Package com.opengamma.strata.pricer.credit

Enum AccrualOnDefaultFormula

java.lang.Object

java.lang.Enum<AccrualOnDefaultFormula>

com.opengamma.strata.pricer.credit.AccrualOnDefaultFormula

All Implemented Interfaces:

Named, NamedEnum, Serializable, Comparable<AccrualOnDefaultFormula>

public enum AccrualOnDefaultFormula
extends Enum<AccrualOnDefaultFormula>
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'.

Enum Constant Summary

Enum Constants

Enum Constant	Description
CORRECT	The mathematically correct formula.
MARKIT_FIX	The correction proposed by Markit (v 1.8.2).
ORIGINAL_ISDA	The formula in v1.8.1 and below.

Method Summary

Modifier and Type	Method	Description
double	getOmega()	Gets the omega value.
static AccrualOnDefaultFormula	of(String name)	Obtains an instance from the specified name.
String	toString()	Returns the formatted name of the type.
static AccrualOnDefaultFormula	valueOf(String name)	Returns the enum constant of this type with the specified name.
static AccrualOnDefaultFormula[]	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

ORIGINAL_ISDA

public static final AccrualOnDefaultFormula ORIGINAL_ISDA

The formula in v1.8.1 and below.

MARKIT_FIX

public static final AccrualOnDefaultFormula MARKIT_FIX

The correction proposed by Markit (v 1.8.2).

CORRECT

public static final AccrualOnDefaultFormula CORRECT

The mathematically correct formula.

Method Detail

values

public static AccrualOnDefaultFormula[] 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 (AccrualOnDefaultFormula c : AccrualOnDefaultFormula.values())
    System.out.println(c);

Returns:

an array containing the constants of this enum type, in the order they are declared

valueOf

public static AccrualOnDefaultFormula valueOf(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:

IllegalArgumentException - if this enum type has no constant with the specified name

NullPointerException - if the argument is null

of

public static AccrualOnDefaultFormula of(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:

IllegalArgumentException - if the name is not known

getOmega

public double getOmega()

Gets the omega value.

The omega value is used in IsdaCdsProductPricer.

Returns:

the omega value

toString

public String toString()

Returns the formatted name of the type.

Overrides:

toString in class Enum<AccrualOnDefaultFormula>

Returns:

the formatted string representing the type