//-------------------------------------------------------------------------
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));
}