Enum ArbitrageHandling

    • Enum Constant Detail

      • IGNORE

        public static final ArbitrageHandling 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

        An exception is thrown if an arbitrage is found.


        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())
        an array containing the constants of this enum type, in the order they are declared
      • valueOf

        public static ArbitrageHandling 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.)
        name - the name of the enum constant to be returned.
        the enum constant with the specified name
        IllegalArgumentException - if this enum type has no constant with the specified name
        NullPointerException - if the argument is null
      • of

        public static ArbitrageHandling 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.

        name - the name to parse
        the type
        IllegalArgumentException - if the name is not known
      • toString

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