//-------------------------------------------------------------------------
public override PortfolioItemSummary summarize()
{
// ID x 200
string description = SecurityId.StandardId.Value + " x " + SummarizerUtils.value(Quantity);
return(SummarizerUtils.summary(this, ProductType.BOND_FUTURE_OPTION, description, 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()
{
string description = "CDS Index calibration trade";
Currency currency = underlyingTrade.Product.Currency;
return(SummarizerUtils.summary(this, ProductType.CALIBRATION, description, currency));
}
//-------------------------------------------------------------------------
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 override PortfolioItemSummary summarize()
{
// AAPL x 200
string description = SecurityId.StandardId.Value + " x " + SummarizerUtils.value(Quantity);
return(SummarizerUtils.summary(this, ProductType.SECURITY, description, 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()
{
// O-ECAG-OGBS-201706-P1.50 x 200, Jun17 P1.50
string option = security.summaryDescription();
string description = SecurityId.StandardId.Value + " x " + SummarizerUtils.value(Quantity) + ", " + option;
return(SummarizerUtils.summary(this, ProductType.ETD_OPTION, description, Currency));
}
//-------------------------------------------------------------------------
public PortfolioItemSummary summarize()
{
// Pay USD 2mm : 21Jan18
StringBuilder buf = new StringBuilder(64);
buf.Append(product.PayReceive);
buf.Append(' ');
buf.Append(SummarizerUtils.amount(product.Value));
buf.Append(" : ");
buf.Append(SummarizerUtils.date(product.Date.Unadjusted));
return(SummarizerUtils.summary(this, ProductType.BULLET_PAYMENT, buf.ToString(), product.Currency));
}
//-------------------------------------------------------------------------
public PortfolioItemSummary summarize()
{
// Pay USD 1mm @ GBP/USD 1.32 : 21Jan18
StringBuilder buf = new StringBuilder(64);
CurrencyAmount @base = product.BaseCurrencyAmount;
CurrencyAmount counter = product.CounterCurrencyAmount;
buf.Append(SummarizerUtils.fx(@base, counter));
buf.Append(" : ");
buf.Append(SummarizerUtils.date(product.PaymentDate));
return(SummarizerUtils.summary(this, ProductType.FX_SINGLE, buf.ToString(), @base.Currency, counter.Currency));
}
//-------------------------------------------------------------------------
public PortfolioItemSummary summarize()
{
// Pay USD 1mm @ USD/CNY 6.62 NDF : 21Jan18
StringBuilder buf = new StringBuilder(64);
CurrencyAmount notional = product.SettlementCurrencyNotional;
CurrencyAmount counter = notional.convertedTo(product.NonDeliverableCurrency, product.AgreedFxRate);
buf.Append(SummarizerUtils.fx(notional, counter));
buf.Append(" NDF : ");
buf.Append(SummarizerUtils.date(product.PaymentDate));
return(SummarizerUtils.summary(this, ProductType.FX_NDF, buf.ToString(), product.SettlementCurrency, product.NonDeliverableCurrency));
}
//-------------------------------------------------------------------------
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));
}
// summarize the main leg
private void summarizeMainLeg(IborCapFloorLeg mainLeg, StringBuilder buf)
{
buf.Append(mainLeg.Index);
buf.Append(' ');
if (mainLeg.CapSchedule.Present)
{
buf.Append("Cap ");
buf.Append(SummarizerUtils.percent(mainLeg.CapSchedule.get().InitialValue));
}
if (mainLeg.FloorSchedule.Present)
{
buf.Append("Floor ");
buf.Append(SummarizerUtils.percent(mainLeg.FloorSchedule.get().InitialValue));
}
}
//-------------------------------------------------------------------------
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 Barrier Pay USD 1mm Premium USD 100k @ GBP/USD 1.32 : 21Jan18
StringBuilder buf = new StringBuilder(96);
CurrencyAmount @base = product.UnderlyingOption.Underlying.BaseCurrencyAmount;
CurrencyAmount counter = product.UnderlyingOption.Underlying.CounterCurrencyAmount;
buf.Append(product.UnderlyingOption.LongShort);
buf.Append(" Barrier ");
buf.Append(SummarizerUtils.fx(@base, counter));
buf.Append(" Premium ");
buf.Append(SummarizerUtils.amount(premium.Value.mapAmount(v => Math.Abs(v))));
buf.Append(" : ");
buf.Append(SummarizerUtils.date(product.UnderlyingOption.ExpiryDate));
CurrencyPair currencyPair = product.CurrencyPair;
return(SummarizerUtils.summary(this, ProductType.FX_SINGLE_BARRIER_OPTION, buf.ToString(), currencyPair.Base, currencyPair.Counter));
}
//-------------------------------------------------------------------------
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));
}
// a summary of the leg
private string legSummary(SwapLeg leg)
{
if (leg is RateCalculationSwapLeg)
{
RateCalculationSwapLeg rcLeg = (RateCalculationSwapLeg)leg;
RateCalculation calculation = rcLeg.Calculation;
if (calculation is FixedRateCalculation)
{
FixedRateCalculation calc = (FixedRateCalculation)calculation;
string vary = calc.Rate.Steps.Count > 0 || calc.Rate.StepSequence.Present ? " variable" : "";
return(SummarizerUtils.percent(calc.Rate.InitialValue) + vary);
}
if (calculation is IborRateCalculation)
{
IborRateCalculation calc = (IborRateCalculation)calculation;
string gearing = calc.Gearing.map(g => " * " + SummarizerUtils.value(g.InitialValue)).orElse("");
string spread = calc.Spread.map(s => " + " + SummarizerUtils.percent(s.InitialValue)).orElse("");
return(calc.Index.Name + gearing + spread);
}
if (calculation is OvernightRateCalculation)
{
OvernightRateCalculation calc = (OvernightRateCalculation)calculation;
string avg = calc.AccrualMethod == OvernightAccrualMethod.AVERAGED ? " avg" : "";
string gearing = calc.Gearing.map(g => " * " + SummarizerUtils.value(g.InitialValue)).orElse("");
string spread = calc.Spread.map(s => " + " + SummarizerUtils.percent(s.InitialValue)).orElse("");
return(calc.Index.Name + avg + gearing + spread);
}
if (calculation is InflationRateCalculation)
{
InflationRateCalculation calc = (InflationRateCalculation)calculation;
string gearing = calc.Gearing.map(g => " * " + SummarizerUtils.value(g.InitialValue)).orElse("");
return(calc.Index.Name + gearing);
}
}
if (leg is KnownAmountSwapLeg)
{
KnownAmountSwapLeg kaLeg = (KnownAmountSwapLeg)leg;
string vary = kaLeg.Amount.Steps.Count > 0 || kaLeg.Amount.StepSequence.Present ? " variable" : "";
return(SummarizerUtils.amount(kaLeg.Currency, kaLeg.Amount.InitialValue) + vary);
}
ImmutableSet <Index> allIndices = leg.allIndices();
return(allIndices.Empty ? "Fixed" : allIndices.ToString());
}
//-------------------------------------------------------------------------
/// <summary>
/// Summarizes this swap into string form.
/// </summary>
/// <returns> the summary description </returns>
public string summaryDescription()
{
// 5Y USD 2mm Rec USD-LIBOR-6M / Pay 1% : 21Jan17-21Jan22
StringBuilder buf = new StringBuilder(64);
buf.Append(SummarizerUtils.datePeriod(StartDate.Unadjusted, EndDate.Unadjusted));
buf.Append(' ');
if (Legs.size() == 2 && PayLeg.Present && ReceiveLeg.Present && Legs.All(leg => leg is RateCalculationSwapLeg))
{
// normal swap
SwapLeg payLeg = PayLeg.get();
SwapLeg recLeg = ReceiveLeg.get();
string payNotional = notional(payLeg);
string recNotional = notional(recLeg);
if (payNotional.Equals(recNotional))
{
buf.Append(recNotional);
buf.Append(" Rec ");
buf.Append(legSummary(recLeg));
buf.Append(" / Pay ");
buf.Append(legSummary(payLeg));
}
else
{
buf.Append("Rec ");
buf.Append(legSummary(recLeg));
buf.Append(' ');
buf.Append(recNotional);
buf.Append(" / Pay ");
buf.Append(legSummary(payLeg));
buf.Append(' ');
buf.Append(payNotional);
}
}
else
{
// abnormal swap
//JAVA TO C# CONVERTER TODO TASK: Most Java stream collectors are not converted by Java to C# Converter:
buf.Append(Legs.Select(leg => (SummarizerUtils.payReceive(leg.PayReceive) + " " + legSummary(leg) + " " + notional(leg)).Trim()).collect(joining(" / ")));
}
buf.Append(" : ");
buf.Append(SummarizerUtils.dateRange(StartDate.Unadjusted, EndDate.Unadjusted));
return(buf.ToString());
}
// the notional, with trailing space if present
private string notional(SwapLeg leg)
{
if (leg is RateCalculationSwapLeg)
{
RateCalculationSwapLeg rcLeg = (RateCalculationSwapLeg)leg;
NotionalSchedule notionalSchedule = rcLeg.NotionalSchedule;
ValueSchedule amount = notionalSchedule.Amount;
double notional = amount.InitialValue;
string vary = amount.Steps.Count > 0 || amount.StepSequence.Present ? " variable" : "";
Currency currency = notionalSchedule.FxReset.map(fxr => fxr.ReferenceCurrency).orElse(rcLeg.Currency);
return(SummarizerUtils.amount(currency, notional) + vary);
}
if (leg is RatePeriodSwapLeg)
{
RatePeriodSwapLeg rpLeg = (RatePeriodSwapLeg)leg;
return(SummarizerUtils.amount(rpLeg.PaymentPeriods.get(0).NotionalAmount));
}
return("");
}
//-------------------------------------------------------------------------
public PortfolioItemSummary summarize()
{
// 2Y Buy USD 1mm INDEX / 1.5% : 21Jan18-21Jan20
PeriodicSchedule paymentSchedule = product.PaymentSchedule;
StringBuilder buf = new StringBuilder(96);
buf.Append(SummarizerUtils.datePeriod(paymentSchedule.StartDate, paymentSchedule.EndDate));
buf.Append(' ');
buf.Append(product.BuySell);
buf.Append(' ');
buf.Append(SummarizerUtils.amount(product.Currency, product.Notional));
buf.Append(' ');
buf.Append(product.CdsIndexId.Value);
buf.Append(" / ");
buf.Append(SummarizerUtils.percent(product.FixedRate));
buf.Append(" : ");
buf.Append(SummarizerUtils.dateRange(paymentSchedule.StartDate, paymentSchedule.EndDate));
return(SummarizerUtils.summary(this, ProductType.CDS_INDEX, buf.ToString(), product.Currency));
}
//-------------------------------------------------------------------------
public PortfolioItemSummary summarize()
{
string description = "Ibor calibration trade";
return(SummarizerUtils.summary(this, ProductType.CALIBRATION, description, product.Currency));
}
