#include "bastypes.h"
#include "cashflow.h"
#include "interp.h"
#include "ldate.h"
Functions | |
int | JpmcdsZerosToCouponsPoint (TCurve *zc, long interpType, TDate startDate, TDateInterval *interval, TDate maturityDate, long fixedDayCountConv, TBoolean stubAtEnd, double *couponRate) |
int | JpmcdsZerosToCouponsPointAdj (TCurve *zc, long interpType, TDate startDate, TDateInterval *interval, TDate maturityDate, long fixedDayCountConv, TBoolean stubAtEnd, long accBadDayConv, long payBadDayConv, char *holidayFile, double *couponRate) |
int JpmcdsZerosToCouponsPoint | ( | TCurve * | zc, | |
long | interpType, | |||
TDate | startDate, | |||
TDateInterval * | interval, | |||
TDate | maturityDate, | |||
long | fixedDayCountConv, | |||
TBoolean | stubAtEnd, | |||
double * | couponRate | |||
) |
A convenience function for JpmcdsZerosToCouponsPointAdj with no bad-day adjustment.
Calls JpmcdsZerosToCouponsPoint with badDayConv = JPMCDS_BAD_DAY_NONE.
zc | (I) Zero-coupon rate curve | |
interpType | (I) | |
startDate | (I) Date instrument begins at | |
interval | (I) Time between payments | |
maturityDate | (I) Date instrument matures at | |
fixedDayCountConv | (I) See JpmcdsDayCountFraction | |
stubAtEnd | (I) TRUE=Back, FALSE=Front | |
couponRate | (O) Rate for this instrument |
int JpmcdsZerosToCouponsPointAdj | ( | TCurve * | zc, | |
long | interpType, | |||
TDate | startDate, | |||
TDateInterval * | interval, | |||
TDate | maturityDate, | |||
long | fixedDayCountConv, | |||
TBoolean | stubAtEnd, | |||
long | accBadDayConv, | |||
long | payBadDayConv, | |||
char * | holidayFile, | |||
double * | couponRate | |||
) |
Calculates a par swap rate for the swap starting at startDate, maturing at maturityDate, with fixed day count convention fixedDayCountConv and fixed payments occuring at time intervals defined by interval. In other words, the routine calculates the fixed rate such that the present value of the fixed and floating sides are equal. The floating side is assumed to be at par.
Bad day adjustment is performed on the startDate, maturityDate, and all fixed coupon payment dates.
The arguments stubType and stubAtEnd only have an effect if startDate and maturityDate are not on cycle.
zc | (I) Zero-coupon rate curve | |
interpType | (I) | |
startDate | (I) Date instrument begins at | |
interval | (I) Time between payments | |
maturityDate | (I) Date instrument matures at | |
fixedDayCountConv | (I) See JpmcdsDayCountFraction | |
stubAtEnd | (I) TRUE=Back, FALSE=Front | |
accBadDayConv | (I) See JpmcdsBusinessDay for methods | |
payBadDayConv | (I) See JpmcdsBusinessDay for methods | |
holidayFile | (I) Used to adjust swap dates | |
couponRate | (O) Rate for this instrument |