timeline.h File Reference

#include "cx.h"

Functions

TDateList * JpmcdsRiskyTimeLine (TDate startDate, TDate endDate, TCurve *discCurve, TCurve *riskyCurve)
 Returns a timeline for use with risky integrations assuming flat forward curves.
TDateList * JpmcdsTruncateTimeLine (TDateList *criticalDates, TDate startDate, TDate endDate)
 Truncate timeline.

Detailed Description

Function Documentation

TDateList* JpmcdsRiskyTimeLine ( TDate  startDate,
TDate  endDate,
TCurve *  discCurve,
TCurve *  riskyCurve 
)

Returns a timeline for use with risky integrations assuming flat forward curves.

The timeline will contain the following dates:

  • startDate

  • endDate

  • all the points in the discount curve

  • all the points in the risky curve

  • nothing before startDate

  • nothing after endDate

TDateList* JpmcdsTruncateTimeLine ( TDateList *  criticalDates,
TDate  startDate,
TDate  endDate 
)

Truncate timeline.

Truncates a timeline so that it will contain the following:

  • startDate

  • endDate

  • criticalDates (can be NULL)

  • nothing before startDate

  • nothing after endDate

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