Package com.opengamma.strata.product.swap

Enum OvernightAccrualMethod

java.lang.Object

java.lang.Enum<OvernightAccrualMethod>

com.opengamma.strata.product.swap.OvernightAccrualMethod

All Implemented Interfaces:

Named, NamedEnum, Serializable, Comparable<OvernightAccrualMethod>

public enum OvernightAccrualMethod
extends Enum<OvernightAccrualMethod>
implements NamedEnum

The method of accruing interest based on an Overnight index.

Four methods of accrual are supported, see the Javadoc for when each is applicable.

Enum Constant Summary

Enum Constants

Enum Constant	Description
AVERAGED	The averaged method.
AVERAGED_DAILY	The averaged daily method.
COMPOUNDED	The compounded method.
OVERNIGHT_COMPOUNDED_ANNUAL_RATE	Defines overnight compounding using an annual rate.

Method Summary

Modifier and Type	Method	Description
static OvernightAccrualMethod	of(String name)	Obtains an instance from the specified name.
String	toString()	Returns the formatted name of the type.
static OvernightAccrualMethod	valueOf(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 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(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 OvernightAccrualMethod 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

toString

public String toString()

Returns the formatted name of the type.

Overrides:

toString in class Enum<OvernightAccrualMethod>

Returns:

the formatted string representing the type