tcurve.h File Reference

#include "bastypes.h"
#include "interp.h"

Functions
TCurve *	JpmcdsNewTCurve (TDate baseDate, int numPts, double basis, long dayCountConv)
	Allocates and sets a TCurve.
EXPORT TCurve *	JpmcdsMakeTCurve (TDate baseDate, TDate *dates, double *rates, int numPts, double basis, long dayCountConv)
	Creates a new TCurve, and fills it in with rates, dates, yearfraction function, and basis.
TCurve *	JpmcdsMakeTCurveNoRateCheck (TDate baseDate, TDate *dates, double *rates, int numPts, double basis, long dayCountConv)
	Creates a new TCurve, and fills it in with rates, dates, yearfraction function, and basis.
TDate *	JpmcdsDatesFromCurve (TCurve *curve)
int	JpmcdsCashFlowPV (TCashFlowList *cashFlows, TCurve *zeroCurve, long interpType, double *thePV)
	Calculate present value of a cash flow list.
int	JpmcdsDiscountDate (TDate date, TCurve *zeroCurve, long interpType, double *discount)
	Calculate discount factor for specified date and zero curve.
void	JpmcdsFreeTCurve (TCurve *)
	Frees a TCurve.
TCurve *	JpmcdsCopyCurve (TCurve *aCurve)
	Creates a copy of the curve.
int	JpmcdsCurveFirstDate (TCurve *curve, TDate *firstDate)
	Computes the first valid date for a zero curve.

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Detailed Description

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Function Documentation

int JpmcdsCashFlowPV	(	TCashFlowList *	cashFlows,
		TCurve *	zeroCurve,
		long	interpType,
		double *	thePV
	)

Calculate present value of a cash flow list.

Parameters:

	cashFlows	(I) Arbitrary cashflows
	zeroCurve	(I) Zero-coupon curve
	interpType	(I) For zcurve
	thePV	(O) Present value of cashflows

int JpmcdsCurveFirstDate	(	TCurve *	curve,
		TDate *	firstDate
	)

Computes the first valid date for a zero curve.

For an encapsulated curve, this is a method of the curve. Otherwise this is the minimum of the base date of the curve and the first date in the date array.

The date returned is the first date for which we have genuine information regarding rates and discount factors. It is possible that using the curve for dates before this date will give answers, but they might not be based on real information.

TDate* JpmcdsDatesFromCurve

(

TCurve *

curve

)

Creates an array of dates from the input curve and returns a pointer to the array on success and NULL on failure.

int JpmcdsDiscountDate	(	TDate	date,
		TCurve *	zeroCurve,
		long	interpType,
		double *	discount
	)

Calculate discount factor for specified date and zero curve.

Parameters:

	date	(I) Date
	zeroCurve	(I) Zero Curve
	interpType	(I) For zcurve.
	discount	(O) Present Value

EXPORT TCurve* JpmcdsMakeTCurve	(	TDate	baseDate,
		TDate *	dates,
		double *	rates,
		int	numPts,
		double	basis,
		long	dayCountConv
	)

Creates a new TCurve, and fills it in with rates, dates, yearfraction function, and basis.

If it encounters a TDate = 0, it assumes that this is a terminator. This allows spreadsheet users to select a big range of dates, but use less than the whole range by terminating with a 1 or 0.

Parameters:

	baseDate	(I) Value date
	dates	(I) Array of dates for curve
	rates	(I) Array of rates for dates of curve
	numPts	(I) # elements in dates & rates arrays
	basis	(I) Basis. See JpmcdsRateToDiscount
	dayCountConv	(I) See JpmcdsDayCountFraction

TCurve* JpmcdsMakeTCurveNoRateCheck	(	TDate	baseDate,
		TDate *	dates,
		double *	rates,
		int	numPts,
		double	basis,
		long	dayCountConv
	)

Creates a new TCurve, and fills it in with rates, dates, yearfraction function, and basis.

If it encounters a TDate = 0, it assumes that this is a terminator. This allows spreadsheet users to select a big range of dates, but use less than the whole range by terminating with a 1 or 0.

It is different from JpmcdsMakeTCurve in that allows any values for the rates. JpmcdsMakeTCurve checks that the rates are all greater than -1.

Parameters:

	baseDate	(I) Discount date
	dates	(I) Dates in curve
	rates	(I) Associated rates
	numPts	(I) Len of dates and rates arrays
	basis	(I) Compounding periods/year
	dayCountConv	(I)

TCurve* JpmcdsNewTCurve	(	TDate	baseDate,
		int	numPts,
		double	basis,
		long	dayCountConv
	)

Allocates and sets a TCurve.

Checks parameters for validity. Returns pointer to allocated TCurve. Only allocates memory for the array when it is returning a valid TCurve.

Parameters:

	baseDate	(I) Value date
	numPts	(I) Length of dates & rates
	basis	(I) Basis. See JpmcdsRateToDiscount
	dayCountConv	(I) See JpmcdsDayCountFraction