In my opinion, it's not switch statements that are the smell, it's what's inside them. This switch statement is ok, to me, until it starts adding a couple of more cases. Then it may be worth creating a lookup table:
private static Dictionary DiscountTypeLookup =
new Dictionary(StringComparer.Ordinal)
{
{"A", DiscountType.Discountable},
{"B", DiscountType.Loss},
{"O", DiscountType.Other},
};
Depending on your point-of-view, this may be more or less readable.
Where things start getting smelly is if the contents of your case are more than a line or two.
