/**
* 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;
/**
* Points up-front (PUF) is the current (as of April 2009) way of quoting CDSs. A CDS has a standardised coupon (premium) -
* which is either 100 or 500 bps in North America (depending on the credit quality of the reference entity). An up front fee
* is then payable by the buyer of protection (i.e. the payer of the premiums) - this fee can be negative (i.e. an amount is
* received by the protection buyer). PUF is quoted as a percentage of the notional. <br>
* A zero hazard curve (or equivalent, e.g. the survival probability curve) can be implied from a set of PUF quotes
* (on the same name at different maturities) by finding the curve that gives all the CDSs a clean present value equal to
* their PUF*Notional (the curve is not unique and will depend on other modeling choices).
*/
public class PointsUpFront implements CDSQuoteConvention {
private final double _coupon;
private final double _puf;
public PointsUpFront(final double coupon, final double puf) {
_coupon = coupon;
_puf = puf;
}
@Override
public double getCoupon() {
return _coupon;
}
public double getPointsUpFront() {
return _puf;
}
}