Describing Web Service Architectures through Design-by-Contract

Architectural description languages (ADLs) are used to specify a high-level, compositional view of a software application, specifying how a system is to be composed from coarse-grain components. ADLs usually come equipped with a formal dynamic semantics, facilitating specification and analysis of distributed and event-based systems. In this paper, we describe the TrustME, an ADL framework that provides both a process and a structural view of web service-based systems. We use Petri-net descriptions to give a dynamic view of business workflow for web service collaboration. We adapt the approach of Schmidt to define a form of Meyer's design-by-contract for configuring workflow architectures. This serves as a configuration-level means of constructing safer, more robust systems.

Trust-By-Contract: Modelling, Analysing and Predicting Behaviour in Software Architectures

Architecture description languages (ADLs) are used to specify high-level, compositional views of a software application. ADL research focuses on software composed of prefabricated parts, so-called software components. ADLs usually come equipped with rigorous state-transition style semantics, facilitating verification and analysis of specifications. Consequently, ADLs are well suited to configuring distributed and event-based systems. However, additional expressive power is required for the description of enterprise software architectures – in particular, those built upon newer middleware, such as implementations of Java’s EJB specification, or Microsoft’s COM+/.NET. The enterprise requires distributed software solutions that are scalable, business-oriented and mission-critical. We can make progress toward attaining these qualities at various stages of the software development process. In particular, progress at the architectural level can be leveraged through use of an ADL that incorporates trust and dependability analysis. Also, current industry approaches to enterprise development do not address several important architectural design issues. The TrustME ADL is designed to meet these requirements, through combining approaches to software architecture specification with rigorous design-by-contract ideas. In this paper, we focus on several aspects of TrustME that facilitate specification and analysis of middleware-based architectures for trusted enterprise computing systems.

Modelling and Administration of Contract-Based Systems

Mirroring the paper versions exchanged between businesses today, electronic contracts offer the possibility of dynamic, automatic creation and enforcement of restrictions and compulsions on agent behaviour that are designed to ensure business objectives are met. However, where there are many contracts within a particular application, it can be difficult to determine whether the system can reliably fulfil them all; computer-parsable electronic contracts may allow such verification to be automated. In this paper, we describe a conceptual framework and architecture specification in which normative business contracts can be electronically represented, verified, established, renewed, etc. In particular, we aim to allow systems containing multiple contracts to be checked for conflicts and violations of business objectives. We illustrate the framework and architecture with an aerospace example.

Towards a Monitoring Framework for Agent-Based Contract Systems

The behaviours of autonomous agents may deviate from those deemed to be for the good of the societal systems of which they are a part. Norms have therefore been proposed as a means to regulate agent behaviours in open and dynamic systems, and may be encoded in electronic contracts in order to specify the obliged, permitted and prohibited behaviours of agents that are signatories to such contracts. Enactment and management of electronic contracts thus enables the use of regulatory mechanisms to ensure that agent behaviours comply with the encoded norms. To facilitate such mechanisms requires monitoring in order to detect and explain violation of norms. In this paper we propose a framework for monitoring that is to be implemented and integrated into a suite of contract enactment and management tools. The framework adopts a non-intrusive approach to monitoring, whereby the states of a contract with respect to its contained norms can be inferred on the basis of messages exchanged. Specifically, the framework deploys agents that observe messages sent between contract signatories, where these messages correspond to agent behaviours and therefore indicate whether norms are, or are in danger of, being violated.

A contract-based system for aerospace aftercare

The logistics of the aerospace aftermarket raises a number of very interesting challenges from the perspective of electronic contracting. This is a highly dynamic domain, where contracts are established between airlines and engine manufacturers, as well as between engine manufacturers all the way down the supply lines, providing a particularly illustrative showcase for the technologies developed in the CONTRACT project. In this paper, we describe such a domain, as well as our modelling of it as a multiagent simulator where the CONTRACT framework has been used to monitor for compliance with norms.

Monitoring and Explanation of Contract Execution: A Case Study in the Aerospace Domain

In the domain of aerospace aftermarkets, which often has long supply chains that feed into the maintenance of aircraft, contracts are used to establish agreements between aircraft operators and maintenance suppliers. However, violations at the bottom of the supply chain (part suppliers) can easily cascade to the top (aircraft operators), making it difficult to determine the source of the violation, and seek to address it. In this context, we have developed a global monitoring architecture that ensures the detection of norm violations and generates explanations for the origin of violations. In this paper, we describe the implementation and deployment of a global monitor in the aerospace domain of [8] and show how it generates explanations for violations within the maintenance supply chain. We show how these explanations can be used not only to detect violations at runtime, but also to uncover potential problems in contracts before their deployment, thus improving them.

Case studies for contract-based systems

Of the ways in which agent behaviour can be regulated in a multiagent system, electronic contracting – based on explicit representation of different parties' responsibilities, and the agreement of all parties to them – has significant potential for modern industrial applications. Based on this assumption, the CONTRACT project aims to develop and apply electronic contracting and contract-based monitoring and verification techniques in real world applications. This paper presents results from the initial phase of the project, which focused on requirements solicitation and analysis. Specifically, we survey four use cases from diverse industrial applications, examine how they can benefit from an agent-based electronic contracting infrastructure and outline the technical requirements that would be placed on such an infrastructure. We present the designed CONTRACT architecture and describe how it may fulfil these requirements. In addition to motivating our work on the contract-based infrastructure, the paper aims to provide a much needed community resource in terms of use case themselves and to provide a clear commercial context for the development of work on contract-based system.

Cálculo do subsídio implícito a agricultura, proveniente da política de preços mínimos, utilizando a teoria de "option pricing"

O objetivo desse trabalho é calcular o subsídio implícito aos produtores de arroz agulhinha, feijão preto, milho e soja, proveniente da política de preços mínimos, através da avaliação dos prêmios das opções de venda que correspondem à política de preços mínimos para essas commodities.

Tests of conditional asset pricing models in the brazilian stock market

In this paper, we test a version of the conditional CAPM with respect to a local market portfolio, proxied by the Brazilian stock index during the period 1976-1992. We also test a conditional APT modeI by using the difference between the 3-day rate (Cdb) and the overnight rate as a second factor in addition to the market portfolio in order to capture the large inflation risk present during this period. The conditional CAPM and APT models are estimated by the Generalized Method of Moments (GMM) and tested on a set of size portfolios created from individual securities exchanged on the Brazilian markets. The inclusion of this second factor proves to be important for the appropriate pricing of the portfolios.

Arbitrage Pricing Theory (APT) e variáveis macroeconômicas: um estudo empírico sobre o mercado acionário brasileiro

Este trabalho utiliza retornos mensais de 10 portfólios de ações negociadas na Bovespa entre 1987 e 1997, a fim de testar a validade empírica do modelo APT. Foram criadas variáveis macroeconômicas como fatores de variância comum aos diversos portfólios. Além destes fatores serem estatisticamente significantes para explicar a relação entre os retornos dos diversos portfólios de uma maneira geral, foram encontradas evidências no sentido de validar o APT.

Estimating the term structure of volatility and fixed income derivative pricing

Estimating the parameters of the instantaneous spot interest rate process is of crucial importance for pricing fixed income derivative securities. This paper presents an estimation for the parameters of the Gaussian interest rate model for pricing fixed income derivatives based on the term structure of volatility. We estimate the term structure of volatility for US treasury rates for the period 1983 - 1995, based on a history of yield curves. We estimate both conditional and first differences term structures of volatility and subsequently estimate the implied parameters of the Gaussian model with non-linear least squares estimation. Results for bond options illustrate the effects of differing parameters in pricing.

A stochastic discount factor approach to asset pricing using panel data

Using the Pricing Equation, in a panel-data framework, we construct a novel consistent estimator of the stochastic discount factor (SDF) mimicking portfolio which relies on the fact that its logarithm is the ìcommon featureîin every asset return of the economy. Our estimator is a simple function of asset returns and does not depend on any parametric function representing preferences, making it suitable for testing di§erent preference speciÖcations or investigating intertemporal substitution puzzles.

Contract enforcement and incentive compatibility in large economies with differential information: the role of exact feasibility

We consider exchange economies with a continuum of agents and differential information about finitely many states of nature. It was proved in Einy, Moreno and Shitovitz (2001) that if we allow for free disposal in the market clearing (feasibility) constraints then an irreducible economy has a competitive (or Walrasian expectations) equilibrium, and moreover, the set of competitive equilibrium allocations coincides with the private core. However when feasibility is defined with free disposal, competitive equilibrium allocations may not be incentive compatible and contracts may not be enforceable (see e.g. Glycopantis, Muir and Yannelis (2002)). This is the main motivation for considering equilibrium solutions with exact feasibility. We first prove that the results in Einy et al. (2001) are still valid without free-disposal. Then we define an incentive compatibility property motivated by the issue of contracts’ execution and we prove that every Pareto optimal exact feasible allocation is incentive compatible, implying that contracts of a competitive or core allocations are enforceable.

Simple calvo economies with heterogeneous pricing

A motivação para este trabalho vem dos principais resultados de Carvalho e Schwartzman (2008), onde a heterogeneidade surge a partir de diferentes regras de ajuste de preço entre os setores. Os momentos setoriais da duração da rigidez nominal são su cientes para explicar certos efeitos monetários. Uma vez que concordamos que a heterogeneidade é relevante para o estudo da rigidez de preços, como poderíamos escrever um modelo com o menor número possível de setores, embora com um mínimo de heterogeneidade su ciente para produzir qualquer impacto monetário desejado, ou ainda, qualquer três momentos da duração? Para responder a esta questão, este artigo se restringe a estudar modelos com hazard-constante e considera que o efeito acumulado e a dinâmica de curto-prazo da política monetária são boas formas de se resumir grandes economias heterogêneas. Mostramos que dois setores são su cientes para resumir os efeitos acumulados de choques monetários, e economias com 3 setores são boas aproximações para a dinâmica destes efeitos. Exercícios numéricos para a dinâmica de curto prazo de uma economia com rigidez de informação mostram que aproximar 500 setores usando apenas 3 produz erros inferiores a 3%. Ou seja, se um choque monetário reduz o produto em 5%, a economia aproximada produzirá um impacto entre 4,85% e 5,15%. O mesmo vale para a dinâmica produzida por choques de nível de moeda em uma economia com rigidez de preços. Para choques na taxa de crescimento da moeda, a erro máximo por conta da aproximação é de 2,4%.