Enum OvernightAccrualMethod

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

    public enum OvernightAccrualMethod
    extends java.lang.Enum<OvernightAccrualMethod>
    implements NamedEnum
    The method of accruing interest based on an Overnight index.

    Two methods of accrual are supported - compounded and averaged. Averaging is primarily related to the 'USD-FED-FUND' index.

    • Method Summary

      All Methods Static Methods Instance Methods Concrete Methods 
      Modifier and Type Method Description
      static OvernightAccrualMethod of​(java.lang.String name)
      Obtains an instance from the specified name.
      java.lang.String toString()
      Returns the formatted name of the type.
      static OvernightAccrualMethod valueOf​(java.lang.String name)
      Returns the enum constant of this type with the specified name.
      static OvernightAccrualMethod[] 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

      • COMPOUNDED

        public static final OvernightAccrualMethod COMPOUNDED
        The compounded method.

        Interest is accrued by simple compounding of each rate published during the accrual period.

        Defined by the 2006 ISDA definitions article 6.2a(3C).

        This is the most common formula for OIS swaps.

      • OVERNIGHT_COMPOUNDED_ANNUAL_RATE

        public static final OvernightAccrualMethod OVERNIGHT_COMPOUNDED_ANNUAL_RATE
        Defines overnight compounding using an an annual rate.

        Interest is accrued by overnight compounding of each rate during the accrual period using an annual rate.

        This is the most common type for Brazilian style swaps.

      • AVERAGED

        public static final OvernightAccrualMethod AVERAGED
        The averaged method.

        Interest is accrued by taking the average of all the rates published on the index during the accrual period.

        This is intended for Fed Fund OIS swaps.

      • AVERAGED_DAILY

        public static final OvernightAccrualMethod AVERAGED_DAILY
        The averaged daily method.

        Interest is accrued by taking the average of all the daily rates during the observation period.

        This is intended for Fed Fund futures, not swaps.

    • Method Detail

      • values

        public static OvernightAccrualMethod[] 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 (OvernightAccrualMethod c : OvernightAccrualMethod.values())
            System.out.println(c);
        
        Returns:
        an array containing the constants of this enum type, in the order they are declared
      • valueOf

        public static OvernightAccrualMethod 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 OvernightAccrualMethod 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<OvernightAccrualMethod>
        Returns:
        the formatted string representing the type