gtozc.h File Reference

#include "bastypes.h"
#include "cheaders.h"
#include "ldate.h"
#include "tcurve.h"


TCurveJpmcdsZCCash (TCurve *zeroCurve, TDate *dates, double *rates, int numRates, long dayCountConv)
 Adds cash points to a given zero curve.
TCurveJpmcdsZCSwaps (TCurve *zeroCurve, TCurve *discZC, TDate *dates, double *rates, int numSwaps, int fixedSwapFreq, int floatSwapFreq, long fixDayCountConv, long floatDayCountConv, char fwdLength, TBadDayAndStubPos badDayAndStubPos, char *holidayFile)
 Adds swap points to a given zero curve.

Detailed Description

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This documentation is derived from ISDA CDS Standard Model version 1.7. You can get a copy of the original ISDA code at 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.
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