com.opengamma.strata.product.common.SummarizerUtils Maven / Gradle / Ivy
Show all versions of strata-product Show documentation
/*
* Copyright (C) 2017 - present by OpenGamma Inc. and the OpenGamma group of companies
*
* Please see distribution for license.
*/
package com.opengamma.strata.product.common;
import static java.time.temporal.ChronoUnit.MONTHS;
import java.math.BigDecimal;
import java.math.RoundingMode;
import java.text.DecimalFormat;
import java.text.DecimalFormatSymbols;
import java.time.LocalDate;
import java.time.Period;
import java.time.format.DateTimeFormatter;
import java.time.temporal.ChronoUnit;
import java.util.Locale;
import com.google.common.collect.ImmutableSet;
import com.opengamma.strata.basics.currency.Currency;
import com.opengamma.strata.basics.currency.CurrencyAmount;
import com.opengamma.strata.basics.currency.FxRate;
import com.opengamma.strata.basics.date.Tenor;
import com.opengamma.strata.collect.Decimal;
import com.opengamma.strata.collect.Percentage;
import com.opengamma.strata.product.PortfolioItemSummary;
import com.opengamma.strata.product.PortfolioItemType;
import com.opengamma.strata.product.Position;
import com.opengamma.strata.product.ProductType;
import com.opengamma.strata.product.Trade;
import com.opengamma.strata.product.option.Barrier;
/**
* Utilities to support summarizing portfolio items.
*
* This class provides a central place for description logic.
*/
public final class SummarizerUtils {
/** Date format. */
private static final DateTimeFormatter DATE_FORMAT = DateTimeFormatter.ofPattern("dMMMuu", Locale.ENGLISH);
// restricted constructor
private SummarizerUtils() {
}
//-------------------------------------------------------------------------
/**
* Converts a date to a string.
*
* @param date the date
* @return the string form
*/
public static String date(LocalDate date) {
return date.format(DATE_FORMAT);
}
/**
* Converts a date range to a string.
*
* @param start the start date
* @param end the end date
* @return the string form
*/
public static String dateRange(LocalDate start, LocalDate end) {
return date(start) + "-" + date(end);
}
/**
* Converts a date range to a period string.
*
* @param start the start date
* @param end the end date
* @return the string form
*/
public static String datePeriod(LocalDate start, LocalDate end) {
int months = Math.toIntExact(MONTHS.between(start, end.plusDays(3)));
if (months > 0) {
return Tenor.of(Period.ofMonths(months)).normalized().toString();
} else {
return Tenor.of(Period.ofDays((int) start.until(end, ChronoUnit.DAYS))).toString();
}
}
/**
* Converts an amount to a string.
*
* @param currencyAmount the amount
* @return the string form
*/
public static String amount(CurrencyAmount currencyAmount) {
return amount(currencyAmount.getCurrency(), currencyAmount.getAmount());
}
/**
* Converts an amount to a string.
*
* @param currency the currency
* @param value the value
* @return the string form
*/
public static String amount(Currency currency, double value) {
BigDecimal dec = BigDecimal.valueOf(value).stripTrailingZeros();
String symbol = currency.getCode() + " ";
if (dec.scale() <= -3) {
if (Math.abs(dec.longValue()) >= 1_000_000L) {
dec = dec.movePointLeft(6);
return symbol + dec.toPlainString() + "mm";
} else {
dec = dec.movePointLeft(3);
return symbol + dec.toPlainString() + "k";
}
}
if (dec.scale() > currency.getMinorUnitDigits()) {
dec = dec.setScale(currency.getMinorUnitDigits(), RoundingMode.HALF_UP);
}
DecimalFormat formatter = new DecimalFormat("###,###.###", new DecimalFormatSymbols(Locale.ENGLISH));
return symbol + formatter.format(dec);
}
/**
* Converts a value to a string.
*
* @param value the value
* @return the string form
*/
public static String value(double value) {
Decimal dec = Decimal.of(value);
return dec.roundToScale(6, RoundingMode.HALF_UP).toString();
}
/**
* Converts a value to a percentage string.
*
* @param decimalForm the value in decimal form
* @return the string form
*/
public static String percent(double decimalForm) {
Percentage pct = Percentage.fromDecimalForm(decimalForm);
return pct.map(dec -> dec.roundToScale(4, RoundingMode.HALF_UP)).toString();
}
//-------------------------------------------------------------------------
/**
* Converts pay/receive to a string.
*
* @param payReceive the value
* @return the string form
*/
public static String payReceive(PayReceive payReceive) {
return payReceive.toString().substring(0, 3);
}
/**
* Converts an FX exchange to a string.
*
* @param base the base currency amount
* @param counter the counter currency amount
* @return the string form
*/
public static String fx(CurrencyAmount base, CurrencyAmount counter) {
BigDecimal rateDec = BigDecimal.valueOf(
counter.getAmount() / base.getAmount()).setScale(base.getCurrency().getMinorUnitDigits() + 2, RoundingMode.HALF_UP).abs();
FxRate rate = FxRate.of(base.getCurrency(), counter.getCurrency(), rateDec.doubleValue());
BigDecimal baseDec = BigDecimal.valueOf(base.getAmount()).stripTrailingZeros();
BigDecimal counterDec = BigDecimal.valueOf(counter.getAmount()).stripTrailingZeros();
boolean roundBase = baseDec.scale() < counterDec.scale();
CurrencyAmount round = roundBase ? base : counter;
return (round.getAmount() < 0 ? "Pay " : "Rec ") +
SummarizerUtils.amount(round.mapAmount(a -> Math.abs(a))) + " @ " + rate;
}
/**
* Provide a summary description of the given barrier.
*
* Summary contains the barrier level, the type and the knock type e.g. "Up-and-KnockOut @ 1.25".
*
* @param barrier the barrier
* @param barrierObsDate the date on which the barrier level should be observed
* @return a summary description of the given barrier
*/
public static String barrier(Barrier barrier, LocalDate barrierObsDate) {
StringBuilder buffer = new StringBuilder();
buffer.append(barrier.getBarrierType());
buffer.append("-and-");
buffer.append(barrier.getKnockType());
buffer.append(" @ ");
buffer.append(barrier.getBarrierLevel(barrierObsDate));
return buffer.toString();
}
//-------------------------------------------------------------------------
/**
* Creates a summary instance for a position.
*
* @param position the position
* @param type the type
* @param description the description
* @param currencies the currencies, may be empty
* @return the string form
*/
public static PortfolioItemSummary summary(Position position, ProductType type, String description, Currency... currencies) {
return PortfolioItemSummary.of(
position.getId().orElse(null), PortfolioItemType.POSITION, type, ImmutableSet.copyOf(currencies), description);
}
/**
* Creates a summary instance for a trade.
*
* @param trade the trade
* @param type the type
* @param description the description
* @param currencies the currencies, may be empty
* @return the string form
*/
public static PortfolioItemSummary summary(Trade trade, ProductType type, String description, Currency... currencies) {
return PortfolioItemSummary.of(
trade.getId().orElse(null), PortfolioItemType.TRADE, type, ImmutableSet.copyOf(currencies), description);
}
}