com.opengamma.strata.pricer.credit

Enum ArbitrageHandling

java.lang.Object

java.lang.Enum<ArbitrageHandling>

com.opengamma.strata.pricer.credit.ArbitrageHandling

All Implemented Interfaces:

Named, NamedEnum, Serializable, Comparable<ArbitrageHandling>

public enum ArbitrageHandling
extends Enum<ArbitrageHandling>
implements NamedEnum

The formula for accrual on default.

This specifies which formula is used in IsdaCdsProductPricer for computing the accrued payment on default. The formula is 'original ISDA', 'Markit fix' or 'correct'.

Enum Constant Summary

Enum Constants

Enum Constant and Description
FAIL Fail.
IGNORE Ignore.
ZERO_HAZARD_RATE Zero hazard rate.

Method Summary

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

Methods inherited from interface com.opengamma.strata.collect.named.Named

of

Enum Constant Detail

IGNORE

public static final ArbitrageHandling IGNORE

Ignore.

If the market data has arbitrage, the curve will still build. The survival probability will not be monotonically decreasing (equivalently, some forward hazard rates will be negative).

FAIL

public static final ArbitrageHandling FAIL

Fail.

An exception is thrown if an arbitrage is found.

ZERO_HAZARD_RATE

public static final ArbitrageHandling ZERO_HAZARD_RATE

Zero hazard rate.

If a particular spread implies a negative forward hazard rate, the hazard rate is set to zero, and the calibration continues. The resultant curve will not exactly reprice the input CDSs, but will find new spreads that just avoid arbitrage.

Method Detail

values

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

Returns:

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

valueOf

public static ArbitrageHandling 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 ArbitrageHandling 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<ArbitrageHandling>

Returns:

the formatted string representing the type