Enum ArbitrageHandling

  • All Implemented Interfaces:
    Named, NamedEnum, java.io.Serializable, java.lang.Comparable<ArbitrageHandling>

    public enum ArbitrageHandling
    extends java.lang.Enum<ArbitrageHandling>
    implements NamedEnum
    The formula for accrual on default.

    This specifies which formula is used in IsdaCdsProductPricer for computing the accrued payment on default. The formula is 'original ISDA', 'Markit fix' or 'correct'.

    • Method Summary

      All Methods Static Methods Instance Methods Concrete Methods 
      Modifier and Type Method Description
      static ArbitrageHandling of​(java.lang.String name)
      Obtains an instance from the specified name.
      java.lang.String toString()
      Returns the formatted name of the type.
      static ArbitrageHandling valueOf​(java.lang.String name)
      Returns the enum constant of this type with the specified name.
      static ArbitrageHandling[] values()
      Returns an array containing the constants of this enum type, in the order they are declared.
      • Methods inherited from class java.lang.Enum

        clone, compareTo, equals, finalize, getDeclaringClass, hashCode, name, ordinal, valueOf
      • Methods inherited from class java.lang.Object

        getClass, notify, notifyAll, wait, wait, wait
      • Methods inherited from interface com.opengamma.strata.collect.named.NamedEnum

        getName
    • Enum Constant Detail

      • IGNORE

        public static final ArbitrageHandling IGNORE
        Ignore.

        If the market data has arbitrage, the curve will still build. The survival probability will not be monotonically decreasing (equivalently, some forward hazard rates will be negative).

      • FAIL

        public static final ArbitrageHandling FAIL
        Fail.

        An exception is thrown if an arbitrage is found.

      • ZERO_HAZARD_RATE

        public static final ArbitrageHandling ZERO_HAZARD_RATE
        Zero hazard rate.

        If a particular spread implies a negative forward hazard rate, the hazard rate is set to zero, and the calibration continues. The resultant curve will not exactly reprice the input CDSs, but will find new spreads that just avoid arbitrage.

    • Method Detail

      • values

        public static ArbitrageHandling[] values()
        Returns an array containing the constants of this enum type, in the order they are declared. This method may be used to iterate over the constants as follows:
        for (ArbitrageHandling c : ArbitrageHandling.values())
            System.out.println(c);
        
        Returns:
        an array containing the constants of this enum type, in the order they are declared
      • valueOf

        public static ArbitrageHandling valueOf​(java.lang.String name)
        Returns the enum constant of this type with the specified name. The string must match exactly an identifier used to declare an enum constant in this type. (Extraneous whitespace characters are not permitted.)
        Parameters:
        name - the name of the enum constant to be returned.
        Returns:
        the enum constant with the specified name
        Throws:
        java.lang.IllegalArgumentException - if this enum type has no constant with the specified name
        java.lang.NullPointerException - if the argument is null
      • of

        public static ArbitrageHandling of​(java.lang.String name)
        Obtains an instance from the specified name.

        Parsing handles the mixed case form produced by toString() and the upper and lower case variants of the enum constant name.

        Parameters:
        name - the name to parse
        Returns:
        the type
        Throws:
        java.lang.IllegalArgumentException - if the name is not known
      • toString

        public java.lang.String toString()
        Returns the formatted name of the type.
        Overrides:
        toString in class java.lang.Enum<ArbitrageHandling>
        Returns:
        the formatted string representing the type