zerocurve.h File Reference

#include "bastypes.h"

Functions

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.

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.

Parameters:
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

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