cashflow.h File Reference

#include "bastypes.h"
#include "stub.h"
#include "busday.h"
#include "ldate.h"

Defines
#define	JPMCDS_ADD_FINAL   1
#define	JPMCDS_SUBTRACT_INITIAL   2
#define	JPMCDS_PRESTART_ZERO_PAYMENT   4
#define	JPMCDS_POST_MATURITY_ZERO_PAYMENT   8
#define	JPMCDS_KEEP_START_DATE   16
Functions
TCashFlowList *	JpmcdsNewEmptyCFL (int numItems)
	Makes a new empty TCashFlowList.
TCashFlowList *	JpmcdsNewCFLFromDL3 (TDateList *dates, TDate startDate, TDate maturityDate, double rate, long couponDayCountConv, TBoolean longStub, long accrualBadDayConv, long payBadDayConv, char *accrualHolidayFile, char *payHolidayFile, TBoolean usePreStartDate)
	Makes a cashflow list from a DateList.
TCashFlowList *	JpmcdsNewCFL (TDate *dates, double *amounts, int numItems)
	Makes a new TCashFlowList.
TCashFlowList *	JpmcdsMakeCFL (double couponRate, TDate startDate, TDateInterval *interval, TDate maturityDate, long dayCountConv, long stubPlacement, long flags, long accBadDayConv, long payBadDayConv, char *holidayFile)
	Makes a new cash flow list.
TCashFlowList *	JpmcdsMergeCFL (TCashFlowList *a, TCashFlowList *b)
	Merges two cash flow lists.
void	JpmcdsFreeCFL (TCashFlowList *)
	Free cash flow list.

---

Detailed Description

---

Define Documentation

#define JPMCDS_ADD_FINAL   1

Add 1. on maturityDate

#define JPMCDS_KEEP_START_DATE   16

Keep start date, even if JPMCDS_SUBTRACT_INITIAL not set

#define JPMCDS_POST_MATURITY_ZERO_PAYMENT   8

Add final zero payment Used for libor-in arrears

#define JPMCDS_PRESTART_ZERO_PAYMENT   4

If stub, leave prestart zero payment.

#define JPMCDS_SUBTRACT_INITIAL   2

Subtract 1. at startDate

---

Function Documentation

TCashFlowList* JpmcdsMakeCFL	(	double	couponRate,
		TDate	startDate,
		TDateInterval *	interval,
		TDate	maturityDate,
		long	dayCountConv,
		long	stubPlacement,
		long	flags,
		long	accBadDayConv,
		long	payBadDayConv,
		char *	holidayFile
	)

Makes a new cash flow list.

Depending on the value of flags, an initial paymemt of value 1 is subtracted and/or a final payment of 1 is added. If JPMCDS_PRESTART_ZERO_PAYMENT is set, and there is a front stub, the first date will be the payment date that would have occured before the start date. In this case, JPMCDS_SUBTRACT_INITIAL cannot be set.

Parameters:

	couponRate	(I) Annual coupon Rate
	startDate	(I) Date instrument begins at
	interval	(I) Time between payments
	maturityDate	(I) Date instrument matures at
	dayCountConv	(I) See JpmcdsDayCountFraction
	stubPlacement	(I) [Front / Back] + [Short (default) / Long]
	flags	(I) JPMCDS_ADD_FINAL/JPMCDS_SUBTRACT_INITIAL
	accBadDayConv	(I) Accrual conv (See JpmcdsBusinessDay)
	payBadDayConv	(I) Payment conv (See JpmcdsBusinessDay)
	holidayFile	(I) See JpmcdsBusinessDay

TCashFlowList* JpmcdsMergeCFL	(	TCashFlowList *	a,
		TCashFlowList *	b
	)

Merges two cash flow lists.

The input cash flow lists cannot be NULL.

Parameters:

	a	(I) first cash flow list
	b	(I) second cash flow list

TCashFlowList* JpmcdsNewCFL	(	TDate *	dates,
		double *	amounts,
		int	numItems
	)

Makes a new TCashFlowList.

Parameters:

	dates	(I) Dates
	amounts	(I) Amounts
	numItems	(I) Length of both arrays

TCashFlowList* JpmcdsNewCFLFromDL3	(	TDateList *	dates,
		TDate	startDate,
		TDate	maturityDate,
		double	rate,
		long	couponDayCountConv,
		TBoolean	longStub,
		long	accrualBadDayConv,
		long	payBadDayConv,
		char *	accrualHolidayFile,
		char *	payHolidayFile,
		TBoolean	usePreStartDate
	)

Makes a cashflow list from a DateList.

Cashflows (for non stub payments) are equal to the rate times the fraction of the year between each date and the previous date. The year fraction is calculated by the year fraction function passed in. For stub payments, Actual/Actual is used.

If there is a stub at the BEGINNING, then the first element of the dateList is assumed to PRECEED startDate.

If there is a stub at the END, then the last element of the dateList is assumed to COME AFTER maturityDate.

Parameters:

	dates	(I) Dates
	startDate	(I) startDate
	maturityDate	(I) MaturityDate
	rate	(I) Multiplied by yearFrac
	couponDayCountConv	(I) Coupon calc
	longStub	(I) Long stub
	accrualBadDayConv	(I) Accrual bad day convention
	payBadDayConv	(I) Pay bad day convention
	accrualHolidayFile	(I) Accrual Holiday file.
	payHolidayFile	(I) Payment Holiday file.
	usePreStartDate	(I) Use prestart date if stub