cfinanci.h File Reference

#include "cgeneral.h"
#include "cdate.h"

Defines
#define	JPMCDS_CONTINUOUS_BASIS   5000
	Means continuous compounding.
#define	JPMCDS_DISCOUNT_RATE   512
	Discount RATE (not factor) K's b-Day.
#define	JPMCDS_SIMPLE_BASIS   0
	Means simple interest.
#define	JPMCDS_ANNUAL_BASIS   1
	Annual compounding.
#define	JPMCDS_DISCOUNT_FACTOR   -2
	Rate is stored as a discount factor.
Functions
int	JpmcdsRateToDiscount (double rate, TDate startDate, TDate endDate, long rateDayCountConv, long rateType, double *discount)
	Convert from a given rate to a discount factor.
int	JpmcdsDiscountToRate (double discount, TDate startDate, TDate endDate, long rateDayCountConv, long rateType, double *rate)
	Convert from a given discount factor to a rate.
int	JpmcdsDiscountToRateYearFrac (double discount, double yearFraction, double basis, double *rate)
	Convert from a discount factor to a rate using a year fraction.
int	JpmcdsRateToDiscountYearFrac (double rate, double yearFraction, double basis, double *discount)
	Convert from a rate to a discount factor using a year fraction.
int	JpmcdsRateValid (char *routine, double rate, TDate startDate, TDate endDate, long rateDayCountConv, double rateBasis)
	Checks whether a rate is valid between two dates.
int	JpmcdsRateValidYearFrac (char *routine, double rate, double yearFraction, double basis)
	Checks whether a rate is valid between two dates.

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Detailed Description

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Function Documentation

int JpmcdsDiscountToRate	(	double	discount,
		TDate	startDate,
		TDate	endDate,
		long	rateDayCountConv,
		long	rateType,
		double *	rate
	)

Convert from a given discount factor to a rate.

Parameters:

	discount	(I) Discount factor
	startDate	(I) Start date
	endDate	(I) End date
	rateDayCountConv	(I) See JpmcdsDayCountFraction
	rateType	(I) Type of rate
	rate	(O) Output rate

int JpmcdsDiscountToRateYearFrac	(	double	discount,
		double	yearFraction,
		double	basis,
		double *	rate
	)

Convert from a discount factor to a rate using a year fraction.

Calculate an interest rate from a discount factor, given the daycount and basis.

Parameters:

	discount	(I) Discount factor
	yearFraction	(I) See JpmcdsDayCountFraction
	basis	(I) Basis for the rate
	rate	(O) Output rate

int JpmcdsRateToDiscount	(	double	rate,
		TDate	startDate,
		TDate	endDate,
		long	rateDayCountConv,
		long	rateType,
		double *	discount
	)

Convert from a given rate to a discount factor.

Parameters:

	rate	(I) Rate
	startDate	(I) Start date
	endDate	(I) End date
	rateDayCountConv	(I) See JpmcdsDayCountFraction
	rateType	(I) Type of rate
	discount	(O) Output discount factor

int JpmcdsRateToDiscountYearFrac	(	double	rate,
		double	yearFraction,
		double	basis,
		double *	discount
	)

Convert from a rate to a discount factor using a year fraction.

Calculate discount factor from an interest rate, given the daycount and basis.

Parameters:

	rate	(I) Rate
	yearFraction	(I) See JpmcdsDayCountFraction
	basis	(I) Basis for the rate
	discount	(O) Output discount rate

int JpmcdsRateValid	(	char *	routine,
		double	rate,
		TDate	startDate,
		TDate	endDate,
		long	rateDayCountConv,
		double	rateBasis
	)

Checks whether a rate is valid between two dates.

Parameters:

	routine	(I) Routine name to print
	rate	(I) Rate to validate
	startDate	(I) Starting date
	endDate	(I) Ending date
	rateDayCountConv	(I) Day count convention
	rateBasis	(I) Compounding basis

int JpmcdsRateValidYearFrac	(	char *	routine,
		double	rate,
		double	yearFraction,
		double	basis
	)

Checks whether a rate is valid between two dates.

Parameters:

	routine	(I) Routine name to print
	rate	(I) Rate to validate
	yearFraction	(I) Fraction of year
	basis	(I) Compounding basis