You can save a portfolio as a portfolio template, which can then be opened on a future date and used to easily create a new portfolio. That is, a portfolio template lets the user quickly price strategies that are priced often without having to manually define the data every time.
A portfolio template is similar to a regular portfolio, where all the trade details are saved. However, the main differences are that a tenor must be defined, and that any tenors defined must be entered in a relative format, and not in an explicit format. When the portfolio template is saved, the tenors are saved, and the actual dates are then generated on the fly when you next open the portfolio template. For example, a swap term is saved as 1y rather than as the specific start and end dates.
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Currently only portfolios with the following instruments can be saved as portfolio templates:
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A portfolio template can be saved in either the My Portfolios or Public Templates folders. If you save it in the Public Templates folder, other users can access and use it.
When you save a portfolio as a portfolio template, for each instrument the following details are saved:
The instrument type.
Tenor.
The tenor is saved in a relative format. For example, if you specified the tenor as 2y5y, whenever you open the saved portfolio template, the swap term will be set to 5y and the Start date will be set to the date two years after the current date.
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If for any instrument in the portfolio you enter the start and end dates manually, or you enter a tenor but then change the dates manually, that instrument cannot be saved into a portfolio template. |
Fixed Rate and Spread.
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These values are only saved in the portfolio template if they have been modified (this also applies if you have assigned different fixed rates to each coupon); otherwise the system calculates them using the current rates when the portfolio template is next opened. |
The conventions such as Day Count, Frequency, In Advance/In Arrears, Stub, Day Roll convention, etc.
Notional as entered (including any amortization or accreting condition, such as, increase by a defined percentage or decrease by a defined amount).
Strike (if relevant for the instrument type).
The strike is saved as defined. That is, the strike can be saved in the portfolio template as an empty field, as a given number (i.e., an absolute or explicit strike), or as a relative index reference strike.
Subsequently, when you later open a portfolio template with a strike, if the template’s Strike field was saved with a:
Numeric strike, the Strike field will open with that strike.
Blank strike, the Strike field will be empty.
Relative index reference strike, the Strike field will open with the relative index reference strike displayed. Only after the instrument is calculated will the index reference strike be calculated and displayed as a numeric strike. If you then save the portfolio template again after the numeric strike has been displayed, the portfolio template is still saved with the original index reference strike. However, if you edit the strike manually, it will be subsequently saved as a numeric strike.
If a portfolio template is saved with the system rates (i.e., the user did not edit the displayed rates) then when that portfolio template is next opened, the market rates are not highlighted in blue. This is because the rates displayed are the live rates for the tenor. However, if the user did edit the rates in the portfolio before saving it as a portfolio template, then when the portfolio template is next opened the market rates are highlighted in blue; this is to indicate that the rates were manually edited by user.
In the Portfolio Management window a portfolio template is indicated by a [PT].