Package com.opengamma.strata.product.swaption

Enum CashSwaptionSettlementMethod

java.lang.Object

java.lang.Enum<CashSwaptionSettlementMethod>

com.opengamma.strata.product.swaption.CashSwaptionSettlementMethod

All Implemented Interfaces:

Named, NamedEnum, Serializable, Comparable<CashSwaptionSettlementMethod>

public enum CashSwaptionSettlementMethod
extends Enum<CashSwaptionSettlementMethod>
implements NamedEnum

Cash settlement method of cash settled swaptions.

Reference: "Swaption Pricing", OpenGamma Documentation 10, Version 1.2, April 2011.

Enum Constant Summary

Enum Constants

Enum Constant	Description
CASH_PRICE	The cash price method
COLLATERALIZED_CASH_PRICE	The Collateralized Cash Price
PAR_YIELD	The par yield curve method.
ZERO_COUPON_YIELD	The zero coupon yield method.

Method Summary

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

CASH_PRICE

public static final CashSwaptionSettlementMethod CASH_PRICE

The cash price method

If exercised, the value of the underlying swap is exchanged at the cash settlement date. Defined by the 2006 ISDA definitions 18.3a and 18.3b.

PAR_YIELD

public static final CashSwaptionSettlementMethod PAR_YIELD

The par yield curve method.

The settlement amount is computed with cash-settled annuity using the pre-agreed strike swap rate. Defined by the 2006 ISDA definitions 18.3c and 18.3e.

ZERO_COUPON_YIELD

public static final CashSwaptionSettlementMethod ZERO_COUPON_YIELD

The zero coupon yield method.

The settlement amount is computed with the discount factor based on the agreed zero coupon curve. Defined by the 2006 ISDA definitions 18.3d.

COLLATERALIZED_CASH_PRICE

public static final CashSwaptionSettlementMethod COLLATERALIZED_CASH_PRICE

The Collateralized Cash Price

The settlement amount is computed with the discount factor based where the parties are deemed to have a bilateral, zero-threshold ISDA CSA. Defined by the 2006 ISDA definitions 18.3g.

Method Detail

values

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

Returns:

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

valueOf

public static CashSwaptionSettlementMethod 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 CashSwaptionSettlementMethod 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<CashSwaptionSettlementMethod>

Returns:

the formatted string representing the type