求助level2 notes book5 Credit Default Swaps里面upfront payment的公式？ protection, difference, contract, payments, default

nononon

The payments made by the protection buyer to the seller are the premium leg. On the other side of the contract, the protection seller must make a payment to the protection buyer in case of a default; these contingent payments make up the protection leg.
The difference between the present value of the premium leg and the present value of the protection leg determines the upfront payment.

upfront payment (by protection buyer) = PV(protection leg) — PV(premium leg)

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求助第一段说premium leg是buyer to seller
protection leg是seller to buyer
为何upfront payment的公式里反过来了？

adjani.zhang

CDS rates are standardized，e.g, 5% rate is used for high risk yield company, 1% rate for investment-grade company.

但是每个high risk yield公司的credit risk 仍然有差异，所以对于credit risk 偏高的公司，seller可以要求buyer预付一些钱作为补贴

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