schedule.h File Reference

#include "bastypes.h"
#include "convert.h"
#include "ldate.h"

Enumerations

enum  TSwapType { JPMCDS_SINGLE_REFIX }
enum  TStubType { JPMCDS_NO_STUB, JPMCDS_BACK_STUB, JPMCDS_FRONT_STUB, JPMCDS_TWO_STUB }

Functions

TCouponDateList * JpmcdsNewCouponDatesSwap (TDate startDate, TDate matDate, TDateInterval *couponInterval, TBoolean adjustLastAccDate, TBoolean inArrears, int payOffsetDays, int resetOffsetDays, TBoolean stubAtEnd, TBoolean longStub, TDate firstRollDate, TDate lastRollDate, TDate fullFirstCoupDate, long payBadDayConv, long accBadDayConv, long resetBadDayConv, char *holidayFile)
 Creates a date schedule for one stream of a swap.
TCouponDateList * JpmcdsNewEmptyCouponDateList (int numPeriods)
 Creates a new empty TCouponDateList.
void JpmcdsFreeCouponDateList (TCouponDateList *theSchedule)
 Frees a TCouponDateList.
int JpmcdsCouponDateListCheck (TCouponDateList *schedule)
 Checks the details for a stream schedule.
int JpmcdsGenerateUnadjDates (TDate startDate, TDate matDate, TDateInterval *couponInterval, TBoolean stubAtEnd, TBoolean longStub, TDate firstRollDate, TDate lastRollDate, TDateList **dateList, long *stubInfo)
 Generate a list of unadjusted coupon dates for the stream.

Detailed Description

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