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...


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


TFeeLegJpmcdsFeeLegMakeEmpty (int nbDates)
 Memory allocator for TFeeLeg.
TContingentLegJpmcdsContingentLegMake (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

Accrual payment convention for CDS in case of default.

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

Protection payment convention for CDS in case of default.

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.

nbDates Defines array size for accStartDates, accEndDates, payDates.

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