Trade Price Report

The Trade Price report allows capturing / viewing / importing values into the trade_price table, to be used by pricer "PricerFromDB" to price trades from stored pricer measures, and by the scheduled task EOD_TRADE_VAL_DB.

 Ⓘ   [NOTE: This only applies if the pricing parameter USE_MARKS is set to False. When it is set to True, the pricer measures are retrieved from PL Marks]

See also PricerFromDB.

 

Before you Begin

The following access permissions control functions in the Trade Price report:

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DeletePriceFromTradePriceReport - Permission to delete pricer measure values.

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ReadPriceFromTradePriceReport - Permission to import pricer measure values.

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SavePriceFromTradePriceReport - Permission to save pricer measure values.

 

Pricer Measures in Pricing Sheet

When using PricerFromDB in the Pricing Sheet, the pricer measures relevant to this report must first be specified during configuration of the Pricing Sheet.

For details on specifying pricer measures in the Pricing Sheet, see Setting User Preferences.

 Ⓘ   [NOTE: PricerFromDB does not support pricer measures FX Spot Delta and IR Nvega in Pricing Sheet.]

 

1. Running the Trade Price Report

In order to bring up the report from the Calypso Navigator, you need to add a menu item for action "reporting.ReportWindow$PricerFromDB".

 Ⓘ   [NOTE: The columns of this picture have been configured. Sort columns, subheadings and subtotals have to be explicitly specified. See Help > Menu Items for details]

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You can change the pricing details at the bottom of the window - By default, the pricing environment comes from the User Defaults, and the valuation date is the current date and time.

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You can check / uncheck View > Show Frame > Criteria to display / hide the search criteria.

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Specify search criteria as applicable and click to load the corresponding trades.

You can load trades using a trade filter, a trade identifier, and the trade selector (click Add to bring up the trade selector).

Choose the pricer measures to be set / displayed from Data > Configure Columns > PricerFromDB.

If the values are already set in the database, they are displayed. Otherwise, you can set them, or import them. See below for details.

If you check "Input/Display: Currency/PricerMeasure", the report displays a currency for each pricer measure. You can also set a currency for each pricer measure in that case.

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You can select a template, and click to display the number of objects that will be loaded from the database, before loading the report.

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You can click to print the report results

Note that for the Pivot view and the Aggregation view, the print icon is disabled.

You can use [Ctrl+P] or [Ctrl+L] to print the report, or you can export the report to Excel and print it from there.

 

2. Setting Pricer Measure Values

Enter pricer measure values, and choose Process > Save Selected or Process > Save All to save the values to the database.

 

3. Importing Pricer Measures

Choose Process > Import Prices to import pricer measure values. You will be prompted to select a CSV file that has the following format.

Trade/Position Id,Valuation_Date,Currency,<list of measure names>

<trade or position id>,<valuation date>,<list of measure values>

 

Example:

Trade/Position Id,Valuation_Date,Currency,NPV,ACCRUAL

36228,08/31/2012,USD,20000,45

Trade/Position Id,Valuation_Date,Currency,NPV,ACCRUAL

36229,08/31/2012,USD,18000,35

Trade/Position Id,Valuation_Date,Currency,NPV,ACCRUAL

36231,08/31/2012,USD,12000,32

 

For reference, position IDs are shown in the Position Keeper window, or in the Trade ID column when you run the Official P&L report.

The date format comes from com.calypso.tk.core.Util#stringToJDate, and is dependent on the Locale settings.

 

Choose Process > Save Selected or Process > Save All to save the imported values to the database.