interp.h File Reference

#include "bastypes.h"

Defines

#define JPMCDS_LINEAR_INTERP   0L
#define JPMCDS_LINEAR_FORWARDS   123L
#define JPMCDS_FLAT_FORWARDS   124L

Typedefs

typedef TCurve *( TCurveInterpFunc )(TDateList *desiredDates, TCurve *oldCurve, void *interpData)
 Type of interpolating functions.

Functions

int JpmcdsInterpRate (TDate desiredDate, TCurve *curve, long interpType, double *rate)
 Interpolates a TCurve at a TDate using the specified interp method.
int JpmcdsInterpRateExact (double desiredDate, TCurve *curve, long interpType, double *rate)
 Performs interpolation at "exact" or potentially fractional dates.

Variables

TCurveInterpFunc JpmcdsLinInterpCurve
 Interpolates a TCurve at a set of dates using linear interp, and produces a new TCurve.

Detailed Description

Define Documentation

#define JPMCDS_FLAT_FORWARDS   124L

Flat forward interpolation

#define JPMCDS_LINEAR_FORWARDS   123L

Linear forward interpolation

Variable Documentation

TCurveInterpFunc JpmcdsLinInterpCurve

Interpolates a TCurve at a set of dates using linear interp, and produces a new TCurve.

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