zcprvt.h File Reference

#include "cgeneral.h"
#include "bastypes.h"
#include "badday.h"
#include "tcurve.h"
#include "interp.h"

Data Structures
struct	ZCurve
struct	TStubData
struct	TInterpData
Functions
TCurve *	JpmcdsZCToTCurve (ZCurve *zc)
	Constructs a TCurve from a ZCurve.
ZCurve *	JpmcdsZCFromTCurve (TCurve *tc)
	Constructs a ZCurve from a TCurve.
ZCurve *	JpmcdsZCMake (TDate valueDate, int n, long basis, long dayCountConv)
	Constructs a ZCurve.
void	JpmcdsZCFree (ZCurve *zc)
	Frees memory associated with a zero curve.
int	JpmcdsZCAddPrefixCurve (ZCurve *zc1, ZCurve *zc2)
	Adds points to a zero curve from another zero curve, but only those dates before first date of the other curve.
int	JpmcdsZCAddSuffixCurve (ZCurve *zc1, ZCurve *zc2)
	Adds points to a zero curve from another zero curve, but only those dates after last date of the other curve.
int	JpmcdsZCAddSwap (ZCurve *zc, TCurve *discZC, double price, TDate matDate, TBoolean onCycle, double rate, int fixedSwapFreq, int floatSwapFreq, long fixDayCountConv, long floatDayCountConv, long interpType, TInterpData *interpData, TBadDayList *badDayList, TBadDayAndStubPos badDayAndStubPos, char *holidayFile)
	Adds a single swap instrument to a ZCurve.
int	JpmcdsZCAddSwaps (ZCurve *zc, TCurve *discZC, TDate *inDates, double *inRates, int numSwaps, int fixedSwapFreq, int floatSwapFreq, long fixDayCountConv, long floatDayCountConv, long interpType, TInterpData *interpData, TBadDayList *badDayList, TBadDayAndStubPos badDayAndStubPos, char *holidayFile)
	Adds a strip of swap instruments to a ZCurve.
TDateList *	JpmcdsZCGetSwapCouponDL (TDate valueDate, TDate matDate, TBoolean stubAtEnd, TDateInterval *interval, TBadDayList *badDayList, long badDayConv, char *holidayFile)
	Makes a date list for all coupons associated w/ a swap instrument.
TCashFlowList *	JpmcdsZCGetSwapCFL (TDate valueDate, TDate matDate, TBoolean stubAtEnd, double rate, TDateInterval *interval, long dayCountConv, TBadDayList *badDayList, long badDayConv, char *holidayFile)
	Makes a cash flow list for a swap instrument.
int	JpmcdsZCAddMoneyMarket (ZCurve *zc, TDate dates[], double rates[], int n, long dayCountConv)
	Adds simple-interest money market bond to ZCurve.
int	JpmcdsZCAddCFLPoints (ZCurve *zc, TCashFlowList *cfl, TDate lastDate, long interpType, TInterpData *interpData)
	Adds points into a zero curve to match all points in a cashflow list after a certain date.
int	JpmcdsZCAddCashFlowList (ZCurve *zc, TCashFlowList *cfl, double price, TDate date, long interpType, TInterpData *interpData)
	Adds information represented by a list-of-cash-flows to a zero curve.
int	JpmcdsZCAddGenRate (ZCurve *zc, TDate date, double rate, long basis, long dayCountConv)
	Adds a general zero rate to a ZCurve.
int	JpmcdsZCAddDiscountFactor (ZCurve *zc, TDate date, double disc)
	Adds a discount factor (at a specified date) to a ZCurve.
int	JpmcdsZCAddRate (ZCurve *zc, TDate date, double rate)
	Adds a zero rate to a ZCurve.
int	JpmcdsZCAddRateAndDiscount (ZCurve *zc, TDate date, double rate, double disc)
	Adds a zero rate and discount to a ZCurv.
int	JpmcdsZCMoneyMarketRate (ZCurve *zc, TDate date, long dayCountConv, long interpType, TInterpData *interpData, double *rate)
	Calculates a simple interest money market rate from a zero curve.
int	JpmcdsZCForwardRate (ZCurve *zc, TDate date1, TDate date2, long basis, long dayCountConv, long interpType, TInterpData *interpData, double *rate)
	Calculates a forward rate from a zero curve.
int	JpmcdsZCFwdDiscountFactor (ZCurve *zc, TDate date1, TDate date2, long interpType, TInterpData *interpData, double *discount)
	Calculates a discount factor for a forward between two dates.
int	JpmcdsJpmcdsZCPresentValueCFL (ZCurve *zc, TCashFlowList *cfl, int iLo, int iHi, long interpType, TInterpData *interpData, double *pv)
	Calculates net-present-value of a cash-flow list.
int	JpmcdsZCPresentValue (ZCurve *zc, double price, TDate date, long interpType, TInterpData *interpData, double *pv)
	Calculates net-present-value of a cash-flow (a payment at a given date in the future).
int	JpmcdsZCDiscountFactor (ZCurve *zc, TDate date, long interpType, TInterpData *interpData, double *discount)
	Calculates discount factor for a date.
int	JpmcdsZCComputeDiscount (ZCurve *zc, TDate date, double rate, double *discount)
	Converts zc-style rate into a discount factor.
int	JpmcdsZCInterpolate (ZCurve *zc, TDate date, long interpType, TInterpData *interpData, double *rate)
	Calculates an interpolated rate for a date.
int	JpmcdsZCFindDateExact (ZCurve *zc, TDate date)
	Finds an exact date in a ZC.
int	JpmcdsZCFindDateClosest (ZCurve *zc, TDate date)
	Finds index of entry closest to an input date.
int	JpmcdsZCValueFixFltSwap (ZCurve *zc, TCurve *discZC, double price, TDate matDate, double rate, int fixedSwapFreq, int floatSwapFreq, long fixDayCountConv, long floatDayCountConv, long interpType, TInterpData *interpData, TBadDayAndStubPos badDayAndStubPos, char *holidayFile)
	Models the swap points which are to be added to the zero curve using the more detailed swap structures.

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Detailed Description

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Function Documentation

int JpmcdsZCAddCashFlowList	(	ZCurve *	zc,
		TCashFlowList *	cfl,
		double	price,
		TDate	date,
		long	interpType,
		TInterpData *	interpData
	)

Adds information represented by a list-of-cash-flows to a zero curve.

Any cash flows which are already covered by the zero curve are discounted at rates derived from the zero curve. Cash flows beyond the zero curve imply discount factors, which are added to the zero curve. If there is more than one such cash flow, several points are added to the curve, which are calculated by using an interative root-finding secant method, where the discount factor for the last cash flow is guessed (and the other discount factors are implied by interpolation) where the current price = net present value of all the cash flows.

The zero curve is updated to reflect the cash flows. A point is added for every cash flow, if not already in ZCurve list. For linear forwards, all interpolated points are returned, e.g. for 1 month forwards in an annual market, monthly points will be returned, not just yearly.

Notes: date may be set for non-linear-forward interpolation methods to a date to be added to the zero curve. This allows production of a curve with "nice" dates.

int JpmcdsZCAddCFLPoints	(	ZCurve *	zc,
		TCashFlowList *	cfl,
		TDate	lastDate,
		long	interpType,
		TInterpData *	interpData
	)

Adds points into a zero curve to match all points in a cashflow list after a certain date.

Note that only the *dates* in the cashflow list are used.

Zero curve is modified.

int JpmcdsZCAddDiscountFactor	(	ZCurve *	zc,
		TDate	date,
		double	disc
	)

Adds a discount factor (at a specified date) to a ZCurve.

Modified ZCurve, and error indicator.

int JpmcdsZCAddGenRate	(	ZCurve *	zc,
		TDate	date,
		double	rate,
		long	basis,
		long	dayCountConv
	)

Adds a general zero rate to a ZCurve.

ZCurve is updated to include the rate.

int JpmcdsZCAddMoneyMarket	(	ZCurve *	zc,
		TDate	dates[],
		double	rates[],
		int	n,
		long	dayCountConv
	)

Adds simple-interest money market bond to ZCurve.

ZCurve is updated to include information from money market instruments

int JpmcdsZCAddPrefixCurve	(	ZCurve *	zc1,
		ZCurve *	zc2
	)

Adds points to a zero curve from another zero curve, but only those dates before first date of the other curve.

ZCurve is updated to include the new points.

Note:curve value dates MUST be the same, basis and dayCounts may differ.

Parameters:

	zc1	(M) zCurve to added to
	zc2	(I) zCurve to add from

int JpmcdsZCAddRate	(	ZCurve *	zc,
		TDate	date,
		double	rate
	)

Adds a zero rate to a ZCurve.

The input rate must be in the proper ZCurve terms (zc->basis and zc->dayCountConv).

ZCurve is updated to include the rate.

int JpmcdsZCAddRateAndDiscount	(	ZCurve *	zc,
		TDate	date,
		double	rate,
		double	disc
	)

Adds a zero rate and discount to a ZCurv.

The input rate must be in the proper ZCurve terms (zc->basis and zc->dayCountConv).

ZCurve is updated to include the rate.

int JpmcdsZCAddSuffixCurve	(	ZCurve *	zc1,
		ZCurve *	zc2
	)

Adds points to a zero curve from another zero curve, but only those dates after last date of the other curve.

ZCurve is updated to include the new points.

Note: curve value dates MUST be the same, basis and dayCounts may differ.

int JpmcdsZCAddSwap	(	ZCurve *	zc,
		TCurve *	discZC,
		double	price,
		TDate	matDate,
		TBoolean	onCycle,
		double	rate,
		int	fixedSwapFreq,
		int	floatSwapFreq,
		long	fixDayCountConv,
		long	floatDayCountConv,
		long	interpType,
		TInterpData *	interpData,
		TBadDayList *	badDayList,
		TBadDayAndStubPos	badDayAndStubPos,
		char *	holidayFile
	)

Adds a single swap instrument to a ZCurve.

ZCurve is updated to contain swap information (with points at each of the coupon dates, as well as the maturity date).

int JpmcdsZCAddSwaps	(	ZCurve *	zc,
		TCurve *	discZC,
		TDate *	inDates,
		double *	inRates,
		int	numSwaps,
		int	fixedSwapFreq,
		int	floatSwapFreq,
		long	fixDayCountConv,
		long	floatDayCountConv,
		long	interpType,
		TInterpData *	interpData,
		TBadDayList *	badDayList,
		TBadDayAndStubPos	badDayAndStubPos,
		char *	holidayFile
	)

Adds a strip of swap instruments to a ZCurve.

The zero interpolation kicks in whenever a point is calculated to determine the discount factor for a cash flow, deep inside the objective function called by the root finder, which calls JpmcdsZCInterpolate() to determine the appropriate discount factor.

In this routine, there are two mutually exclusive ways to specify bad days: badDayList, and badDayConv/holidayFile. If badDayList is used, bad business day lists can be used to make sure swap dates near to canonical dates (i.e. integral number of years from start date) are properly used for coupon dates of later instruments. Say the 2-year point has been adjusted because of holidays to be 3 days later. The coupon at 2-years for the 3 (and subsequent) swap instruments must be adjusted to that date. To do this, the badDayList contains a list of <good,bad> day pairs, which are used to adjust dates to/from bad business days.

INPUTS: ZCurve to add swaps to, maturity dates and rates for them, how many there are, coupon frequency: annual or semi-annual, dayCountConvention, interpolation method and data, bad business day list. WARNING: In this routine, there are two mutually exclusive ways to specify bad days: badDayList, and badDayConv/holidayFile. If badDayList is non-NULL, the maturity dates passed in must be adjusted. If the badDayConv is not JPMCDS_BAD_DAY_NONE, the maturity dates passed in must be UN-adjusted.

OUTPUTS: Extended zero curve.

int JpmcdsZCComputeDiscount	(	ZCurve *	zc,
		TDate	date,
		double	rate,
		double *	discount
	)

Converts zc-style rate into a discount factor.

Note: As a special optimization, the normal ZCurve case is hard coded for speed (since this routine is critical to performance of building zero-curves). That is, annually-compounded rates w/ 360 or 365-fixed year are calculated directly.

int JpmcdsZCFindDateClosest	(	ZCurve *	zc,
		TDate	date
	)

Finds index of entry closest to an input date.

Returns index closest to date.

int JpmcdsZCFindDateExact	(	ZCurve *	zc,
		TDate	date
	)

Finds an exact date in a ZC.

Returns index of matching date if found, -1 if not.

void JpmcdsZCFree

(

ZCurve *

zc

)

Frees memory associated with a zero curve.

Parameters:

zc

zero curve to free

ZCurve* JpmcdsZCFromTCurve

(

TCurve *

tc

)

Constructs a ZCurve from a TCurve.

Parameters:

tc

(I) TCurve to copy

TCashFlowList* JpmcdsZCGetSwapCFL	(	TDate	valueDate,
		TDate	matDate,
		TBoolean	stubAtEnd,
		double	rate,
		TDateInterval *	interval,
		long	dayCountConv,
		TBadDayList *	badDayList,
		long	badDayConv,
		char *	holidayFile
	)

Makes a cash flow list for a swap instrument.

returns cash flow list associated with the swap, NULL if an error found.

TDateList* JpmcdsZCGetSwapCouponDL	(	TDate	valueDate,
		TDate	matDate,
		TBoolean	stubAtEnd,
		TDateInterval *	interval,
		TBadDayList *	badDayList,
		long	badDayConv,
		char *	holidayFile
	)

Makes a date list for all coupons associated w/ a swap instrument.

Only glitch is possible inclusion of a stub date, which is necessary if the maturity date isn't an integral number of frequency intervals away, e.g. a swap date 5 years and 1 month from the value date, which would have a stub date 1 month from now, followed by coupons every year from then.

Returns date list associated with the swap's coupons, NULL if error found.

int JpmcdsZCInterpolate	(	ZCurve *	zc,
		TDate	date,
		long	interpType,
		TInterpData *	interpData,
		double *	rate
	)

Calculates an interpolated rate for a date.

Note: Piece wise interpolation allows different areas of the zero curve to be interpolated using different methods. Basically an array of <date,interpolationStuff> is given, where the interpolationStuff is used for any date before the given date. The code allows the interpolationStuff to be another pieceWise interpolation type, although the utility of this is unknown.

ZCurve* JpmcdsZCMake	(	TDate	valueDate,
		int	n,
		long	basis,
		long	dayCountConv
	)

Constructs a ZCurve.

Constructs a ZCurve, which is basically an array of <rate,date> pairs, where the rates are all zero-coupons with the same compounding and day count convention. This allows a bunch of different types of interest rate instruments to be combined into one yield curve in the same terms.

Parameters:

	valueDate	(I) base date for rates
	n	(I) expected number of rates
	basis	(I) compounding period
	dayCountConv	(I) day count convention

TCurve* JpmcdsZCToTCurve

(

ZCurve *

zc

)

Constructs a TCurve from a ZCurve.

Parameters:

zc

(I) ZCurve to copy