//------------------------------------------------------------------------- public PortfolioItemSummary summarize() { // 5Y USD 2mm Rec USD-LIBOR-6M Cap 1% / Pay Premium : 21Jan17-21Jan22 StringBuilder buf = new StringBuilder(96); IborCapFloorLeg mainLeg = product.CapFloorLeg; buf.Append(SummarizerUtils.datePeriod(mainLeg.StartDate.Unadjusted, mainLeg.EndDate.Unadjusted)); buf.Append(' '); buf.Append(SummarizerUtils.amount(mainLeg.Currency, mainLeg.Notional.InitialValue)); buf.Append(' '); if (mainLeg.PayReceive.Receive) { buf.Append("Rec "); summarizeMainLeg(mainLeg, buf); buf.Append(Premium.Present ? " / Pay Premium" : (product.PayLeg.Present ? " / Pay Periodic" : "")); } else { buf.Append(Premium.Present ? "Rec Premium / Pay " : (product.PayLeg.Present ? "Rec Periodic / Pay " : "")); summarizeMainLeg(mainLeg, buf); } buf.Append(" : "); buf.Append(SummarizerUtils.dateRange(mainLeg.StartDate.Unadjusted, mainLeg.EndDate.Unadjusted)); return(SummarizerUtils.summary(this, ProductType.IBOR_CAP_FLOOR, buf.ToString(), mainLeg.Currency)); }
//------------------------------------------------------------------------- public PortfolioItemSummary summarize() { // 3x6 USD 1mm Rec GBP-LIBOR / Pay 2.5% : 21Jan18-21Apr18 StringBuilder buf = new StringBuilder(64); Optional <LocalDate> tradeDate = info.TradeDate; if (tradeDate.Present) { // use a three day fudge to avoid most holiday and end of month issues when calculating months buf.Append(MONTHS.between(tradeDate.get(), product.StartDate.plusDays(3))); buf.Append("x"); buf.Append(MONTHS.between(tradeDate.get(), product.EndDate.plusDays(3))); } else { buf.Append(product.Index.Tenor); } buf.Append(' '); string floatingRate = product.Index.FloatingRateName.normalized().ToString(); string fixedRate = SummarizerUtils.percent(product.FixedRate); buf.Append(SummarizerUtils.amount(product.Currency, product.Notional)); buf.Append(" Rec "); buf.Append(product.BuySell.Buy ? floatingRate : fixedRate); buf.Append(" / Pay "); buf.Append(product.BuySell.Buy ? fixedRate : floatingRate); buf.Append(" : "); buf.Append(SummarizerUtils.dateRange(product.StartDate, product.EndDate)); return(SummarizerUtils.summary(this, ProductType.FRA, buf.ToString(), product.Currency)); }
//------------------------------------------------------------------------- public PortfolioItemSummary summarize() { // F-ECAG-FGBS-201706 x 200, Jun17 string future = security.summaryDescription(); string description = SecurityId.StandardId.Value + " x " + SummarizerUtils.value(Quantity) + ", " + future; return(SummarizerUtils.summary(this, ProductType.ETD_FUTURE, description, Currency)); }
//------------------------------------------------------------------------- public PortfolioItemSummary summarize() { // 6M USD 2mm Deposit 0.8% : 21Jan18-21Jul18 StringBuilder buf = new StringBuilder(64); buf.Append(SummarizerUtils.datePeriod(product.StartDate, product.EndDate)); buf.Append(' '); buf.Append(SummarizerUtils.amount(product.Currency, product.Notional)); buf.Append(' '); buf.Append(product.BuySell == BuySell.BUY ? "Deposit " : "Loan "); buf.Append(SummarizerUtils.percent(product.Rate)); buf.Append(" : "); buf.Append(SummarizerUtils.dateRange(product.StartDate, product.EndDate)); return(SummarizerUtils.summary(this, ProductType.TERM_DEPOSIT, buf.ToString(), product.Currency)); }
//------------------------------------------------------------------------- public PortfolioItemSummary summarize() { // Long 5Y USD 2mm Rec USD-LIBOR-6M / Pay 1% : 21Jan18 string swapDesc = product.Underlying.summaryDescription(); swapDesc = swapDesc.Contains(":") ? swapDesc.Substring(0, swapDesc.LastIndexOf(':')).Trim() : swapDesc; StringBuilder buf = new StringBuilder(96); buf.Append(product.LongShort); buf.Append(' '); buf.Append(swapDesc); buf.Append(" : "); buf.Append(SummarizerUtils.date(product.ExpiryDate.Unadjusted)); return(SummarizerUtils.summary(this, ProductType.SWAPTION, buf.ToString(), product.Currency)); }
//------------------------------------------------------------------------- public PortfolioItemSummary summarize() { // Pay USD 1mm @ GBP/USD 1.32 : Rec USD 1mm @ GBP/USD 1.35 : 21Jan18-21Apr18 StringBuilder buf = new StringBuilder(96); CurrencyAmount base1 = product.NearLeg.BaseCurrencyAmount; CurrencyAmount counter1 = product.NearLeg.CounterCurrencyAmount; CurrencyAmount base2 = product.FarLeg.BaseCurrencyAmount; CurrencyAmount counter2 = product.FarLeg.CounterCurrencyAmount; buf.Append(SummarizerUtils.fx(base1, counter1)); buf.Append(" / "); buf.Append(SummarizerUtils.fx(base2, counter2)); buf.Append(" : "); buf.Append(SummarizerUtils.dateRange(product.NearLeg.PaymentDate, product.FarLeg.PaymentDate)); CurrencyPair currencyPair = product.NearLeg.CurrencyPair; return(SummarizerUtils.summary(this, ProductType.FX_SWAP, buf.ToString(), currencyPair.Base, currencyPair.Counter)); }
//------------------------------------------------------------------------- public PortfolioItemSummary summarize() { string description = "Ibor calibration trade"; return(SummarizerUtils.summary(this, ProductType.CALIBRATION, description, product.Currency)); }