The Brazilian international joined from Atletico Madrid on loan this month and will make a £43million permanent move, making him the club's record transfer.
Cunha has looked bright when handed an opportunity but is still adjusting to life in England and the 23-year-old is delighted to be playing in the Premier League.
"I'm enjoying it a lot, it's very good," he said.
"The Premier League is much better than I thought! Every game is a big game and we have this feeling.
"In time, we need to take this feeling of what the coach wants and put it on to the pitch.
"The mentality also, we know the coach is very good. We also have very good players and we need to keep this mentality to win.
"The most important thing is winning every game to save this situation.
"The Premier League, for me, is like the NBA of football.
"We have very good clubs in a lot of leagues, like Atletico Madrid, Real Madrid, PSG and more, but each game here is different.
"Every player wants to play in the Premier League. Each team here has big players and a lot of competition inside the teams.
"I feel very good here. It's important to have this feeling and have big games every game."
Meanwhile, Julen Lopetegui is hopeful of having Pedro Neto back for selection soon.
The winger is ramping up his rehabilitation from a serious ankle injury and could be back in contention in the coming weeks.
Neto has been spotted in social media posts in training sessions and could make his return in February if all goes well and head coach Lopetegui is eager to have him involved with the group as soon as possible.
Lopetegui said: "We are waiting for him. The most important thing is when he comes back on the pitch.
"For now, he is working alone in the gym. When he starts working with us, I don’t know how much time he is going to need.
"He has been out for three or four months so we have to be patient with him. (We want him back) as soon as possible because he is a fantastic player."