/**
* 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;
}
}