ldate.h File Reference

#include "cdate.h"
#include "dateconv.h"
#include "busday.h"
#include "dateadj.h"

Defines
#define	JPMCDS_BAD_DCC   -2L
#define	JPMCDS_ACT_365   1L
#define	JPMCDS_ACT_365F   2L
#define	JPMCDS_ACT_360   3L
#define	JPMCDS_B30_360   4L
#define	JPMCDS_B30E_360   5L
#define	JPMCDS_ACT_ACT   JPMCDS_ACT_365
#define	JPMCDS_EFFECTIVE_RATE   8L
#define	JPMCDS_DCC_LAST   JPMCDS_EFFECTIVE_RATE
Functions
int	JpmcdsDtFwdAny (TDate startDate, TDateInterval *interval, TDate *sumDate)
	Moves forward by the specified interval.
int	JpmcdsDayCountFraction (TDate beginDate, TDate endDate, long method, double *yearFrac)
	Calculates Day Count Fractions.
int	JpmcdsDaysDiff (TDate beginDate, TDate endDate, long method, long *numDays)
	Calculates difference between two dates.
int	JpmcdsIsLeap (TDate date, long *isLeap)
	Test if date falls in a leap year.
int	JpmcdsYear (TDate, int *)
	Given a date in TDate, retrieve year as a four digit year.
int	JpmcdsDaysLeftThisYear (TDate, int, long *)
	Calculates the number of days left in a year.
int	JpmcdsYearStart (TDate, TDate *)
	Given a date in TDate, retrieve beginning of the year in TDate format.
int	JpmcdsDateFwdThenAdjust (TDate date, TDateInterval *interval, long badDayMethod, char *holidayFile, TDate *advAdjustedDate)
	Moves forward by the specified TDateInterval, and then adjust to find a good day.

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Detailed Description

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Define Documentation

#define JPMCDS_ACT_360   3L

Actual/360

#define JPMCDS_ACT_365   1L

Actual/365

#define JPMCDS_ACT_365F   2L

Actual/365 Fixed

#define JPMCDS_B30_360   4L

30/360

#define JPMCDS_B30E_360   5L

30E/360

#define JPMCDS_BAD_DCC   -2L

Dummmy Day Count Conv for Brazilian bods

#define JPMCDS_EFFECTIVE_RATE   8L

Effective rate - YF always 1

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Function Documentation

int JpmcdsDateFwdThenAdjust	(	TDate	date,
		TDateInterval *	interval,
		long	badDayMethod,
		char *	holidayFile,
		TDate *	advAdjustedDate
	)

Moves forward by the specified TDateInterval, and then adjust to find a good day.

Basically a call to JpmcdsDtFwdAny followed by a call to JpmcdsBusinessDay.

Parameters:

	date	(I) Start date
	interval	(I) Interval to advance by
	badDayMethod	(I) JPMCDS_BAD_DAY_XYZ
	holidayFile	(I) Holiday file to use
	advAdjustedDate	(O) Advanced adjusted date

int JpmcdsDayCountFraction	(	TDate	beginDate,
		TDate	endDate,
		long	method,
		double *	yearFrac
	)

Calculates Day Count Fractions.

Calculates Day Count Fractions for following methods: 30/360, 30E/360, ACT/365, ACT/365F, ACT/360, etc.

int JpmcdsDaysDiff	(	TDate	beginDate,
		TDate	endDate,
		long	method,
		long *	numDays
	)

Calculates difference between two dates.

Methods currently covered:

• Bond basis: 30, 30E
• Actual

This function calculates the numerator for day count fraction

Parameters:

	beginDate	(I)
	endDate	(I)
	method	(I) Specifies day count method:

JPMCDS_B30_360 - 30/360 USA NASD

JPMCDS_B30E_360 - 30E/360 AIBD RULE 220

JPMCDS_ACT_365 - ACT/365 or ACT/ACT

JPMCDS_ACT_365F - ACT/365 Fixed

JPMCDS_ACT_360 - ACT/360

Parameters:

numDays

(O) Number days between two dates

int JpmcdsIsLeap	(	TDate	date,
		long *	isLeap
	)

Test if date falls in a leap year.

Parameters:

	date	(I)
	isLeap	(O) 0 - if not a leap year

1 - if is a leap year

int JpmcdsYearStart	(	TDate	,
		TDate *
	)

Given a date in TDate, retrieve beginning of the year in TDate format.