13f239org1"
}]
})
transaction.sign_object(self.key)
transaction.check_valid(self.store)
try:
transaction.check_valid(self.store)
transaction.apply(self.store)
except InvalidTransactionError:
self.fail("This should be valid")
def test_libor_update_invalid_date(self):
key = signed_object.generate_signing_key()
store = ObjectStore()
libor_key = TestCreateLIBORUpdate.libor_key
libor_public_key = signing.generate_pubkey(libor_key)
update = \
CreateLIBORUpdate(
update_type='CreateLIBOR',
date='2016-01-32',
rates={
'Overnight': 0.1,
'OneWeek': 0.1,
'OneMonth': 0.1,
'TwoMonth': 0.1,
'ThreeMonth': 0.1,
'SixMonth': 0.1,
'OneYear': 0.1
},
libor_public_key=libor_public_key)
update.sign_update_object(libor_key)
transaction = BondTransaction()
transaction._updates = [update]
transaction.sign_object(key)
try:
transaction.check_valid(store)
self.fail('This transaction should be invalid')
except InvalidTransactionError:
pass
update = \
CreateLIBORUpdate(
update_type='CreateLIBOR',
date='2016-12-32',
rates={
'Overnight': 0.1,
'OneWeek': 0.1,
'OneMonth': 0.1,
'TwoMonth': 0.1,
'ThreeMonth': 0.1,
'SixMonth': 0.1,
'OneYear': 0.1
},
signature='HG/+Byml9CU13jdMD9TvOtlNlLvAO5jzBGUqoJGSng2ksojoh8'
'mUxYKJ4rTE5pZ4Q1S+lHRLuQLVgprhQkY25eQ=')
transaction._updates = [update]
transaction.sign_object(key)
try:
transaction.check_valid(store)
self.fail('This transaction should be invalid')
except InvalidTransactionError:
pass
update = \
CreateLIBORUpdate(
update_type='CreateLIBOR',
date='2015-02-29',
rates={
'Overnight': 0.1,
'OneWeek': 0.1,
'OneMonth': 0.1,
'TwoMonth': 0.1,
'ThreeMonth': 0.1,
'SixMonth': 0.1,
'OneYear': 0.1
},
libor_public_key=libor_public_key)
update.sign_update_object(libor_key)
transaction._updates = [update]
transaction.sign_object(key)
try:
transaction.check_valid(store)
self.fail('This transaction should be invalid')
except InvalidTransactionError:
pass
update = \
CreateLIBORUpdate(
update_type='CreateLIBOR',
date='2016-02-30',
rates={
'Overnight': 0.1,
'OneWeek': 0.1,
'OneMonth': 0.1,
'TwoMonth': 0.1,
'ThreeMonth': 0.1,
'SixMonth': 0.1,
'OneYear': 0.1
},
libor_public_key=libor_public_key)
update.sign_update_object(libor_key)
transaction._updates = [update]
transaction.sign_object(key)
try:
transaction.check_valid(store)
self.fail('This transaction should be invalid')
except InvalidTransactionError:
pass
update = \
CreateLIBORUpdate(
update_type='CreateLIBOR',
date='2016-13-30',
rates={
'Overnight': 0.1,
'OneWeek': 0.1,
'OneMonth': 0.1,
'TwoMonth': 0.1,
'ThreeMonth': 0.1,
'SixMonth': 0.1,
'OneYear': 0.1
},
signature='G4JyMWYLEWwwSQlOLHWDclAKB2kXersC/cuc3VbzyRTJ92Nj'
'e2nGPgSIsQzQ4uR94r9pYi1S6E4z7zQrdwCCKlg=')
transaction._updates = [update]
transaction.sign_object(key)
try:
transaction.check_valid(store)
self.fail('This transaction should be invalid')
except InvalidTransactionError:
pass
update = \
CreateLIBORUpdate(
update_type='CreateLIBOR',
date='2016-00-15',
rates={
'Overnight': 0.1,
'OneWeek': 0.1,
'OneMonth': 0.1,
'TwoMonth': 0.1,
'ThreeMonth': 0.1,
'SixMonth': 0.1,
'OneYear': 0.1
},
libor_public_key=libor_public_key)
update.sign_update_object(libor_key)
transaction._updates = [update]
transaction.sign_object(key)
try:
transaction.check_valid(store)
self.fail('This transaction should be invalid')
except InvalidTransactionError:
pass
update = \
CreateLIBORUpdate(
update_type='CreateLIBOR',
date='2016-01-00',
rates={
'Overnight': 0.1,
'OneWeek': 0.1,
'OneMonth': 0.1,
'TwoMonth': 0.1,
'ThreeMonth': 0.1,
'SixMonth': 0.1,
'OneYear': 0.1
},
libor_public_key=libor_public_key)
update.sign_update_object(libor_key)
transaction._updates = [update]
transaction.sign_object(key)
try:
transaction.check_valid(store)
self.fail('This transaction should be invalid')
except InvalidTransactionError:
pass
def test_libor_update_invalid_date_format(self):
key = signed_object.generate_signing_key()
store = ObjectStore()
update = \
CreateLIBORUpdate(
update_type='CreateLIBOR',
date='05/24/2016',
rates={
'Overnight': 0.1,
'OneWeek': 0.1,
'OneMonth': 0.1,
'TwoMonth': 0.1,
'ThreeMonth': 0.1,
'SixMonth': 0.1,
'OneYear': 0.1
},
signature='G9AKVsz3JlT/apjOieVwFc8PYkIXu787S0JkIYNY59GTI7h'
'0pLP5SVqxycXkXJg+xtR8lK5vT0JeNAoYxpg3bzI=')
transaction = BondTransaction()
transaction._updates = [update]
transaction.sign_object(key)
try:
transaction.check_valid(store)
self.fail('This transaction should be invalid')
except InvalidTransactionError:
pass
update = \
CreateLIBORUpdate(
update_type='CreateLIBOR',
date='05-24-2016',
rates={
'Overnight': 0.1,
'OneWeek': 0.1,
'OneMonth': 0.1,
'TwoMonth': 0.1,
'ThreeMonth': 0.1,
'SixMonth': 0.1,
'OneYear': 0.1
},
signature='G7OL7YDOVHzOevEaGgg1PvnpxiRhws7vdut3F1RUdMXDNH6gH'
'sY9nk/Zt+WwQYo/4QhZOY6CO0Inv5HUi8MyrPo=')
transaction._updates = [update]
transaction.sign_object(key)
try:
transaction.check_valid(store)
self.fail('This transaction should be invalid')
except InvalidTransactionError:
pass
update = \
CreateLIBORUpdate(
update_type='CreateLIBOR',
date='May 24, 2016',
rates={
'OneWeek': 0.1,
'Overnight': 0.1,
'OneMonth': 0.1,
'TwoMonth': 0.1,
'ThreeMonth': 0.1,
'SixMonth': 0.1,
'OneYear': 0.1
},
signature='HOV3d7ESaywjUB3c3qPcV4DBKKpZR0tokeILinSEVdapNi2y7m'
'NYrhAXjdgzbPzTGFmp0btjAPVFFUvzYKgOYvo=')
transaction._updates = [update]
transaction.sign_object(key)
try:
transaction.check_valid(store)
self.fail('This transaction should be invalid')
except InvalidTransactionError:
pass
update = \
CreateLIBORUpdate(
update_type='CreateLIBOR',
date='24-May-2016',
rates={
'OneWeek': 0.1,
'Overnight': 0.1,
'OneMonth': 0.1,
'TwoMonth': 0.1,
'ThreeMonth': 0.1,
'SixMonth': 0.1,
'OneYear': 0.1
},
signature='HEnC3vEdBhBcHAndjgouHj4T+ILyOX2PTCveiShIb8VK0woyM'
'4UheSM4f2ucv8Xj/ySMhAl16JQYaDk6mZ7fARI=')
transaction._updates = [update]
transaction.sign_object(key)
try:
transaction.check_valid(store)
self.fail('This transaction should be invalid')
except InvalidTransactionError:
pass
update = \
CreateLIBORUpdate(
update_type='CreateLIBOR',
date='May 24 2016',
rates={
'Overnight': 0.1,
'OneWeek': 0.1,
'OneMonth': 0.1,
'TwoMonth': 0.1,
'ThreeMonth': 0.1,
'SixMonth': 0.1,
'OneYear': 0.1
},
signature="G9tsTDOQG/dG1f1rrduq7/rBxYqmWujbM7iMUuJc94pe1Ue7kt"
"gbxlIqzND/+sxWR+PjtCKlzcN/AmW1MyBSAfs=")
transaction._updates = [update]
transaction.sign_object(key)
try:
transaction.check_valid(store)
self.fail('This transaction should be invalid')
except InvalidTransactionError:
pass
update = \
CreateLIBORUpdate(
update_type='CreateLIBOR',
date='24 May 2016',
rates={
'Overnight': 0.1,
'OneWeek': 0.1,
'OneMonth': 0.1,
'TwoMonth': 0.1,
'ThreeMonth': 0.1,
'SixMonth': 0.1,
'OneYear': 0.1
},
signature='HAjOWJgM9yP20fJ4pqD3x3dCrutwIYs0u3PepaWqNZXYC8L13'
'xbqaCJ3/6vNX6BZRi9BD03t9VXxkmKHI6m/SOM=')
transaction._updates = [update]
transaction.sign_object(key)
try:
transaction.check_valid(store)
self.fail('This transaction should be invalid')
except InvalidTransactionError:
pass
update = \
CreateLIBORUpdate(
update_type='CreateLIBOR',
date='',
rates={
'Overnight': 0.1,
'OneWeek': 0.1,
'OneMonth': 0.1,
'TwoMonth': 0.1,
'ThreeMonth': 0.1,
'SixMonth': 0.1,
'OneYear': 0.1,
},
signature='HM6jsivVl3OUszzyh8cjo68fLHlPsIj3kyxJ0u0CiwVDzXyKF'
'0K8cpS3FvoYX9xOfG1i8jtxiMt0+EkAjJHxvP8=')
transaction._updates = [update]
transaction.sign_object(key)
try:
transaction.check_valid(store)
self.fail('This transaction should be invalid')
except InvalidTransactionError:
pass
def test_libor_update_invalid_date_format(self):
key = signed_object.generate_signing_key()
store = ObjectStore()
libor_key = TestCreateLIBORUpdate.libor_key
libor_public_key = signing.generate_pubkey(libor_key)
update = \
CreateLIBORUpdate(
update_type='CreateLIBOR',
date='05/24/2016',
rates={
'Overnight': 0.1,
'OneWeek': 0.1,
'OneMonth': 0.1,
'TwoMonth': 0.1,
'ThreeMonth': 0.1,
'SixMonth': 0.1,
'OneYear': 0.1
},
libor_public_key=libor_public_key)
update.sign_update_object(libor_key)
transaction = BondTransaction()
transaction._updates = [update]
transaction.sign_object(key)
try:
transaction.check_valid(store)
self.fail('This transaction should be invalid')
except InvalidTransactionError:
pass
update = \
CreateLIBORUpdate(
update_type='CreateLIBOR',
date='05-24-2016',
rates={
'Overnight': 0.1,
'OneWeek': 0.1,
'OneMonth': 0.1,
'TwoMonth': 0.1,
'ThreeMonth': 0.1,
'SixMonth': 0.1,
'OneYear': 0.1
},
signature='G7OL7YDOVHzOevEaGgg1PvnpxiRhws7vdut3F1RUdMXDNH6gH'
'sY9nk/Zt+WwQYo/4QhZOY6CO0Inv5HUi8MyrPo=')
transaction._updates = [update]
transaction.sign_object(key)
try:
transaction.check_valid(store)
self.fail('This transaction should be invalid')
except InvalidTransactionError:
pass
update = \
CreateLIBORUpdate(
update_type='CreateLIBOR',
date='May 24, 2016',
rates={
'OneWeek': 0.1,
'Overnight': 0.1,
'OneMonth': 0.1,
'TwoMonth': 0.1,
'ThreeMonth': 0.1,
'SixMonth': 0.1,
'OneYear': 0.1
},
libor_public_key=libor_public_key)
update.sign_update_object(libor_key)
transaction._updates = [update]
transaction.sign_object(key)
try:
transaction.check_valid(store)
self.fail('This transaction should be invalid')
except InvalidTransactionError:
pass
update = \
CreateLIBORUpdate(
update_type='CreateLIBOR',
date='24-May-2016',
rates={
'OneWeek': 0.1,
'Overnight': 0.1,
'OneMonth': 0.1,
'TwoMonth': 0.1,
'ThreeMonth': 0.1,
'SixMonth': 0.1,
'OneYear': 0.1
},
libor_public_key=libor_public_key)
update.sign_update_object(libor_key)
transaction._updates = [update]
transaction.sign_object(key)
try:
transaction.check_valid(store)
self.fail('This transaction should be invalid')
except InvalidTransactionError:
pass
update = \
CreateLIBORUpdate(
update_type='CreateLIBOR',
date='May 24 2016',
rates={
'Overnight': 0.1,
'OneWeek': 0.1,
'OneMonth': 0.1,
'TwoMonth': 0.1,
'ThreeMonth': 0.1,
'SixMonth': 0.1,
'OneYear': 0.1
},
libor_public_key=libor_public_key)
update.sign_update_object(libor_key)
transaction._updates = [update]
transaction.sign_object(key)
try:
transaction.check_valid(store)
self.fail('This transaction should be invalid')
except InvalidTransactionError:
pass
update = \
CreateLIBORUpdate(
update_type='CreateLIBOR',
date='24 May 2016',
rates={
'Overnight': 0.1,
'OneWeek': 0.1,
'OneMonth': 0.1,
'TwoMonth': 0.1,
'ThreeMonth': 0.1,
'SixMonth': 0.1,
'OneYear': 0.1
},
libor_public_key=libor_public_key)
update.sign_update_object(libor_key)
transaction._updates = [update]
transaction.sign_object(key)
try:
transaction.check_valid(store)
self.fail('This transaction should be invalid')
except InvalidTransactionError:
pass
update = \
CreateLIBORUpdate(
update_type='CreateLIBOR',
date='',
rates={
'Overnight': 0.1,
'OneWeek': 0.1,
'OneMonth': 0.1,
'TwoMonth': 0.1,
'ThreeMonth': 0.1,
'SixMonth': 0.1,
'OneYear': 0.1,
},
libor_public_key=libor_public_key)
update.sign_update_object(libor_key)
transaction._updates = [update]
transaction.sign_object(key)
try:
transaction.check_valid(store)
self.fail('This transaction should be invalid')
except InvalidTransactionError:
pass
def test_libor_update_invalid_date(self):
key = signed_object.generate_signing_key()
store = ObjectStore()
update = \
CreateLIBORUpdate(
update_type='CreateLIBOR',
date='2016-01-32',
rates={
'Overnight': 0.1,
'OneWeek': 0.1,
'OneMonth': 0.1,
'TwoMonth': 0.1,
'ThreeMonth': 0.1,
'SixMonth': 0.1,
'OneYear': 0.1
},
signature="G+9NKjqnXnEtMbYWbuUeiQqk3dcCdEKi1lf0V3W5/XwTnp5UwA"
"eRcyeLALzsDhdnC3/qX2dBjewrA8vLFBOBNMw=")
transaction = BondTransaction()
transaction._updates = [update]
transaction.sign_object(key)
try:
transaction.check_valid(store)
self.fail('This transaction should be invalid')
except InvalidTransactionError:
pass
update = \
CreateLIBORUpdate(
update_type='CreateLIBOR',
date='2016-12-32',
rates={
'Overnight': 0.1,
'OneWeek': 0.1,
'OneMonth': 0.1,
'TwoMonth': 0.1,
'ThreeMonth': 0.1,
'SixMonth': 0.1,
'OneYear': 0.1
},
signature='HG/+Byml9CU13jdMD9TvOtlNlLvAO5jzBGUqoJGSng2ksojoh8'
'mUxYKJ4rTE5pZ4Q1S+lHRLuQLVgprhQkY25eQ=')
transaction._updates = [update]
transaction.sign_object(key)
try:
transaction.check_valid(store)
self.fail('This transaction should be invalid')
except InvalidTransactionError:
pass
update = \
CreateLIBORUpdate(
update_type='CreateLIBOR',
date='2015-02-29',
rates={
'Overnight': 0.1,
'OneWeek': 0.1,
'OneMonth': 0.1,
'TwoMonth': 0.1,
'ThreeMonth': 0.1,
'SixMonth': 0.1,
'OneYear': 0.1
},
signature='G9+MiYwYtErSOAd7FsWhda3pP9/iuNt+XWmHWdHk8Qs0qzCC'
'ZxCjoM8onOalFwP9a0QtIQOnCOuhU8XpUOez6qk=')
transaction._updates = [update]
transaction.sign_object(key)
try:
transaction.check_valid(store)
self.fail('This transaction should be invalid')
except InvalidTransactionError:
pass
update = \
CreateLIBORUpdate(
update_type='CreateLIBOR',
date='2016-02-30',
rates={
'Overnight': 0.1,
'OneWeek': 0.1,
'OneMonth': 0.1,
'TwoMonth': 0.1,
'ThreeMonth': 0.1,
'SixMonth': 0.1,
'OneYear': 0.1
},
signature='G48nBn9dGbSDsN5NlEXVo30AE8AoAda5s9YzgSC1IO81GiB32'
'O9kSPts+z7PGsdAhAOnv5OvTzsUVIntPBQwJ44=')
transaction._updates = [update]
transaction.sign_object(key)
try:
transaction.check_valid(store)
self.fail('This transaction should be invalid')
except InvalidTransactionError:
pass
update = \
CreateLIBORUpdate(
update_type='CreateLIBOR',
date='2016-13-30',
rates={
'Overnight': 0.1,
'OneWeek': 0.1,
'OneMonth': 0.1,
'TwoMonth': 0.1,
'ThreeMonth': 0.1,
'SixMonth': 0.1,
'OneYear': 0.1
},
signature='G4JyMWYLEWwwSQlOLHWDclAKB2kXersC/cuc3VbzyRTJ92Nj'
'e2nGPgSIsQzQ4uR94r9pYi1S6E4z7zQrdwCCKlg=')
transaction._updates = [update]
transaction.sign_object(key)
try:
transaction.check_valid(store)
self.fail('This transaction should be invalid')
except InvalidTransactionError:
pass
update = \
CreateLIBORUpdate(
update_type='CreateLIBOR',
date='2016-00-15',
rates={
'Overnight': 0.1,
'OneWeek': 0.1,
'OneMonth': 0.1,
'TwoMonth': 0.1,
'ThreeMonth': 0.1,
'SixMonth': 0.1,
'OneYear': 0.1
},
signature='HE6eRRqetDR2hFYxUf9dY/H9LmN13yWL5FKnx+g9ME1WF/oB52'
'OZlq0dIBwRemFA7tlN0jWgFgpBHrIG5E0avzk=')
transaction._updates = [update]
transaction.sign_object(key)
try:
transaction.check_valid(store)
self.fail('This transaction should be invalid')
except InvalidTransactionError:
pass
update = \
CreateLIBORUpdate(
update_type='CreateLIBOR',
date='2016-01-00',
rates={
'Overnight': 0.1,
'OneWeek': 0.1,
'OneMonth': 0.1,
'TwoMonth': 0.1,
'ThreeMonth': 0.1,
'SixMonth': 0.1,
'OneYear': 0.1
},
signature='HC29Ih92jlFIj/C5zD8ulPpvkEsNKXfXOk6I4FTqsdAyq+H8igh'
'76evTLbgpF5AQ956I7gGt4ACNUXdjMdH19QQ=')
transaction._updates = [update]
transaction.sign_object(key)
try:
transaction.check_valid(store)
self.fail('This transaction should be invalid')
except InvalidTransactionError:
pass
def setUp(self):
self.key = signed_object.generate_signing_key()
participant = CreateParticipantUpdate("CreateParticipant", "testuser")
object_id = participant._object_id
transaction = BondTransaction({})
transaction._updates = [participant]
self.store = ObjectStore()
transaction.sign_object(self.key)
transaction.check_valid(self.store)
transaction.apply(self.store)
sub = self.store.lookup("participant:username",
"testuser")["object-id"]
transaction = BondTransaction({
'Updates': [{
'UpdateType': 'Clock',
'Blocknum': 0,
'PreviousBlockId': 0,
'Timestamp': time.time()
}]
})
transaction.sign_object(self.key)
transaction.check_valid(self.store)
transaction.apply(self.store)
# add another organization
transaction = BondTransaction({
"UpdateType":
"CreateOrganization",
'Updates': [{
"UpdateType":
"CreateOrganization",
"name":
"First Bank",
"ticker":
"T",
"pricing_source":
"ABCD",
"industry":
"Test",
"authorization": [{
"ParticipantId": sub,
"Role": "marketmaker"
}]
}]
})
transaction.sign_object(self.key)
transaction.check_valid(self.store)
transaction.apply(self.store)
transaction = BondTransaction({
"UpdateType":
"CreateOrganization",
'Updates': [{
"UpdateType":
"CreateOrganization",
"name":
"Second Bank",
"ticker":
"I",
"pricing_source":
"EFGH",
"industry":
"Test",
"authorization": [{
"ParticipantId": sub,
"Role": "marketmaker"
}]
}]
})
transaction.sign_object(self.key)
transaction.check_valid(self.store)
transaction.apply(self.store)
transaction = BondTransaction({
"UpdateType":
"CreateBond",
'Updates': [{
"UpdateType": "CreateBond",
"amount_outstanding": 42671000000,
'corporate_debt_ratings': {
"Fitch": "AAA",
"Moodys": "AAA",
"S&P": "AA+"
},
"coupon_rate": 1.375,
"coupon_type": "Fixed",
"coupon_frequency": "Quarterly",
"cusip": "912828R77",
"face_value": 1000,
"isin": "US912828R770",
"first_settlement_date": "01/11/2012",
"first_coupon_date": "03/01/2012",
"maturity_date": "01/11/2022",
"issuer": "T"
}]
})
transaction.sign_object(self.key)
transaction.check_valid(self.store)
transaction.apply(self.store)
org = self.store.lookup("organization:name", "First Bank")
# add holding?
transaction = BondTransaction({
"UpdateType":
"CreateHolding",
'Updates': [{
"UpdateType":
"CreateHolding",
"owner_id":
org["object-id"],
"asset_type":
"Currency",
"asset_id":
"USD",
"amount":
0,
"object_id":
"34d813716009ca1786222a44347ccff258a4ab6029" +
"d936664fde0d13f23992b5"
}]
})
transaction.sign_object(self.key)
transaction.check_valid(self.store)
try:
transaction.check_valid(self.store)
transaction.apply(self.store)
except InvalidTransactionError:
self.fail("This should be valid")
bond = self.store.lookup("bond:cusip", "912828R77")
transaction = BondTransaction({
"UpdateType":
"CreateHolding",
'Updates': [{
"UpdateType":
"CreateHolding",
"owner_id":
org["object-id"],
"asset_type":
"Bond",
"asset_id":
bond["object-id"],
"amount":
2500000,
"object_id":
"34d813716009ca1786222a44347ccff258a4ab6029" +
"d936664fde0d13f23992b7"
}]
})
transaction.sign_object(self.key)
try:
transaction.check_valid(self.store)
transaction.apply(self.store)
except InvalidTransactionError:
self.fail("This should be valid")
org2 = self.store.lookup("organization:name", "Second Bank")
transaction = BondTransaction({
"UpdateType":
"CreateHolding",
'Updates': [{
"UpdateType":
"CreateHolding",
"owner_id":
org2["object-id"],
"asset_type":
"Currency",
"asset_id":
"USD",
"amount":
2500000,
"object_id":
"34d813716009ca1786222a44347ccff258a4ab6029" +
"d936664fde0d13f23992b6"
}]
})
transaction.sign_object(self.key)
transaction.check_valid(self.store)
try:
transaction.check_valid(self.store)
transaction.apply(self.store)
except InvalidTransactionError:
self.fail("This should be valid")
transaction = BondTransaction({
"UpdateType":
"CreateHolding",
'Updates': [{
"UpdateType":
"CreateHolding",
"owner_id":
org2["object-id"],
"asset_type":
"Bond",
"asset_id":
bond["object-id"],
"amount":
0,
"object_id":
"34d813716009ca1786222a44347ccff258a4ab6029" +
"d936664fde0d13f23992b8"
}]
})
transaction.sign_object(self.key)
try:
transaction.check_valid(self.store)
transaction.apply(self.store)
except InvalidTransactionError:
self.fail("This should be valid")
transaction = BondTransaction({
"UpdateType":
"CreateQuote",
'Updates': [{
"UpdateType":
"CreateQuote",
"Firm":
"ABCD",
"Isin":
"US912828R770",
"BidPrice":
"101",
"BidQty":
250000,
"AskPrice":
"101",
"AskQty":
250000,
"object_id":
"555553716009ca1786222a44347ccff258a4ab6029" +
"d936664fde0d13f23992b7"
}]
})
try:
transaction.sign_object(self.key)
transaction.check_valid(self.store)
transaction.apply(self.store)
except InvalidTransactionError:
self.fail("This should be valid")
org2 = self.store.lookup("organization:name", "Second Bank")
transaction = BondTransaction({
"UpdateType":
"CreateOrder",
'Updates': [{
"UpdateType":
"CreateOrder",
"Action":
"Buy",
"OrderType":
"Limit",
"FirmId":
org2["object-id"],
"Isin":
bond["isin"],
"Quantity":
100000,
"LimitPrice":
"98-05.875",
"LimitYield":
0.015,
"QuoteId":
"555553716009ca1786222a44347ccff258a4ab6029" +
"d936664fde0d13f23992b7",
"object_id":
"123453716009ca1786222a44347ccff258a4ab6029" +
"d936664fde0d13f23992b7"
}]
})
# quote-id
transaction.sign_object(self.key)
try:
transaction.check_valid(self.store)
transaction.apply(self.store)
except InvalidTransactionError:
self.fail("This should be valid")
def setUp(self):
self.key = signed_object.generate_signing_key()
participant = CreateParticipantUpdate("CreateParticipant", "testuser")
object_id = participant._object_id
transaction = BondTransaction({})
transaction._updates = [participant]
self.store = ObjectStore()
transaction.sign_object(self.key)
transaction.check_valid(self.store)
transaction.apply(self.store)
sub = self.store.lookup("participant:username",
"testuser")["object-id"]
transaction = BondTransaction({
'Updates': [{
'UpdateType': 'Clock',
'Blocknum': 0,
'PreviousBlockId': 0,
'Timestamp': time.time()
}]
})
transaction.sign_object(self.key)
transaction.check_valid(self.store)
transaction.apply(self.store)
transaction = BondTransaction({
"UpdateType":
"CreateOrganization",
'Updates': [{
"UpdateType":
"CreateOrganization",
"name":
"Test Bank",
"ticker":
"T",
"pricing_source":
"ABCD",
"industry":
"Test",
"authorization": [{
"ParticipantId": sub,
"Role": "marketmaker"
}]
}]
})
transaction.sign_object(self.key)
transaction.check_valid(self.store)
transaction.apply(self.store)
transaction = BondTransaction({
"UpdateType":
"CreateBond",
'Updates': [{
"UpdateType": "CreateBond",
"amount_outstanding": 42671000000,
'corporate_debt_ratings': {
"Fitch": "AAA",
"Moodys": "AAA",
"S&P": "AA+"
},
"coupon_rate": 1.375,
"coupon_type": "Fixed",
"coupon_frequency": "Quarterly",
"cusip": "912828R77",
"face_value": 1000,
"isin": "US912828R770",
"first_settlement_date": "01/11/2012",
"first_coupon_date": "03/01/2012",
"maturity_date": "01/11/2022",
"issuer": "T"
}]
})
transaction.sign_object(self.key)
transaction.check_valid(self.store)
transaction.apply(self.store)
def test_libor_update(self):
key = signed_object.generate_signing_key()
store = ObjectStore()
update = \
CreateLIBORUpdate(
update_type='CreateLIBOR',
date='2016-05-24',
rates={
'Overnight': 0.1,
'OneWeek': 0.1,
'OneMonth': 0.1,
'TwoMonth': 0.1,
'ThreeMonth': 0.1,
'SixMonth': 0.1,
'OneYear': 0.1
},
signature='G38pbExUmKqKzdC07QJS1OJSglnpLKGr+PMu4muigey37CdT2P7'
'd0PBQxmaWNjtsADdPxQAS5FhtHOQbtD41fkU=')
transaction = BondTransaction()
transaction._updates = [update]
transaction.sign_object(key)
try:
transaction.check_valid(store)
except InvalidTransactionError:
self.fail('This transaction should be valid')
try:
store.lookup('libor:date', '2016-05-24')
self.fail('LIBOR data for 2016-05-24 should not be in store')
except KeyError:
pass
transaction.apply(store)
self.assertIsNotNone(store.lookup('libor:date', '2016-05-24'))
update = \
CreateLIBORUpdate(
update_type='CreateLIBOR',
date='2016-05-25',
rates={
'Overnight': '0.1',
'OneWeek': '-0.1',
'OneMonth': '0',
'TwoMonth': 0.1,
'ThreeMonth': -0.1,
'SixMonth': 0,
'OneYear': 1
},
signature='GzcrWBTv180bCZcKkluVOSPcqNbNrcLCj3FocJH9uliKkl+3yNR'
'yhj5DAIsTWOY2ZwrcDVEMOp1P1jJpfctst6I=')
transaction._updates = [update]
transaction.sign_object(key)
try:
transaction.check_valid(store)
except InvalidTransactionError:
self.fail('This transaction should be valid')
try:
store.lookup('libor:date', '2016-05-25')
self.fail('LIBOR data for 2016-05-25 should not be in store')
except KeyError:
pass
transaction.apply(store)
self.assertIsNotNone(store.lookup('libor:date', '2016-05-25'))