cxzerocurve.h File Reference

#include "tcurve.h"

Functions

EXPORT double JpmcdsZeroPrice (TCurve *zeroCurve, TDate date)
 Calculates the zero price for a given date.
double JpmcdsForwardZeroPrice (TCurve *zeroCurve, TDate startDate, TDate maturityDate)
 Calculates the zero price for a given start date and maturity date.
double JpmcdsZeroRate (TCurve *zeroCurve, TDate date)
 Calculates the zero rate for a given date using ACT/365F and continously compounded rates.
int JpmcdsConvertCompoundRate (double inRate, double inBasis, long inDayCountConv, double outBasis, long outDayCountConv, double *outRate)
 Converts a compound rate from one frequency to another.

Detailed Description

Function Documentation

int JpmcdsConvertCompoundRate ( double  inRate,
double  inBasis,
long  inDayCountConv,
double  outBasis,
long  outDayCountConv,
double *  outRate 
)

Converts a compound rate from one frequency to another.

Can also convert between ACT-style day count conventions.

double JpmcdsForwardZeroPrice ( TCurve *  zeroCurve,
TDate  startDate,
TDate  maturityDate 
)

Calculates the zero price for a given start date and maturity date.

Returns NaN for errors.

EXPORT double JpmcdsZeroPrice ( TCurve *  zeroCurve,
TDate  date 
)

Calculates the zero price for a given date.

Returns NaN for errors.

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