Package cdm.product.asset.floatingrate

Enum FloatingRateIndexProcessingTypeEnum

java.lang.Object

java.lang.Enum<FloatingRateIndexProcessingTypeEnum>

cdm.product.asset.floatingrate.FloatingRateIndexProcessingTypeEnum

All Implemented Interfaces:

Serializable, Comparable<FloatingRateIndexProcessingTypeEnum>

@RosettaEnum("FloatingRateIndexProcessingTypeEnum")
public enum FloatingRateIndexProcessingTypeEnum
extends Enum<FloatingRateIndexProcessingTypeEnum>

This enumeration provides guidance on how to process a given floating rate index. It's based on the ISDA Floating Rate Index information, but transforms it into the specific categories needed for calculation

Version:

5.30.0

Enum Constant Summary

Enum Constants

Enum Constant	Description
COMPOUND_INDEX	A published index calculated using compounding; the implied rate must be backed out.
MODULAR	These are calculated by the calculation agent based on deal-specific parameters (e.g. lookback compound based on an RFR).
OIS	These are calculated by the calculation agent based on a standard OIS FRO definition.
OVERNIGHT_AVG	These are calculated by the calculation agent based on a standard overnight averaging FRO definition.
REF_BANKS	These must be looked up using a manual process
SCREEN	These values are just looked up from the screen and applied.

Method Summary

Modifier and Type	Method	Description
static FloatingRateIndexProcessingTypeEnum	fromDisplayName(String name)
String	toDisplayString()
String	toString()
static FloatingRateIndexProcessingTypeEnum	valueOf(String name)	Returns the enum constant of this type with the specified name.
static FloatingRateIndexProcessingTypeEnum[]	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

Enum Constant Details

SCREEN

@RosettaEnumValue("Screen")
public static final FloatingRateIndexProcessingTypeEnum SCREEN

These values are just looked up from the screen and applied.

COMPOUND_INDEX

@RosettaEnumValue("CompoundIndex")
public static final FloatingRateIndexProcessingTypeEnum COMPOUND_INDEX

A published index calculated using compounding; the implied rate must be backed out.

OIS

@RosettaEnumValue("OIS")
public static final FloatingRateIndexProcessingTypeEnum OIS

These are calculated by the calculation agent based on a standard OIS FRO definition.

OVERNIGHT_AVG

@RosettaEnumValue("OvernightAvg")
public static final FloatingRateIndexProcessingTypeEnum OVERNIGHT_AVG

These are calculated by the calculation agent based on a standard overnight averaging FRO definition.

MODULAR

@RosettaEnumValue("Modular")
public static final FloatingRateIndexProcessingTypeEnum MODULAR

These are calculated by the calculation agent based on deal-specific parameters (e.g. lookback compound based on an RFR).

REF_BANKS

@RosettaEnumValue("RefBanks")
public static final FloatingRateIndexProcessingTypeEnum REF_BANKS

These must be looked up using a manual process

Method Details

values

public static FloatingRateIndexProcessingTypeEnum[] values()

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

Returns:

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

valueOf

public static FloatingRateIndexProcessingTypeEnum 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

fromDisplayName

public static FloatingRateIndexProcessingTypeEnum fromDisplayName(String name)

toString

public String toString()

Overrides:

toString in class Enum<FloatingRateIndexProcessingTypeEnum>

toDisplayString

public String toDisplayString()