com.opengamma.strata.product.swap.CompoundingMethod Maven / Gradle / Ivy
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/*
* 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);
}
}