zerocurve.h File Reference

#include "bastypes.h"


EXPORT TCurveJpmcdsBuildIRZeroCurve (TDate valueDate, char *instrNames, TDate *dates, double *rates, long nInstr, long mmDCC, long fixedSwapFreq, long floatSwapFreq, long fixedSwapDCC, long floatSwapDCC, long badDayConv, char *holidayFile)
 Build zero curve from money market, and swap instruments.

Detailed Description

Function Documentation

EXPORT TCurve* JpmcdsBuildIRZeroCurve ( TDate  valueDate,
char *  instrNames,
TDate dates,
double *  rates,
long  nInstr,
long  mmDCC,
long  fixedSwapFreq,
long  floatSwapFreq,
long  fixedSwapDCC,
long  floatSwapDCC,
long  badDayConv,
char *  holidayFile 

Build zero curve from money market, and swap instruments.

valueDate (I) Value date
instrNames (I) Array of 'M' or 'S'
dates (I) Array of swaps dates
rates (I) Array of swap rates
nInstr (I) Number of benchmark instruments
mmDCC (I) DCC of MM instruments
fixedSwapFreq (I) Fixed leg freqency
floatSwapFreq (I) Floating leg freqency
fixedSwapDCC (I) DCC of fixed leg
floatSwapDCC (I) DCC of floating leg
badDayConv (I) Bad day convention
holidayFile (I) Holiday file

Distributed by BN Algorithms Ltd -- consulting in quantitative finance, mathematical algorithms and software implementations. CDS Home Page. For enquires contact
This documentation is derived from ISDA CDS Standard Model version 1.7. You can get a copy of the original ISDA code at This is a derivative work under the terms of the ISDA CDS Standard Model Public License. BN Algorithms Ltd licenses this work to you solely for on-screen viewing on your own computer. Making copies and further distribution of this work is prohibited.
This documentation is provided "as-is", without warranty of any kind, either expressed or implied, including, without limitation, warranties that the documentation is free of defects, merchantable, fit for a particular purpose or non-infringing. the entire risk as to the quality of the documentation is with you. Should this documentation prove defective in any respect, you (not the licensor) assume the cost of any necessary correction. This disclaimer of warranty constitutes an essential part of this license.