ACTUS Solidity

Solidity implementation of ACTUS Contract Types (https://www.actusfrf.org/algorithmic-standard)

Smart Contracts

Core

Contains banking-grade financial logic such as ACTUS day-count & end-of-month conventions, ACTUS datatypes and floating point arithmetic used throughout all ACTUS engines.

Engines

Contains ACTUS state machine engines for each ACTUS Contract Type. An Engine implements the state transition & payoff functions and the schedule generation logic for an ACTUS Contract Type. Engines are stateless smart contracts, thus can be used on-chain as well as off-chain (e.g. by using the EVM as a TEE).

Basic workflow

1. Define an ACTUS term sheet depending on the financial contract you want to model and derive the LifecycleTerms object from that
2. Compute EventType-specific schedules via computeNonCyclicScheduleSegment() and computeCyclicScheduleSegment() (you may combine the schedules into one schedule for easier handling) as well as the initial state of the asset via computeInitialState() via the corresponding Engine contract
3. Evaluate each event in the schedule by computing its payoff via computePayoffForEvent() and the resulting state via computeStateForEvent() (note: the payoff has to be computed from the previous state - always compute payoff first then the state)

Development

Requirements and Setup

See README in root directory.

Testing

yarn test

Implemented Conventions

• [x] Contract-Role-Sign-Convention (for PAM)
• [x] Contract-Default-Convention

Business-Day-Count-Conventions

• [x] SCF (Shift/Calculate following)
• [x] SCMF (Shift/Calculate modified following)
• [x] CSF (Calculate/Shift following)
• [x] CSMF (Calculate/Shift modified following)
• [x] SCP (Shift/Calculate preceding)
• [x] SCMP (Shift/Calculate modified preceding)
• [x] CSP (Calculate/Shift preceding)
• [x] CSMP (Calculate/Shift modified preceding)

Year-Fraction-Conventions (Day-Count-Methods)

• [x] A/AISDA (Actual Actual ISDA)
• [x] A/360 (Actual Three Sixty)
• [x] A/365 (Actual Three Sixty Five)
• [x] 30E/360ISDA (Thirty E Three Sixty ISDA)
• [x] 30E/360 (Thirty E Three Sixty)
• [ ] BUS/252 (Business Two Fifty Two)
• [ ] 1/1

End-Of-Month-Conventions

• [x] Same Day Shift
• [x] End-Of-Month Shift