com.opengamma.strata.product.bond.CapitalIndexedBondYieldConvention Maven / Gradle / Ivy
/*
* Copyright (C) 2016 - present by OpenGamma Inc. and the OpenGamma group of companies
*
* Please see distribution for license.
*/
package com.opengamma.strata.product.bond;
import org.joda.convert.FromString;
import org.joda.convert.ToString;
import com.opengamma.strata.collect.named.EnumNames;
import com.opengamma.strata.collect.named.NamedEnum;
/**
* A convention defining accrued interest calculation type for inflation bond securities.
*
* Yield of a bond security is a conventional number representing the internal rate of
* return of standardized cash flows.
* When calculating accrued interest, it is necessary to use a formula specific to each
* yield convention. Accordingly, the computation of price, convexity and duration from
* the yield should be based on this yield convention.
*
* "Inflation Instruments: Swap Zero-coupon, Year-on-year and Bonds."
*/
public enum CapitalIndexedBondYieldConvention implements NamedEnum {
/**
* The US real yield convention. Used for TIPS (see Federal Register Vol. 69, N0. 170, p 53623).
*/
US_IL_REAL("US-I/L-Real"),
/**
* The UK real yield convention. Used for inflation linked GILTS.
*/
GB_IL_FLOAT("GB-I/L-Float"),
/**
* The UK real yield convention. Used for UK inflation linked corporate bond.
*/
GB_IL_BOND("GB-I/L-Bond"),
/**
* The Japan simple real yield convention for inflation index bond.
*/
JP_IL_SIMPLE("JP-I/L-Simple"),
/**
* The Japan compound real yield convention for inflation index bond.
*/
JP_IL_COMPOUND("JP-I/L-Compound");
// helper for name conversions
private static final EnumNames NAMES =
EnumNames.ofManualToString(CapitalIndexedBondYieldConvention.class);
// name
private final String name;
// create
private CapitalIndexedBondYieldConvention(String name) {
this.name = name;
}
//-------------------------------------------------------------------------
/**
* Obtains an instance from the specified name.
*
* Parsing handles the mixed case form produced by {@link #toString()} and
* the upper and lower case variants of the enum constant name.
*
* @param name the name to parse
* @return the type
* @throws IllegalArgumentException if the name is not known
*/
@FromString
public static CapitalIndexedBondYieldConvention of(String name) {
return NAMES.parse(name);
}
//-------------------------------------------------------------------------
/**
* Returns the formatted name of the type.
*
* @return the formatted string representing the type
*/
@ToString
@Override
public String toString() {
return name;
}
}