/**
* Copyright (C) 2013 - present by OpenGamma Inc. and the OpenGamma group of companies
*
* Please see distribution for license.
*/
package com.opengamma.strata.pricer.impl.credit.isda;
/**
* Par spread is the old (i.e. pre-April 2009) way of quoting CDSs.
* A CDS would be constructed to have an initial fair value of zero; the par-spread is the value
* of the coupon (premium) on the premium leg that makes this so.
* <p>
* A zero hazard curve (or equivalent, e.g. the survival probability curve) can be implied from
* a set of par spread quotes (on the same name at different maturities) by finding the curve that
* gives all the CDSs a PV of zero (the curve is not unique and will depend on other modeling choices).
*/
public class CdsParSpread implements CdsQuoteConvention {
private final double parSpread;
public CdsParSpread(double parSpread) {
this.parSpread = parSpread;
}
@Override
public double getCoupon() {
return parSpread;
}
}