cdsone.h File Reference

#include "cx.h"
#include "stub.h"

Functions

EXPORT int JpmcdsCdsoneUpfrontCharge (TDate today, TDate valueDate, TDate benchmarkStartDate, TDate stepinDate, TDate startDate, TDate endDate, double couponRate, TBoolean payAccruedOnDefault, TDateInterval *dateInterval, TStubMethod *stubType, long accrueDCC, long badDayConv, char *calendar, TCurve *discCurve, double oneSpread, double recoveryRate, TBoolean payAccruedAtStart, double *upfrontCharge)
 Computes the upfront charge for a flat spread par curve.
EXPORT int JpmcdsCdsoneSpread (TDate today, TDate valueDate, TDate benchmarkStartDate, TDate stepinDate, TDate startDate, TDate endDate, double couponRate, TBoolean payAccruedOnDefault, TDateInterval *dateInterval, TStubMethod *stubType, long accrueDCC, long badDayConv, char *calendar, TCurve *discCurve, double upfrontCharge, double recoveryRate, TBoolean payAccruedAtStart, double *oneSpread)
 Computes the flat spread required to match the upfront charge.

Detailed Description

Function Documentation

EXPORT int JpmcdsCdsoneSpread ( TDate  today,
TDate  valueDate,
TDate  benchmarkStartDate,
TDate  stepinDate,
TDate  startDate,
TDate  endDate,
double  couponRate,
TBoolean  payAccruedOnDefault,
TDateInterval *  dateInterval,
TStubMethod *  stubType,
long  accrueDCC,
long  badDayConv,
char *  calendar,
TCurve *  discCurve,
double  upfrontCharge,
double  recoveryRate,
TBoolean  payAccruedAtStart,
double *  oneSpread 
)

Computes the flat spread required to match the upfront charge.

Parameters:
benchmarkStartDate start date of benchmark CDS for internal clean spread bootstrapping
startDate CDS start date, can be in the past

EXPORT int JpmcdsCdsoneUpfrontCharge ( TDate  today,
TDate  valueDate,
TDate  benchmarkStartDate,
TDate  stepinDate,
TDate  startDate,
TDate  endDate,
double  couponRate,
TBoolean  payAccruedOnDefault,
TDateInterval *  dateInterval,
TStubMethod *  stubType,
long  accrueDCC,
long  badDayConv,
char *  calendar,
TCurve *  discCurve,
double  oneSpread,
double  recoveryRate,
TBoolean  payAccruedAtStart,
double *  upfrontCharge 
)

Computes the upfront charge for a flat spread par curve.

Parameters:
benchmarkStartDate start date of benchmark CDS for internal clean spread bootstrapping
startDate CDS start date, can be in the past

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This documentation is derived from ISDA CDS Standard Model version 1.7. You can get a copy of the original ISDA code at www.bnikolic.co.uk. This is a derivative work under the terms of the ISDA CDS Standard Model Public License. BN Algorithms Ltd licenses this work to you solely for on-screen viewing on your own computer. Making copies and further distribution of this work is prohibited.
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