com.opengamma.strata.product.swap.CompoundingMethod Maven / Gradle / Ivy

Go to download
/*
 * Copyright (C) 2014 - present by OpenGamma Inc. and the OpenGamma group of companies
 *
 * Please see distribution for license.
 */
package com.opengamma.strata.product.swap;

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 how to compound interest.
 * 
 * When calculating interest, it may be necessary to apply compounding.
 * Compound interest occurs where the basic interest is collected over one period but paid over a longer period.
 * For example, interest may be collected every three months but only paid every year.
 * 

 * For more information see this ISDA note.
 */
public enum CompoundingMethod implements NamedEnum {

  /**
   * No compounding applies.
   * 

   * This is typically used when the payment periods align with the accrual periods
   * thus no compounding is necessary. It may also be used when there are multiple
   * accrual periods, but they are summed rather than compounded.
   */
  NONE,
  /**
   * Straight compounding applies, which is inclusive of the spread.
   * 

   * Compounding is based on the total of the observed rate and the spread.
   * 

   * Defined as "Compounding" in the ISDA 2006 definitions.
   */
  STRAIGHT,
  /**
   * Flat compounding applies.
   * 

   * For interest on the notional, known as the Basic Compounding Period Amount,
   * compounding is based on the total of the observed rate and the spread.
   * For interest on previously accrued interest, known as the Additional Compounding Period Amount,
   * compounding is based only on the observed rate, excluding the spread.
   * 

   * Defined as "Flat Compounding" in the ISDA 2006 definitions.
   */
  FLAT,
  /**
   * Spread exclusive compounding applies.
   * 

   * Compounding is based only on the observed rate, with the spread treated as simple interest.
   * 

   * Defined as "Compounding treating Spread as simple interest" in the ISDA definitions.
   */
  SPREAD_EXCLUSIVE;

  // helper for name conversions
  private static final EnumNames NAMES = EnumNames.of(CompoundingMethod.class);

  //-------------------------------------------------------------------------
  /**
   * 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 CompoundingMethod 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 NAMES.format(this);
  }

}