feeleg.h File Reference

#include "cx.h"


Functions
int	JpmcdsFeeLegPV (TFeeLeg fl, TDate today, TDate stepinDate, TDate valueDate, TCurve discCurve, TCurve spreadCurve, TBoolean payAccruedAtStart, double pv)
	Calculates the PV of a fee leg with fixed fee payments.
int	JpmcdsAccrualOnDefaultPVWithTimeLine (TDate today, TDate stepinDate, TDate startDate, TDate endDate, double amount, TCurve discCurve, TCurve spreadCurve, TDateList tl, double pv)
	Calculates the PV of the accruals which occur on default with delay.
TCashFlowList *	JpmcdsFeeLegFlows (TFeeLeg *fl)
	Computes the non-contingent cash flows for a fee leg.

Detailed Description

Distributed by BN Algorithms Ltd -- consulting in quantitative finance, mathematical algorithms and software implementations. CDS Home Page. For enquires contact webs@bnikolic.co.uk.
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.
This documentation is provided "as-is", without warranty of any kind, either expressed or implied, including, without limitation, warranties that the documentation is free of defects, merchantable, fit for a particular purpose or non-infringing. the entire risk as to the quality of the documentation is with you. Should this documentation prove defective in any respect, you (not the licensor) assume the cost of any necessary correction. This disclaimer of warranty constitutes an essential part of this license.