/**
* Copyright (C) 2013 - present by OpenGamma Inc. and the OpenGamma group of companies
*
* Please see distribution for license.
*/
package com.opengamma.analytics.financial.credit.isdastandardmodel;
/**
* Quoted spread (sometimes misleadingly called flat spread) is an alternative to quoting PUF where people wish to see a
* spread like number. It is numerical close in value to the equivalent par spread but is <b>absolutely not the same thing</b>.
* To find the quoted spread of a CDS from its PUF (and premium) one first finds the unique flat hazard rate that will give
* the CDS a clean present value equal to its PUF*Notional; one then finds the par spread (the coupon that makes the CDS have
* zero clean PV) of the CDS from this <b>flat hazard</b> curve - this is the quoted spread (and the reason for the confusing
* name, flat spread).<br>
* To go from a quoted spread to PUF, one does the reverse of the above.<br>
* A zero hazard curve (or equivalent, e.g. the survival probability curve) cannot be directly implied from a set of quoted
* spreads - one must first convert to PUF.
*/
public class QuotedSpread implements CDSQuoteConvention {
private final double _coupon;
private final double _quotedSpread;
public QuotedSpread(final double coupon, final double quotedSpread) {
_coupon = coupon;
_quotedSpread = quotedSpread;
}
@Override
public double getCoupon() {
return _coupon;
}
public double getQuotedSpread() {
return _quotedSpread;
}
}