streamcf.h File Reference

#include "bastypes.h"
#include "ldate.h"
#include "schedule.h"
#include "cashflow.h"

Data Structures

struct  TStubRates
struct  TStreamFloat
struct  TStreamFixed

Functions

TCashFlowList * JpmcdsNewStreamFloatCFLGen (TCurve *zeroCurve, long zcInterpType, TStreamFloat *stream, long rateBadDayConv, char *holidayFile)
 Calculates the cashflows for a floating stream of a swap.
TCashFlowList * JpmcdsNewStreamFixedCFL (TDate valueDate, TStreamFixed *stream)
 Calculates the cashflows for a fixed stream of a swap.
int JpmcdsGetFixedCouponRates (TDate valueDate, TStreamFixed *stream, double *couponRates)
 Given one stream of a swap, this function estimates the rates for each coupon.
TStreamFloat * JpmcdsNewStreamFloat (TCouponDateList *dl, TSwapType swapType, double principal, long payDayCountConv, long flags, TStubRates *firstCoupon, TStubRates *finalCoupon, double averSoFar, double compSoFar, TFloatRate *floatingRate)
 Makes a new TStreamFloat.
TStreamFixed * JpmcdsNewStreamFixed (TCouponDateList *dl, TSwapType swapType, double principal, long payDayCountConv, long flags, double firstCoupon, double finalCoupon, double fixedRate)
 Makes a new TStreamFixed.
TStreamFloat * JpmcdsNewEmptyTStreamFloat (int numPeriods)
 Creates a new empty TStreamFloat.
TStreamFixed * JpmcdsNewEmptyTStreamFixed (int numPeriods)
 Creates a new empty TStreamFixed.
void JpmcdsFreeTStreamFloat (TStreamFloat *theStream)
 Frees a floating stream.
void JpmcdsFreeTStreamFixed (TStreamFixed *theStream)
 Frees a fixed stream.
int JpmcdsFloatingCashFlowGen (TCurve *zeroCurve, long zcInterpType, TDate indexStartDate, TDate indexMatDate, TDateInterval payInterval, TCouponDates *couponDates, long rateDayCountConv, long payDayCountConv, double notional, double spread, double *cashflow)
 Same as JpmcdsFloatingCashFlow, except user can choose the zero curve interpolation type.

Detailed Description

Function Documentation

TCashFlowList* JpmcdsNewStreamFixedCFL ( TDate  valueDate,
TStreamFixed *  stream 
)

Calculates the cashflows for a fixed stream of a swap.

Principals are included as per specification in the stream->flags field.

TCashFlowList* JpmcdsNewStreamFloatCFLGen ( TCurve *  zeroCurve,
long  zcInterpType,
TStreamFloat *  stream,
long  rateBadDayConv,
char *  holidayFile 
)

Calculates the cashflows for a floating stream of a swap.

Principals are included as per specification in the stream->flags field.

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