Synchronize Europe 18th June 2019 Iosif Itkin, co-CEO and co-founder, Exactpro Using the ISDA CDM Swaps application, simultaneously execute multiple end-to-end scenarios for DAML applications in capital markets - validate with actual contract data on ledger.

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ClearTH Test Automation Framework: Case
Study in IRS & CDS Swaps Lifecycle Module
18th June 2019
Iosif Itkin, co-CEO and co-founder, Exactpro

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Exactpro overview
● A specialist firm focused on functional and non-functional testing of
exchanges, clearing houses, depositories, trade repositories and other
financial market infrastructures.
● We provide software testing services for mission critical technology that
underpins global financial markets. Our clients are regulated by FCA,
Bank of England and their counterparts from other countries.
● We were part of the London Stock Exchange Group (LSEG) from May
2015 till January 2018. Exactpro management buyout from LSEG was
successfully completed in January 2018. We are headquartered in the
UK and have operations in the US, Georgia and Russia.
● Incorporated in 2009 with 10 people, our company
has experienced significant growth and is now
employing over 550 specialists.

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We have a global software Quality Assurance client network
3

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Challenges:
1. There is a multitude of components in modern complex
post-trade infrastructures;
2. Upstream and downstream system dependency;
3. The participant structure is very complex;
4. Trade/Xfer/Position/Account life cycle;
5. The number of Asset Classes may vary;
6. The complexity of the Risk calculation process;
7. Access via a set of API endpoints.
The challenges and their parameterizations lead to a significant
number of test scenarios.
Delivering large Post-Trade initiatives: Key Challenges

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Delivering large Post-Trade initiatives: key challenges and innovative QA
The core idea of Woodpecker is to act as a platform for daemons. They
can be either be relatively simple to provide higher performance for load
testing or more complex to cover diverse testing scenarios based on
different rules and logical conditions.
The daemons can work independently and in groups.
The tool can interact with the client system via
diverse messaging protocols, via the front-end,
using an API, or via a database. Woodpecker
monitors the system and is capable of making
self-corrections to the generated data flow
based on the interaction with the client system.
It collects feedback and adjusts the generated
data flow to the client system’s behaviour to
reach a specific system state.

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ClearTH for DLT-Based Post-Trade Systems research based on R3 Corda
technology has won the Best Tool Demo Award in Xi’an, China

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Case study in Digital Asset:
https://www.isda.org/a/HTSME/Digital-Asset-ISDA-CDM-Adoption-Press-Release.pdf

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Case study in Digital Asset:
https://github.com/digital-asset/ex-cdm-swaps
Copyright (c) 2019, Digital Asset (Switzerland) GmbH and/or its affiliates. All rights reserved. SPDX-License-Identifier: Apache-2.0
IRS & CDS Swaps Lifecycle Module
Product Overview
The swaps reference application presents an event monitoring tool for managing the lifecycle
events of interest rate swaps and credit default swaps by leveraging the CDM and its Event
Specification Module. In particular, it demonstrates the ability of DAML to better facilitate reset
and payment events. While the application uses IRS and CDS as the underlying instruments, the
same principles could be applied to other types of swaps or derivatives.
Highlights
● Lifecycling of interest rate swaps and credit default swaps
● Based on the CDM Event Specification Module
https://daml.com/product/irs-and-cds-swaps-lifecycle-module.html

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Cash
Xfers

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Checkbox Testing in Regulated Environments: Limited Coverage

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Model Based Testing: Simple Excel Simulation

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Set of Matrices
FindContract
SendCommand
VerifyContract
VerifyCashTransfer
Executed Actions Sequence
Submission
Matrix 1 - FindContract
Matrix 2 - FindContract
Matrix 3 - FindContract
Submission
Matrix 1 - SendCommand
Matrix 2 - SendCommand
Matrix 3 - SendCommand
VerificationAfter
EventDate
Matrix 1 - VerifyContract
Matrix 2 - VerifyContract
Matrix 3 - VerifyContract
CashTransfer
Verification
Matrix 1 - VerifyCashTransfer
Matrix 2 - VerifyCashTransfer
Matrix 3 - VerifyCashTransfer
ClearTH Reports
Matrix 1
Report
Matrix 2
Report
Matrix 3
Report
ClearTH Test Scripts – Concurrent Test Execution
FindContract
SendCommand
VerifyContract
VerifyCashTransfer
FindContract
SendCommand
VerifyContract
VerifyCashTransfer

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Invoke/verify final cash
transfers
Verify that swap
successfully closed
Time travel to next
fixing date
Time travel to
next payment date
Time travel to
maturity date
Submit and
accept trades
Submit floating
rates data
Invoke cash
transfers
Verify cash
transferts
Test Scenario for the Demo

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Test Scenario for the Demo
1. Start Ledger time 2018-10-04.
2. Load NewTrade events with trade dates in the past and in the future
3. Verify submitted trades.
4. Time travel: set Ledger time 2018-10-12.
5. Verify submitted trades (all trades are Applied).
6. Time travel: set Ledger time 2019-06-24 (fixing date for one of swap contracts).
7. As Reuters participant, add Fixings.
8. Time travel: set Ledger time to payment date for one of the swap events (2019-09-26).
9. Invoke generation of derived events.
10. Check Reset and Cash Transfer events
11. Check Market Cash for participant's accounts

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Trades
Accepted
Accepted
Applied
Accepted
...
Start with
Date=T
Date roll
to T+t
Trades
Applied
Applied
Applied
Applied
...
Date roll to
T+Maturity
Reuters participant
Fixings
Derived events
Event reset
Cash
Xfers
Participant’s
accs: market
cash

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Software Testing and Trading Technology Trends
17th September 2019
Leadenhall Building,
London, 2019
Join us in discussing the newest fintech trends
and solutions to the challenges in mission-
critical trading and post trade systems!
Thank You!