stub.h File Reference

#include "yearfrac.h"

Data Structures
struct	TStubMethod
	Combines all the types of stub information for swaps. More...
Defines
#define	JPMCDS_BDC_MASK   0x000000FF
#define	JPMCDS_STUB_POS_MASK   0x0000FF00
#define	JPMCDS_STUB_POS_SHIFT   8
#define	JPMCDS_STUB_POSN_MASK   1
#define	JPMCDS_STUB_POSN_FRONT   0
#define	JPMCDS_STUB_POSN_BACK   1
#define	JPMCDS_STUB_LENGTH_MASK   2
#define	JPMCDS_STUB_LENGTH_SHORT   0
#define	JPMCDS_STUB_LENGTH_LONG   2
Typedefs
typedef long int	TBadDayAndStubPos
Enumerations
enum	TStubPos { JPMCDS_STUB_POS_DEFAULT_AUTO = 0, JPMCDS_STUB_POS_DEFAULT_FRONT = 1, JPMCDS_STUB_POS_DEFAULT_BACK = 2 }
	Used to pass the default stub position.
Functions
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.

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Detailed Description

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Function Documentation

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

Extracts TStubPos and bad day convention from TBadDayAndStubPos.

Parameters:

	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.

Parameters:

	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.

Parameters:

	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.

Parameters:

	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.

Parameters:

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