/** * 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; /** * 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. * <p> * 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(double coupon, double puf) { _coupon = coupon; _puf = puf; } @Override public double getCoupon() { return _coupon; } public double getPointsUpFront() { return _puf; } }