com.opengamma.strata.pricer.credit.ArbitrageHandling.java Source code

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Here is the source code for com.opengamma.strata.pricer.credit.ArbitrageHandling.java

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/*
 * Copyright (C) 2016 - present by OpenGamma Inc. and the OpenGamma group of companies
 *
 * Please see distribution for license.
 */
package com.opengamma.strata.pricer.credit;

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

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

/**
 * The formula for accrual on default.
 * <p>
 * This specifies which formula is used in {@code IsdaCdsProductPricer} for computing the accrued payment on default. 
 * The formula is 'original ISDA', 'Markit fix' or 'correct'.
 */
public enum ArbitrageHandling {

    /**
     * Ignore.
     * <p>
     * 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). 
     */
    IGNORE,
    /**
     * Fail.
     * <p>
     * An exception is thrown if an arbitrage is found. 
     */
    FAIL,
    /**
     * Zero hazard rate.
     * <p>
     * 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.   
     */
    ZERO_HAZARD_RATE;

    //-------------------------------------------------------------------------
    /**
     * Obtains an instance from the specified unique name.
     * 
     * @param uniqueName  the unique name
     * @return the type
     * @throws IllegalArgumentException if the name is not known
     */
    @FromString
    public static ArbitrageHandling 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());
    }

}