/** * 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; /** * 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>. * <p> * 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). * <p> * To go from a quoted spread to PUF, one does the reverse of the above. <p> * 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 CdsQuotedSpread implements CdsQuoteConvention { private final double coupon; private final double quotedSpread; public CdsQuotedSpread(double coupon, double quotedSpread) { this.coupon = coupon; this.quotedSpread = quotedSpread; } @Override public double getCoupon() { return coupon; } public double getQuotedSpread() { return quotedSpread; } }