com.opengamma.strata.finance.rate.swap.CompoundingMethod.java Source code

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Here is the source code for com.opengamma.strata.finance.rate.swap.CompoundingMethod.java

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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.finance.rate.swap;

import org.joda.convert.FromString;
import org.joda.convert.ToString;

import com.google.common.base.CaseFormat;
import com.opengamma.strata.collect.ArgChecker;

/**
 * A convention defining how to compound interest.
 * <p>
 * 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. 
 * <p>
 * For more information see this <a href="http://www.isda.org/c_and_a/pdf/ISDA-Compounding-memo.pdf">ISDA note</a>.
 */
public enum CompoundingMethod {

    /**
     * No compounding applies.
     * <p>
     * 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.
     * <p>
     * Compounding is based on the total of the observed rate and the spread.
     * <p>
     * Defined as "Compounding" in the ISDA 2006 definitions.
     */
    STRAIGHT,
    /**
     * Flat compounding applies.
     * <p>
     * For interest on the notional, known as the <i>Basic Compounding Period Amount</i>,
     * compounding is based on the total of the observed rate and the spread.
     * For interest on previously accrued interest, known as the <i>Additional Compounding Period Amount</i>,
     * compounding is based only on the observed rate, excluding the spread.
     * <p>
     * Defined as "Flat Compounding" in the ISDA 2006 definitions.
     */
    FLAT,
    /**
     * Spread exclusive compounding applies.
     * <p>
     * Compounding is based only on the observed rate, with the spread treated as simple interest.
     * <p>
     * Defined as "Compounding treating Spread as simple interest" in the ISDA definitions.
     */
    SPREAD_EXCLUSIVE;

    //-------------------------------------------------------------------------
    /**
     * Obtains the type from a unique name.
     * 
     * @param uniqueName  the unique name
     * @return the type
     * @throws IllegalArgumentException if the name is not known
     */
    @FromString
    public static CompoundingMethod of(String uniqueName) {
        ArgChecker.notNull(uniqueName, "uniqueName");
        return valueOf(CaseFormat.UPPER_CAMEL.to(CaseFormat.UPPER_UNDERSCORE, uniqueName));
    }

    /**
     * Returns the formatted unique name of the type.
     * 
     * @return the formatted string representing the type
     */
    @ToString
    @Override
    public String toString() {
        return CaseFormat.UPPER_UNDERSCORE.to(CaseFormat.UPPER_CAMEL, name());
    }

}