Overview of Strategy identification

 

Strategies are used for grouping the trades into a bundle according to different criteria.

• When trades get imported into the system, the trades are grouped into the different Strategies based on the incoming fields between the trades.

                   eg: If two trades are having same Account name or having same notional amount can be grouped into a single Strategy.

• When trades get grouped with a strategy rule, they both get stamped with the same strategy ID and the same strategy.
  • Strategy matching can be done between two trades and more the two trades.
  • For each product type, we have different set of Strategy rules.

Strategy implementation

• In the below path mentioned, there were many strategy rules for different product typesStatic Data-> System Options->Settings Pkg Combine tran. Strategies

•  Select any of the Strategy rule and click Edit(right hand side of the above popup), you can see the Strategy rules defined for the particular product.
  • Combination Name: Name of the Strategy Rule will be displayed against combined trades
  • Prerequisite fields: The field contains all the mandatory matching fields between the trades if they need to fall into same strategy.
• Left fields contain all the available fields in the trades and right side contains the fields that we selected to categorize the trades. If we are selecting a two trades to be categorized to a single Strategy, if the fields mentioned in the right side is matching for two trades, then that trades will be mapped under same strategy name and Strategy ID.
  • Combine logic: Here we can mention different conditions where the trades should be matched.
• Strategy suffix meaning : suffix used to indicate different duration calculation logic. Meanings are as below for each suffix                                                                                                                                                                                                                                                                   
• 1) :Y -> Duration = Maturity Date of longer leg – Maturity Date of shorter leg (same value to be shown on both legs)
  2) :A -> Duration = Longest duration and save the value in rate_and_duration field
  3) :B -> Duration = Get the shortest duration from a strategies leg, compare it to the GAP duration, take the shorter of the two
  4)  No Suffix -> Duration = Maturity Date – Trade Date