CDS consistent fee modeling

[jacbop]

Currently CDS in Strata works as follows....

You specify notional (always positive) and a Buy/Sell flag for whether we are buying or selling protection.

If we are buying protection:

• we pay the coupon (always positive)
• a positive upfront fee means we are paying that amount
• a negative upfront fee means we will receive that amount

If we are selling protection:

• we receive the coupon (also always positive)
• a positive upfront fee means we are receiving that amount (like the coupon)
• a negative upfront fee means we will pay that amount

So a positive upfront fee is "matches the direction of coupon flows" and negative is "opposite direction from coupon"

From James:

One thing in favor of that is that your upfront is part of your feeLeg, at the same level as periodicPayments.

However... For general fees, which will presumably sit at the trade level, rather than at a leg level, there will be no direction with which to associate them. I guess that means general fees either need to be given direction by being given more data, or by being signed.

At this point, I assume it's less effort if we avoid adding more data, so that will mean working from sign, from Our perspective, with positive meaning we receive and negative meaning we pay.

For consistency (which is probably the most important thing) I think we should change the CDS to follow this convention...