/**
* 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;
}
}