cx.h File Reference

#include "bastypes.h"

Data Structures

struct  TContingentLeg
 Contingent leg (a.k.a. protection leg). More...
struct  TFeeLeg
 Fee leg with fixed payments. More...

Enumerations

enum  TProtPayConv { PROT_PAY_DEF, PROT_PAY_MAT }
 Protection payment convention for CDS in case of default. More...
enum  TAccrualPayConv { ACCRUAL_PAY_NONE, ACCRUAL_PAY_ALL }
 Accrual payment convention for CDS in case of default. More...

Functions

TFeeLeg * JpmcdsFeeLegMakeEmpty (int nbDates)
 Memory allocator for TFeeLeg.
TContingentLeg * JpmcdsContingentLegMake (TDate startDate, TDate endDate, double notional, TProtPayConv payType, TBoolean protectStart)
 Constructor for TContingentLeg.
void JpmcdsFeeLegFree (TFeeLeg *p)
 Destructor for TFeeLeg.

Detailed Description

Enumeration Type Documentation

enum TAccrualPayConv

Accrual payment convention for CDS in case of default.

Enumerator:
ACCRUAL_PAY_NONE  No accrual in case of default.
ACCRUAL_PAY_ALL  Interest since the last accrual date is due in case of default.

enum TProtPayConv

Protection payment convention for CDS in case of default.

Enumerator:
PROT_PAY_DEF  Protection payment is due at default.
PROT_PAY_MAT  Protection payment is only due at the maturity of the protection leg.

Function Documentation

TFeeLeg* JpmcdsFeeLegMakeEmpty ( int  nbDates  ) 

Memory allocator for TFeeLeg.

Parameters:
nbDates Defines array size for accStartDates, accEndDates, payDates.

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