{ "contractName": "PAMPOF", "abi": [ { "inputs": [], "name": "MAX_CYCLE_SIZE", "outputs": [ { "internalType": "uint256", "name": "", "type": "uint256" } ], "stateMutability": "view", "type": "function" }, { "inputs": [], "name": "MAX_EVENT_SCHEDULE_SIZE", "outputs": [ { "internalType": "uint256", "name": "", "type": "uint256" } ], "stateMutability": "view", "type": "function" }, { "inputs": [], "name": "ONE_POINT_ZERO", "outputs": [ { "internalType": "int256", "name": "", "type": "int256" } ], "stateMutability": "view", "type": "function" }, { "inputs": [], "name": "PRECISION", "outputs": [ { "internalType": "uint256", "name": "", "type": "uint256" } ], "stateMutability": "view", "type": "function" }, { "inputs": [ { "internalType": "enum EndOfMonthConvention", "name": "eomc", "type": "uint8" }, { "internalType": "uint256", "name": "startTime", "type": "uint256" }, { "components": [ { "internalType": "uint256", "name": "i", "type": "uint256" }, { "internalType": "enum P", "name": "p", "type": "uint8" }, { "internalType": "enum S", "name": "s", "type": "uint8" }, { "internalType": "bool", "name": "isSet", "type": "bool" } ], "internalType": "struct IPS", "name": "cycle", "type": "tuple" } ], "name": "adjustEndOfMonthConvention", "outputs": [ { "internalType": "enum EndOfMonthConvention", "name": "", "type": "uint8" } ], "stateMutability": "pure", "type": "function" }, { "inputs": [ { "internalType": "bytes32", "name": "_event", "type": "bytes32" }, { "internalType": "enum BusinessDayConvention", "name": "bdc", "type": "uint8" }, { "internalType": "enum Calendar", "name": "calendar", "type": "uint8" }, { "internalType": "uint256", "name": "maturityDate", "type": "uint256" } ], "name": "computeEventTimeForEvent", "outputs": [ { "internalType": "uint256", "name": "", "type": "uint256" } ], "stateMutability": "pure", "type": "function" }, { "inputs": [ { "internalType": "bytes32", "name": "_event", "type": "bytes32" } ], "name": "decodeEvent", "outputs": [ { "internalType": "enum EventType", "name": "", "type": "uint8" }, { "internalType": "uint256", "name": "", "type": "uint256" } ], "stateMutability": "pure", "type": "function" }, { "inputs": [ { "internalType": "enum EventType", "name": "eventType", "type": "uint8" }, { "internalType": "uint256", "name": "scheduleTime", "type": "uint256" } ], "name": "encodeEvent", "outputs": [ { "internalType": "bytes32", "name": "", "type": "bytes32" } ], "stateMutability": "pure", "type": "function" }, { "inputs": [ { "internalType": "enum EventType", "name": "eventType", "type": "uint8" } ], "name": "getEpochOffset", "outputs": [ { "internalType": "uint256", "name": "", "type": "uint256" } ], "stateMutability": "pure", "type": "function" }, { "inputs": [ { "internalType": "uint256", "name": "timestamp", "type": "uint256" }, { "internalType": "enum BusinessDayConvention", "name": "convention", "type": "uint8" }, { "internalType": "enum Calendar", "name": "calendar", "type": "uint8" }, { "internalType": "uint256", "name": "maturityDate", "type": "uint256" } ], "name": "shiftCalcTime", "outputs": [ { "internalType": "uint256", "name": "", "type": "uint256" } ], "stateMutability": "pure", "type": "function" }, { "inputs": [ { "internalType": "uint256", "name": "timestamp", "type": "uint256" }, { "internalType": "enum BusinessDayConvention", "name": "convention", "type": "uint8" }, { "internalType": "enum Calendar", "name": "calendar", "type": "uint8" }, { "internalType": "uint256", "name": "maturityDate", "type": "uint256" } ], "name": "shiftEventTime", "outputs": [ { "internalType": "uint256", "name": "", "type": "uint256" } ], "stateMutability": "pure", "type": "function" } ], "metadata": "{\"compiler\":{\"version\":\"0.6.11+commit.5ef660b1\"},\"language\":\"Solidity\",\"output\":{\"abi\":[{\"inputs\":[],\"name\":\"MAX_CYCLE_SIZE\",\"outputs\":[{\"internalType\":\"uint256\",\"name\":\"\",\"type\":\"uint256\"}],\"stateMutability\":\"view\",\"type\":\"function\"},{\"inputs\":[],\"name\":\"MAX_EVENT_SCHEDULE_SIZE\",\"outputs\":[{\"internalType\":\"uint256\",\"name\":\"\",\"type\":\"uint256\"}],\"stateMutability\":\"view\",\"type\":\"function\"},{\"inputs\":[],\"name\":\"ONE_POINT_ZERO\",\"outputs\":[{\"internalType\":\"int256\",\"name\":\"\",\"type\":\"int256\"}],\"stateMutability\":\"view\",\"type\":\"function\"},{\"inputs\":[],\"name\":\"PRECISION\",\"outputs\":[{\"internalType\":\"uint256\",\"name\":\"\",\"type\":\"uint256\"}],\"stateMutability\":\"view\",\"type\":\"function\"},{\"inputs\":[{\"internalType\":\"enum EndOfMonthConvention\",\"name\":\"eomc\",\"type\":\"uint8\"},{\"internalType\":\"uint256\",\"name\":\"startTime\",\"type\":\"uint256\"},{\"components\":[{\"internalType\":\"uint256\",\"name\":\"i\",\"type\":\"uint256\"},{\"internalType\":\"enum P\",\"name\":\"p\",\"type\":\"uint8\"},{\"internalType\":\"enum S\",\"name\":\"s\",\"type\":\"uint8\"},{\"internalType\":\"bool\",\"name\":\"isSet\",\"type\":\"bool\"}],\"internalType\":\"struct IPS\",\"name\":\"cycle\",\"type\":\"tuple\"}],\"name\":\"adjustEndOfMonthConvention\",\"outputs\":[{\"internalType\":\"enum EndOfMonthConvention\",\"name\":\"\",\"type\":\"uint8\"}],\"stateMutability\":\"pure\",\"type\":\"function\"},{\"inputs\":[{\"internalType\":\"bytes32\",\"name\":\"_event\",\"type\":\"bytes32\"},{\"internalType\":\"enum BusinessDayConvention\",\"name\":\"bdc\",\"type\":\"uint8\"},{\"internalType\":\"enum Calendar\",\"name\":\"calendar\",\"type\":\"uint8\"},{\"internalType\":\"uint256\",\"name\":\"maturityDate\",\"type\":\"uint256\"}],\"name\":\"computeEventTimeForEvent\",\"outputs\":[{\"internalType\":\"uint256\",\"name\":\"\",\"type\":\"uint256\"}],\"stateMutability\":\"pure\",\"type\":\"function\"},{\"inputs\":[{\"internalType\":\"bytes32\",\"name\":\"_event\",\"type\":\"bytes32\"}],\"name\":\"decodeEvent\",\"outputs\":[{\"internalType\":\"enum EventType\",\"name\":\"\",\"type\":\"uint8\"},{\"internalType\":\"uint256\",\"name\":\"\",\"type\":\"uint256\"}],\"stateMutability\":\"pure\",\"type\":\"function\"},{\"inputs\":[{\"internalType\":\"enum EventType\",\"name\":\"eventType\",\"type\":\"uint8\"},{\"internalType\":\"uint256\",\"name\":\"scheduleTime\",\"type\":\"uint256\"}],\"name\":\"encodeEvent\",\"outputs\":[{\"internalType\":\"bytes32\",\"name\":\"\",\"type\":\"bytes32\"}],\"stateMutability\":\"pure\",\"type\":\"function\"},{\"inputs\":[{\"internalType\":\"enum EventType\",\"name\":\"eventType\",\"type\":\"uint8\"}],\"name\":\"getEpochOffset\",\"outputs\":[{\"internalType\":\"uint256\",\"name\":\"\",\"type\":\"uint256\"}],\"stateMutability\":\"pure\",\"type\":\"function\"},{\"inputs\":[{\"internalType\":\"uint256\",\"name\":\"timestamp\",\"type\":\"uint256\"},{\"internalType\":\"enum BusinessDayConvention\",\"name\":\"convention\",\"type\":\"uint8\"},{\"internalType\":\"enum Calendar\",\"name\":\"calendar\",\"type\":\"uint8\"},{\"internalType\":\"uint256\",\"name\":\"maturityDate\",\"type\":\"uint256\"}],\"name\":\"shiftCalcTime\",\"outputs\":[{\"internalType\":\"uint256\",\"name\":\"\",\"type\":\"uint256\"}],\"stateMutability\":\"pure\",\"type\":\"function\"},{\"inputs\":[{\"internalType\":\"uint256\",\"name\":\"timestamp\",\"type\":\"uint256\"},{\"internalType\":\"enum BusinessDayConvention\",\"name\":\"convention\",\"type\":\"uint8\"},{\"internalType\":\"enum Calendar\",\"name\":\"calendar\",\"type\":\"uint8\"},{\"internalType\":\"uint256\",\"name\":\"maturityDate\",\"type\":\"uint256\"}],\"name\":\"shiftEventTime\",\"outputs\":[{\"internalType\":\"uint256\",\"name\":\"\",\"type\":\"uint256\"}],\"stateMutability\":\"pure\",\"type\":\"function\"}],\"devdoc\":{\"kind\":\"dev\",\"methods\":{\"adjustEndOfMonthConvention(uint8,uint256,(uint256,uint8,uint8,bool))\":{\"details\":\"The following is considered to dertermine if schedule dates are shifted to the end of month: - The convention SD (same day) means not adjusting, EM (end of month) means adjusting - Dates are only shifted if the schedule start date is an end-of-month date - Dates are only shifted if the schedule cycle is based on an \\\"M\\\" period unit or multiple thereof\",\"params\":{\"cycle\":\"the cycle struct\",\"eomc\":\"the end of month convention to adjust\",\"startTime\":\"timestamp of the cycle start\"},\"returns\":{\"_0\":\"the adjusted end of month convention\"}},\"computeEventTimeForEvent(bytes32,uint8,uint8,uint256)\":{\"details\":\"For optimization reasons not located in EventUtil by applying the BDC specified in the terms\"}},\"title\":\"POF\",\"version\":1},\"userdoc\":{\"kind\":\"user\",\"methods\":{\"adjustEndOfMonthConvention(uint8,uint256,(uint256,uint8,uint8,bool))\":{\"notice\":\"This function makes an adjustment on the end of month convention.\"},\"computeEventTimeForEvent(bytes32,uint8,uint8,uint256)\":{\"notice\":\"Returns the event time for a given schedule time\"},\"getEpochOffset(uint8)\":{\"notice\":\"Returns the epoch offset for a given event type to determine the correct order of events if multiple events have the same timestamp\"},\"shiftCalcTime(uint256,uint8,uint8,uint256)\":{\"notice\":\"Used in POFs and STFs for DCFs. No shifting is applied if a Calc/Shift instead of Shift/Calc BDC is provided.\"}},\"notice\":\"Contains all payoff functions (POFs) currently used by all Engines\",\"version\":1}},\"settings\":{\"compilationTarget\":{\"@atpar/actus-solidity/contracts/Engines/PAM/PAMPOF.sol\":\"PAMPOF\"},\"evmVersion\":\"istanbul\",\"libraries\":{},\"metadata\":{\"bytecodeHash\":\"ipfs\"},\"optimizer\":{\"enabled\":true,\"runs\":200},\"remappings\":[]},\"sources\":{\"@atpar/actus-solidity/contracts/Core/ACTUSConstants.sol\":{\"keccak256\":\"0xd7588866afdab6298dd5b64c5fe0ca63230236538d711932e7a5a17928d1226b\",\"license\":\"Apache-2.0\",\"urls\":[\"bzz-raw://2a0678d5f895239119f463a3ae8a58c5c27b872c91db1cd4253ce5866481c6cd\",\"dweb:/ipfs/QmPXsMXFf1Qar8JCnKTL6Nizf63sZEQQt7XosrdeEnG2CE\"]},\"@atpar/actus-solidity/contracts/Core/ACTUSTypes.sol\":{\"keccak256\":\"0x4374a4c79ef02bb008994431870badedd532d09639fef8d7378039faee88d4dd\",\"license\":\"Apache-2.0\",\"urls\":[\"bzz-raw://c0d32929c237f8d04ff4117611292f874bb1dd785b8ec94c04389d608c11481c\",\"dweb:/ipfs/QmVu3awVGWDvqMCjPhmzcCQCRg4VNr5XxcDRWDECTr17TV\"]},\"@atpar/actus-solidity/contracts/Core/Conventions/BusinessDayConventions.sol\":{\"keccak256\":\"0xb67309595d06a957324467896ed9ece5db6c064a40733528d2405593d083f358\",\"license\":\"Apache-2.0\",\"urls\":[\"bzz-raw://a77e96b548901c4ee87943de5a7093d178bffe1daa72b6e303ddc1fac93f5173\",\"dweb:/ipfs/QmctKP5Hp7B4YtzzC5q3cRJJiiPS4a5US6vpHDb94paaFT\"]},\"@atpar/actus-solidity/contracts/Core/Conventions/ContractRoleConventions.sol\":{\"keccak256\":\"0x0e86e103607557626fc092ae2c9e2ea643115640a0b212ec34ef074edb3cc048\",\"license\":\"Apache-2.0\",\"urls\":[\"bzz-raw://91386c9f6d3f83f6712eb0cb6378cfb7de4ef9745280e4ac7e12bad1dd97c4b3\",\"dweb:/ipfs/QmSJ9EoPorkSrhKSNhM9WBYMTtYuLqjHCpPThf8KHWRp7r\"]},\"@atpar/actus-solidity/contracts/Core/Conventions/DayCountConventions.sol\":{\"keccak256\":\"0x7147f1662bbd8abd04dffe454db3743828bae4476621ff158c94dd967b8573e1\",\"license\":\"Apache-2.0\",\"urls\":[\"bzz-raw://d3be9ed484ad75d87b485d7c779d72b980c711735ed7e2ebc9622949a51857a0\",\"dweb:/ipfs/QmVdyMD4PW8wMdhbxoQBqAVNNN7fRwvpTVpCWKBLbLoqmh\"]},\"@atpar/actus-solidity/contracts/Core/Conventions/EndOfMonthConventions.sol\":{\"keccak256\":\"0xe004912bd32ef22ac6ee91f35a3855b06492d8a89f585f1a508c1c26349fd880\",\"license\":\"Apache-2.0\",\"urls\":[\"bzz-raw://e70d558bee746b797cdcadf84d5c9cd1b77fc6e99a089524ecaeb91201c71dcd\",\"dweb:/ipfs/QmcxpSKn5ZG4DPrSkm1Pxd21So6NKcHdiX5zfpExD5eLpv\"]},\"@atpar/actus-solidity/contracts/Core/Core.sol\":{\"keccak256\":\"0x0863cccef5f0e90e295c9b913a7d18b7e029cbd33179d4d23b2e5c8479b2077b\",\"license\":\"Apache-2.0\",\"urls\":[\"bzz-raw://d7a9fb13a29e64eaad1e97129952d23c6be6e2c5224dfdd0b62766330b05efd1\",\"dweb:/ipfs/QmUyTmuSfv3kDw4wGrP7ZemJJcxWRNRPYvwNc3WEC1YWoR\"]},\"@atpar/actus-solidity/contracts/Core/SignedMath.sol\":{\"keccak256\":\"0x179745be164f4540d848a50eeb8aea4ec3a0ddabc50f4c122c41ec0463e849c7\",\"license\":\"Apache-2.0\",\"urls\":[\"bzz-raw://e1088b178902de60c611c2dffd2c8943cc7b68988c9083936b760864775db7da\",\"dweb:/ipfs/QmV9XYTU6a8nPzoJv9FjRV4Z2rfbymGGARmzka57ydD1FG\"]},\"@atpar/actus-solidity/contracts/Core/Utils/CycleUtils.sol\":{\"keccak256\":\"0x230700c45141dbc7973f813d1eae8ea2fe3a804489b7f29f46d44ac5d5f12048\",\"license\":\"Apache-2.0\",\"urls\":[\"bzz-raw://a2bebe3ddd62e9c2ede6a298ef956b8315198da601223a3900d07490dab3b7f1\",\"dweb:/ipfs/QmWyQxUsCjGMRKmxseE61qaipeqHVcZ6tLhVXvLfKnFkxo\"]},\"@atpar/actus-solidity/contracts/Core/Utils/EventUtils.sol\":{\"keccak256\":\"0x9995f89d4c5981ed389e941f578414eb901a4fde0b2eb5d815a43d86a9f53d98\",\"license\":\"Apache-2.0\",\"urls\":[\"bzz-raw://bc3b3a4f33554f80e19328158ff913d700ff8133d08f434b33a846852cb927dd\",\"dweb:/ipfs/QmawYPv9PguBqrFN5YquvUvbYC2MdtTC4Zkyj3uGxiieHW\"]},\"@atpar/actus-solidity/contracts/Core/Utils/PeriodUtils.sol\":{\"keccak256\":\"0xb549e34dc631989f8aae1b8a397bf77598b8c018860645a627d2929229543a79\",\"license\":\"Apache-2.0\",\"urls\":[\"bzz-raw://8a0ef5e2ad69ef87b9fc2beeed66336b3857c576efb9833b40a1be2ee35786fc\",\"dweb:/ipfs/QmT33MWqdjecGoPj8Js6a5fgESTcGW5vbQqYamKRDJZnhS\"]},\"@atpar/actus-solidity/contracts/Core/Utils/Utils.sol\":{\"keccak256\":\"0xeb3b016061350187b61618b1f0fed88e3dcc6feb8098a873ac55ae861a61a280\",\"license\":\"Apache-2.0\",\"urls\":[\"bzz-raw://eff5591bd3ea0d66b85c0d0ed9d92388946f6ee67e8079656a828cc7a94d6bf1\",\"dweb:/ipfs/QmZPfJpENC62LEZWqWDnu8LmTrrv6CDtJkbTdQtdNpuDds\"]},\"@atpar/actus-solidity/contracts/Engines/PAM/PAMPOF.sol\":{\"keccak256\":\"0xdd5d721003e58b9b956f74189aff50cfbdac93d3d2a6e695a2266ef8d4506b6e\",\"license\":\"Apache-2.0\",\"urls\":[\"bzz-raw://2c9743ed6338b6e18010a65531f9ade193f8a8d77e6c11ecb87cdcc562f9188a\",\"dweb:/ipfs/QmY8sDzEdAXySaczCy54qJ3GLTC79gLro92PhBf7ghBEdt\"]},\"@atpar/actus-solidity/contracts/external/BokkyPooBah/BokkyPooBahsDateTimeLibrary.sol\":{\"keccak256\":\"0x679533db9ba3257086015c0435c7d0de7a0a2f352a9de725db294e3f42c17391\",\"license\":\"MIT\",\"urls\":[\"bzz-raw://1c586a5d8d9a654840c3655ccd4e47458d1e781c7542ec6fd2c29638b0dee57d\",\"dweb:/ipfs/QmeoQpnTMU4pa4iwKJcKmbNm7P54UCxux2G9rJyTCyq8GZ\"]},\"openzeppelin-solidity/contracts/math/SafeMath.sol\":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"source": "// \"SPDX-License-Identifier: Apache-2.0\"\npragma solidity ^0.6.11;\npragma experimental ABIEncoderV2;\n\nimport \"../../Core/Core.sol\";\n\n\n/**\n * @title POF\n * @notice Contains all payoff functions (POFs) currently used by all Engines\n */\ncontract PAMPOF is Core {\n\n /**\n * Calculate the pay-off for PAM Fees. The method how to calculate the fee\n * heavily depends on the selected Fee Basis.\n * @return the fee amount for PAM contracts\n */\n function POF_PAM_FP (\n PAMTerms memory terms,\n State memory state,\n uint256 scheduleTime,\n bytes32 /* externalData */\n )\n internal\n pure\n returns(int256)\n {\n if (terms.feeBasis == FeeBasis.A) {\n return (\n roleSign(terms.contractRole)\n * terms.feeRate\n );\n }\n\n int256 timeFromLastEvent;\n {\n timeFromLastEvent = yearFraction(\n shiftCalcTime(state.statusDate, terms.businessDayConvention, terms.calendar, terms.maturityDate),\n shiftCalcTime(scheduleTime, terms.businessDayConvention, terms.calendar, terms.maturityDate),\n terms.dayCountConvention,\n terms.maturityDate\n );\n }\n\n return (\n state.feeAccrued\n .add(\n timeFromLastEvent\n .floatMult(terms.feeRate)\n .floatMult(state.notionalPrincipal)\n )\n );\n }\n\n /**\n * Calculate the payoff for the initial exchange\n * @return the payoff at iniitial exchange for PAM contracts\n */\n function POF_PAM_IED (\n PAMTerms memory terms,\n State memory /* state */,\n uint256 /* scheduleTime */,\n bytes32 /* externalData */\n )\n internal\n pure\n returns(int256)\n {\n return (\n roleSign(terms.contractRole)\n * (-1)\n * terms.notionalPrincipal\n .add(terms.premiumDiscountAtIED)\n );\n }\n\n /**\n * Calculate the interest payment payoff\n * @return the interest amount to pay for PAM contracts\n */\n function POF_PAM_IP (\n PAMTerms memory terms,\n State memory state,\n uint256 scheduleTime,\n bytes32 /* externalData */\n )\n internal\n pure\n returns(int256)\n {\n int256 timeFromLastEvent;\n {\n timeFromLastEvent = yearFraction(\n shiftCalcTime(state.statusDate, terms.businessDayConvention, terms.calendar, terms.maturityDate),\n shiftCalcTime(scheduleTime, terms.businessDayConvention, terms.calendar, terms.maturityDate),\n terms.dayCountConvention,\n terms.maturityDate\n );\n }\n\n return (\n state.interestScalingMultiplier\n .floatMult(\n state.accruedInterest\n .add(\n timeFromLastEvent\n .floatMult(state.nominalInterestRate)\n .floatMult(state.notionalPrincipal)\n )\n )\n );\n }\n\n /**\n * Calculate the principal prepayment payoff\n * @return the principal prepayment amount for PAM contracts\n */\n function POF_PAM_PP (\n PAMTerms memory terms,\n State memory state,\n uint256 /* scheduleTime */,\n bytes32 /* externalData */\n )\n internal\n pure\n returns(int256)\n {\n return (\n roleSign(terms.contractRole)\n * state.notionalPrincipal\n );\n }\n\n /**\n * Calculate the payoff in case of maturity\n * @return the maturity payoff for PAM contracts\n */\n function POF_PAM_MD (\n PAMTerms memory /* terms */,\n State memory state,\n uint256 /* scheduleTime */,\n bytes32 /* externalData */\n )\n internal\n pure\n returns(int256)\n {\n return (\n state.notionalScalingMultiplier\n .floatMult(state.notionalPrincipal)\n );\n }\n\n /**\n * Calculate the payoff in case of a penalty event\n * @return the penalty amount for PAM contracts\n */\n function POF_PAM_PY (\n PAMTerms memory terms,\n State memory state,\n uint256 scheduleTime,\n bytes32 /* externalData */\n )\n internal\n pure\n returns(int256)\n {\n int256 timeFromLastEvent;\n {\n timeFromLastEvent = yearFraction(\n shiftCalcTime(state.statusDate, terms.businessDayConvention, terms.calendar, terms.maturityDate),\n shiftCalcTime(scheduleTime, terms.businessDayConvention, terms.calendar, terms.maturityDate),\n terms.dayCountConvention,\n terms.maturityDate\n );\n }\n\n if (terms.penaltyType == PenaltyType.A) {\n return (\n roleSign(terms.contractRole)\n * terms.penaltyRate\n );\n } else if (terms.penaltyType == PenaltyType.N) {\n return (\n roleSign(terms.contractRole)\n * timeFromLastEvent\n .floatMult(terms.penaltyRate)\n .floatMult(state.notionalPrincipal)\n );\n } else {\n return (\n roleSign(terms.contractRole)\n * timeFromLastEvent\n .floatMult(state.notionalPrincipal)\n );\n }\n }\n\n /**\n * Calculate the payoff in case of termination of a contract\n * @return the termination payoff amount for PAM contracts\n */\n function POF_PAM_TD (\n PAMTerms memory terms,\n State memory state,\n uint256 scheduleTime,\n bytes32 /* externalData */\n )\n internal\n pure\n returns(int256)\n {\n int256 timeFromLastEvent;\n {\n timeFromLastEvent = yearFraction(\n shiftCalcTime(state.statusDate, terms.businessDayConvention, terms.calendar, terms.maturityDate),\n shiftCalcTime(scheduleTime, terms.businessDayConvention, terms.calendar, terms.maturityDate),\n terms.dayCountConvention,\n terms.maturityDate\n );\n }\n\n return (\n roleSign(terms.contractRole)\n * terms.priceAtPurchaseDate\n .add(state.accruedInterest)\n .add(\n timeFromLastEvent\n .floatMult(state.nominalInterestRate)\n .floatMult(state.notionalPrincipal)\n )\n );\n }\n}", "sourcePath": "@atpar/actus-solidity/contracts/Engines/PAM/PAMPOF.sol", "ast": { "absolutePath": "@atpar/actus-solidity/contracts/Engines/PAM/PAMPOF.sol", "exportedSymbols": { "PAMPOF": [ 34331 ] }, "id": 34332, "license": "Apache-2.0", "nodeType": "SourceUnit", "nodes": [ { "id": 33932, "literals": [ "solidity", "^", "0.6", ".11" ], "nodeType": "PragmaDirective", "src": "41:24:104" }, { "id": 33933, "literals": [ "experimental", "ABIEncoderV2" ], "nodeType": "PragmaDirective", "src": "66:33:104" }, { "absolutePath": "@atpar/actus-solidity/contracts/Core/Core.sol", "file": "../../Core/Core.sol", "id": 33934, "nodeType": "ImportDirective", "scope": 34332, "sourceUnit": 24036, "src": "101:29:104", "symbolAliases": [], "unitAlias": "" }, { "abstract": false, "baseContracts": [ { "arguments": null, "baseName": { "contractScope": null, "id": 33936, "name": "Core", "nodeType": "UserDefinedTypeName", "referencedDeclaration": 24035, "src": "252:4:104", "typeDescriptions": { "typeIdentifier": "t_contract$_Core_$24035", "typeString": "contract Core" } }, "id": 33937, "nodeType": "InheritanceSpecifier", "src": "252:4:104" } ], "contractDependencies": [ 22465, 23277, 23340, 23895, 24013, 24035, 24668, 24758, 24885, 24931 ], "contractKind": "contract", "documentation": { "id": 33935, "nodeType": "StructuredDocumentation", "src": "133:99:104", "text": " @title POF\n @notice Contains all payoff functions (POFs) currently used by all Engines" }, "fullyImplemented": true, "id": 34331, "linearizedBaseContracts": [ 34331, 24035, 24931, 24668, 24885, 24013, 23895, 23340, 22465, 24758, 23277 ], "name": "PAMPOF", "nodeType": "ContractDefinition", "nodes": [ { "body": { "id": 34014, "nodeType": "Block", "src": "667:809:104", "statements": [ { "condition": { "argumentTypes": null, "commonType": { "typeIdentifier": "t_enum$_FeeBasis_$22613", "typeString": "enum FeeBasis" }, "id": 33955, "isConstant": false, "isLValue": false, "isPure": false, "lValueRequested": false, "leftExpression": { "argumentTypes": null, "expression": { "argumentTypes": null, "id": 33951, "name": "terms", "nodeType": "Identifier", "overloadedDeclarations": [], "referencedDeclaration": 33940, "src": "681:5:104", "typeDescriptions": { "typeIdentifier": "t_struct$_PAMTerms_$23006_memory_ptr", "typeString": "struct PAMTerms memory" } }, "id": 33952, "isConstant": false, "isLValue": true, "isPure": false, "lValueRequested": false, "memberName": "feeBasis", "nodeType": "MemberAccess", "referencedDeclaration": 22935, "src": "681:14:104", "typeDescriptions": { "typeIdentifier": "t_enum$_FeeBasis_$22613", "typeString": "enum FeeBasis" } }, "nodeType": "BinaryOperation", "operator": "==", "rightExpression": { "argumentTypes": null, "expression": { "argumentTypes": null, "id": 33953, "name": "FeeBasis", "nodeType": "Identifier", "overloadedDeclarations": [], "referencedDeclaration": 22613, "src": "699:8:104", "typeDescriptions": { "typeIdentifier": "t_type$_t_enum$_FeeBasis_$22613_$", "typeString": "type(enum FeeBasis)" } }, "id": 33954, "isConstant": false, "isLValue": false, "isPure": true, "lValueRequested": false, "memberName": "A", "nodeType": "MemberAccess", "referencedDeclaration": null, "src": "699:10:104", 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"int256", "nodeType": "ElementaryTypeName", "src": "5810:6:104", "typeDescriptions": { "typeIdentifier": "t_int256", "typeString": "int256" } }, "value": null, "visibility": "internal" } ], "src": "5809:8:104" }, "scope": 34331, "src": "5612:955:104", "stateMutability": "pure", "virtual": false, "visibility": "internal" } ], "scope": 34332, "src": "233:6336:104" } ], "src": "41:6528:104" }, "legacyAST": { "absolutePath": "@atpar/actus-solidity/contracts/Engines/PAM/PAMPOF.sol", "exportedSymbols": { "PAMPOF": [ 34331 ] }, "id": 34332, "license": "Apache-2.0", "nodeType": "SourceUnit", "nodes": [ { "id": 33932, "literals": [ "solidity", "^", "0.6", ".11" ], "nodeType": "PragmaDirective", "src": "41:24:104" }, { "id": 33933, "literals": [ "experimental", "ABIEncoderV2" ], "nodeType": "PragmaDirective", "src": "66:33:104" }, { "absolutePath": "@atpar/actus-solidity/contracts/Core/Core.sol", "file": "../../Core/Core.sol", "id": 33934, "nodeType": "ImportDirective", "scope": 34332, "sourceUnit": 24036, "src": "101:29:104", "symbolAliases": [], "unitAlias": "" }, { "abstract": false, "baseContracts": [ { "arguments": null, "baseName": { "contractScope": null, "id": 33936, "name": "Core", "nodeType": "UserDefinedTypeName", "referencedDeclaration": 24035, "src": "252:4:104", "typeDescriptions": { "typeIdentifier": "t_contract$_Core_$24035", "typeString": "contract Core" } }, "id": 33937, "nodeType": "InheritanceSpecifier", "src": "252:4:104" } ], "contractDependencies": [ 22465, 23277, 23340, 23895, 24013, 24035, 24668, 24758, 24885, 24931 ], "contractKind": "contract", "documentation": { "id": 33935, "nodeType": "StructuredDocumentation", "src": "133:99:104", "text": " @title POF\n @notice Contains all payoff functions (POFs) currently used by all Engines" }, "fullyImplemented": true, "id": 34331, "linearizedBaseContracts": [ 34331, 24035, 24931, 24668, 24885, 24013, 23895, 23340, 22465, 24758, 23277 ], "name": "PAMPOF", "nodeType": "ContractDefinition", "nodes": [ 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"FunctionCall", "src": "6270:28:104", "tryCall": false, "typeDescriptions": { "typeIdentifier": "t_int8", "typeString": "int8" } }, "nodeType": "BinaryOperation", "operator": "*", "rightExpression": { "argumentTypes": null, "arguments": [ { "argumentTypes": null, "arguments": [ { "argumentTypes": null, "expression": { "argumentTypes": null, "id": 34322, "name": "state", "nodeType": "Identifier", "overloadedDeclarations": [], "referencedDeclaration": 34264, "src": "6512:5:104", "typeDescriptions": { "typeIdentifier": "t_struct$_State_$22673_memory_ptr", "typeString": "struct State memory" } }, "id": 34323, "isConstant": false, "isLValue": true, "isPure": false, "lValueRequested": false, "memberName": "notionalPrincipal", "nodeType": "MemberAccess", "referencedDeclaration": 22648, "src": "6512:23:104", "typeDescriptions": { "typeIdentifier": "t_int256", "typeString": "int256" } } ], "expression": { "argumentTypes": [ { "typeIdentifier": "t_int256", "typeString": "int256" } ], "expression": { "argumentTypes": null, "arguments": [ { "argumentTypes": null, "expression": { "argumentTypes": null, "id": 34318, "name": "state", "nodeType": "Identifier", "overloadedDeclarations": [], "referencedDeclaration": 34264, "src": "6458:5:104", "typeDescriptions": { "typeIdentifier": "t_struct$_State_$22673_memory_ptr", "typeString": "struct State memory" } }, "id": 34319, "isConstant": false, "isLValue": true, "isPure": false, "lValueRequested": false, "memberName": "nominalInterestRate", "nodeType": "MemberAccess", "referencedDeclaration": 22654, "src": "6458:25:104", "typeDescriptions": { "typeIdentifier": "t_int256", "typeString": "int256" } } ], "expression": { "argumentTypes": [ { "typeIdentifier": "t_int256", "typeString": "int256" } ], "expression": { "argumentTypes": null, "id": 34316, "name": "timeFromLastEvent", "nodeType": "Identifier", "overloadedDeclarations": [], "referencedDeclaration": 34274, "src": "6413:17:104", "typeDescriptions": { "typeIdentifier": 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"t_function_internal_pure$_t_int256_$_t_int256_$returns$_t_int256_$bound_to$_t_int256_$", "typeString": "function (int256,int256) pure returns (int256)" } }, "id": 34324, "isConstant": false, "isLValue": false, "isPure": false, "kind": "functionCall", "lValueRequested": false, "names": [], "nodeType": "FunctionCall", "src": "6413:123:104", "tryCall": false, "typeDescriptions": { "typeIdentifier": "t_int256", "typeString": "int256" } } ], "expression": { "argumentTypes": [ { "typeIdentifier": "t_int256", "typeString": "int256" } ], "expression": { "argumentTypes": null, "arguments": [ { "argumentTypes": null, "expression": { "argumentTypes": null, "id": 34312, "name": "state", "nodeType": "Identifier", "overloadedDeclarations": [], "referencedDeclaration": 34264, "src": "6356:5:104", "typeDescriptions": { "typeIdentifier": "t_struct$_State_$22673_memory_ptr", "typeString": "struct State memory" } }, "id": 34313, "isConstant": false, "isLValue": true, "isPure": false, "lValueRequested": false, "memberName": "accruedInterest", "nodeType": "MemberAccess", "referencedDeclaration": 22650, "src": "6356:21:104", "typeDescriptions": { "typeIdentifier": "t_int256", "typeString": "int256" } } ], "expression": { "argumentTypes": [ { "typeIdentifier": "t_int256", "typeString": "int256" } ], "expression": { "argumentTypes": null, "expression": { "argumentTypes": null, "id": 34309, "name": "terms", "nodeType": "Identifier", "overloadedDeclarations": [], "referencedDeclaration": 34262, "src": "6313:5:104", "typeDescriptions": { "typeIdentifier": "t_struct$_PAMTerms_$23006_memory_ptr", "typeString": "struct PAMTerms memory" } }, "id": 34310, "isConstant": false, "isLValue": true, "isPure": false, "lValueRequested": false, "memberName": "priceAtPurchaseDate", "nodeType": "MemberAccess", "referencedDeclaration": 22985, "src": "6313:25:104", "typeDescriptions": { "typeIdentifier": "t_int256", "typeString": "int256" } }, "id": 34311, "isConstant": false, "isLValue": false, "isPure": false, "lValueRequested": false, "memberName": "add", "nodeType": "MemberAccess", "referencedDeclaration": 38859, "src": "6313:42:104", "typeDescriptions": { "typeIdentifier": "t_function_internal_pure$_t_int256_$_t_int256_$returns$_t_int256_$bound_to$_t_int256_$", "typeString": "function (int256,int256) pure returns (int256)" } }, "id": 34314, "isConstant": false, "isLValue": false, "isPure": false, "kind": "functionCall", "lValueRequested": false, "names": [], "nodeType": "FunctionCall", "src": "6313:65:104", "tryCall": false, "typeDescriptions": { "typeIdentifier": "t_int256", "typeString": "int256" } }, "id": 34315, "isConstant": false, "isLValue": false, "isPure": false, "lValueRequested": false, "memberName": "add", "nodeType": "MemberAccess", "referencedDeclaration": 38859, "src": "6313:82:104", "typeDescriptions": { "typeIdentifier": "t_function_internal_pure$_t_int256_$_t_int256_$returns$_t_int256_$bound_to$_t_int256_$", "typeString": "function (int256,int256) pure returns (int256)" } }, "id": 34325, "isConstant": false, "isLValue": false, "isPure": false, "kind": "functionCall", "lValueRequested": false, "names": [], "nodeType": "FunctionCall", "src": "6313:237:104", "tryCall": false, "typeDescriptions": { "typeIdentifier": "t_int256", "typeString": "int256" } }, "src": "6270:280:104", "typeDescriptions": { "typeIdentifier": "t_int256", "typeString": "int256" } } ], "id": 34327, "isConstant": false, "isInlineArray": false, "isLValue": false, "isPure": false, "lValueRequested": false, "nodeType": "TupleExpression", "src": "6256:304:104", "typeDescriptions": { "typeIdentifier": "t_int256", "typeString": "int256" } }, "functionReturnParameters": 34272, "id": 34328, "nodeType": "Return", "src": "6249:311:104" } ] }, "documentation": { "id": 34260, "nodeType": "StructuredDocumentation", "src": "5468:139:104", "text": " Calculate the payoff in case of termination of a contract\n @return the termination payoff amount for PAM contracts" }, "id": 34330, "implemented": true, "kind": "function", "modifiers": [], "name": "POF_PAM_TD", "nodeType": "FunctionDefinition", "overrides": null, "parameters": { "id": 34269, "nodeType": "ParameterList", "parameters": [ { "constant": false, "id": 34262, "mutability": "mutable", "name": "terms", "nodeType": "VariableDeclaration", "overrides": null, "scope": 34330, "src": "5642:21:104", "stateVariable": false, "storageLocation": "memory", "typeDescriptions": { "typeIdentifier": "t_struct$_PAMTerms_$23006_memory_ptr", "typeString": "struct PAMTerms" }, "typeName": { "contractScope": null, "id": 34261, "name": "PAMTerms", "nodeType": "UserDefinedTypeName", "referencedDeclaration": 23006, "src": "5642:8:104", "typeDescriptions": { "typeIdentifier": "t_struct$_PAMTerms_$23006_storage_ptr", "typeString": "struct PAMTerms" } }, "value": null, "visibility": "internal" }, { "constant": false, "id": 34264, "mutability": "mutable", "name": "state", "nodeType": "VariableDeclaration", "overrides": null, "scope": 34330, "src": "5673:18:104", "stateVariable": false, "storageLocation": "memory", "typeDescriptions": { "typeIdentifier": "t_struct$_State_$22673_memory_ptr", "typeString": "struct State" }, "typeName": { "contractScope": null, "id": 34263, "name": "State", "nodeType": "UserDefinedTypeName", "referencedDeclaration": 22673, "src": "5673:5:104", "typeDescriptions": { "typeIdentifier": "t_struct$_State_$22673_storage_ptr", "typeString": "struct State" } }, "value": null, "visibility": "internal" }, { "constant": false, "id": 34266, "mutability": "mutable", "name": "scheduleTime", "nodeType": "VariableDeclaration", "overrides": null, "scope": 34330, "src": "5701:20:104", "stateVariable": false, "storageLocation": "default", "typeDescriptions": { "typeIdentifier": "t_uint256", "typeString": "uint256" }, "typeName": { "id": 34265, "name": "uint256", "nodeType": "ElementaryTypeName", "src": "5701:7:104", "typeDescriptions": { "typeIdentifier": "t_uint256", "typeString": "uint256" } }, "value": null, "visibility": "internal" }, { "constant": false, "id": 34268, "mutability": "mutable", "name": "", "nodeType": "VariableDeclaration", "overrides": null, "scope": 34330, "src": "5731:7:104", "stateVariable": false, "storageLocation": "default", "typeDescriptions": { "typeIdentifier": "t_bytes32", "typeString": "bytes32" }, "typeName": { "id": 34267, "name": "bytes32", "nodeType": "ElementaryTypeName", "src": "5731:7:104", "typeDescriptions": { "typeIdentifier": "t_bytes32", "typeString": "bytes32" } }, "value": null, "visibility": "internal" } ], "src": "5632:131:104" }, "returnParameters": { "id": 34272, "nodeType": "ParameterList", "parameters": [ { "constant": false, "id": 34271, "mutability": "mutable", "name": "", "nodeType": "VariableDeclaration", "overrides": null, "scope": 34330, "src": "5810:6:104", "stateVariable": false, "storageLocation": "default", "typeDescriptions": { "typeIdentifier": "t_int256", "typeString": "int256" }, "typeName": { "id": 34270, "name": "int256", "nodeType": "ElementaryTypeName", "src": "5810:6:104", "typeDescriptions": { "typeIdentifier": "t_int256", "typeString": "int256" } }, "value": null, "visibility": "internal" } ], "src": "5809:8:104" }, "scope": 34331, "src": "5612:955:104", "stateMutability": "pure", "virtual": false, "visibility": "internal" } ], "scope": 34332, "src": "233:6336:104" } ], "src": "41:6528:104" }, "compiler": { "name": "solc", "version": "0.6.11+commit.5ef660b1.Emscripten.clang" }, "networks": {}, "schemaVersion": "3.2.0", "updatedAt": "2020-08-12T09:47:18.467Z", "devdoc": { "kind": "dev", "methods": { "adjustEndOfMonthConvention(uint8,uint256,(uint256,uint8,uint8,bool))": { "details": "The following is considered to dertermine if schedule dates are shifted to the end of month: - The convention SD (same day) means not adjusting, EM (end of month) means adjusting - Dates are only shifted if the schedule start date is an end-of-month date - Dates are only shifted if the schedule cycle is based on an \"M\" period unit or multiple thereof", "params": { "cycle": "the cycle struct", "eomc": "the end of month convention to adjust", "startTime": "timestamp of the cycle start" }, "returns": { "_0": "the adjusted end of month convention" } }, "computeEventTimeForEvent(bytes32,uint8,uint8,uint256)": { "details": "For optimization reasons not located in EventUtil by applying the BDC specified in the terms" } }, "title": "POF", "version": 1 }, "userdoc": { "kind": "user", "methods": { "adjustEndOfMonthConvention(uint8,uint256,(uint256,uint8,uint8,bool))": { "notice": "This function makes an adjustment on the end of month convention." }, "computeEventTimeForEvent(bytes32,uint8,uint8,uint256)": { "notice": "Returns the event time for a given schedule time" }, "getEpochOffset(uint8)": { "notice": "Returns the epoch offset for a given event type to determine the correct order of events if multiple events have the same timestamp" }, "shiftCalcTime(uint256,uint8,uint8,uint256)": { "notice": "Used in POFs and STFs for DCFs. No shifting is applied if a Calc/Shift instead of Shift/Calc BDC is provided." } }, "notice": "Contains all payoff functions (POFs) currently used by all Engines", "version": 1 } }