stub.h File Reference

#include "yearfrac.h"

Data Structures

struct  TStubMethod
 Combines all the types of stub information for swaps. More...


#define JPMCDS_BDC_MASK   0x000000FF
#define JPMCDS_STUB_POS_MASK   0x0000FF00


typedef long int TBadDayAndStubPos


 Used to pass the default stub position.


int JpmcdsStubPayment (TDate prevCouponDate, TDate nextCoupon, TDate stubStart, TDate stubEnd, double rate, long couponDayCountConv, double *stubPayment)
 Computes stub payment.
int JpmcdsStringToStubMethod (char *name, TStubMethod *stubMethod)
 This function converts a string to a stub method.
int JpmcdsIsEndStub (TDate startDate, TDate maturityDate, TDateInterval *ivl, TStubPos stubPos, TBoolean *isEndStub)
 Returns TRUE if a stub should be at the end.
int JpmcdsStubPosMake (long stubPosValue, TStubPos *stubPos)
 Creates a TStubPos from a long.
int JpmcdsBadDayAndStubPosSplit (TBadDayAndStubPos badDayAndStubPos, long *badDayConv, TStubPos *stubPos)
 Extracts TStubPos and bad day convention from TBadDayAndStubPos.

Detailed Description

Function Documentation

int JpmcdsBadDayAndStubPosSplit ( TBadDayAndStubPos  badDayAndStubPos,
long *  badDayConv,
TStubPos stubPos 

Extracts TStubPos and bad day convention from TBadDayAndStubPos.

badDayAndStubPos (I) BDC and stub position
badDayConv (O) Bad day convention
stubPos (O) Stub position

int JpmcdsIsEndStub ( TDate  startDate,
TDate  maturityDate,
TDateInterval ivl,
TStubPos  stubPos,
TBoolean *  isEndStub 

Returns TRUE if a stub should be at the end.

The decision is based on the following. 1. First the default stub position is checked. If this is a back stub then return TRUE - if a front stub return FALSE. 2. If the default stub position is auto then the function will return TRUE, unless there is a stub in whach case FALSE is returned.

startDate (I) Start date
maturityDate (I) Maturity date
ivl (I) Interval
stubPos (I) Stub position
isEndStub (O) TRUE if end stub

int JpmcdsStringToStubMethod ( char *  name,
TStubMethod stubMethod 

This function converts a string to a stub method.

name (I) Stub method name
stubMethod (O) Stub method returned

int JpmcdsStubPayment ( TDate  prevCouponDate,
TDate  nextCoupon,
TDate  stubStart,
TDate  stubEnd,
double  rate,
long  couponDayCountConv,
double *  stubPayment 

Computes stub payment.

Minus accrued only set for Bond option with Front Stub.

prevCouponDate (I) Needed for Actual/Actual
nextCoupon (I) Needed for Actual/Actual
stubStart (I) When stub starts
stubEnd (I) When stub ends
rate (I) Annual rate
couponDayCountConv (I) See JpmcdsDayCountFraction
stubPayment (O) At stub End date

int JpmcdsStubPosMake ( long  stubPosValue,
TStubPos stubPos 

Creates a TStubPos from a long.

stubPosValue (I) Number representing stub position
stubPos (O) Stub position

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