#include "bastypes.h"
#include "ldate.h"
#include "cfinanci.h"
#include "interp.h"
Functions | |
int | JpmcdsForwardFromZCurve (TCurve *zeroCurve, long interpType, TDate startDate, TDate endDate, long dayCountConv, long basis, double *rate) |
Computes the zero-coupon forward rate from startDate to the maturity date using a zero-coupon curve. |
int JpmcdsForwardFromZCurve | ( | TCurve * | zeroCurve, | |
long | interpType, | |||
TDate | startDate, | |||
TDate | endDate, | |||
long | dayCountConv, | |||
long | basis, | |||
double * | rate | |||
) |
Computes the zero-coupon forward rate from startDate to the maturity date using a zero-coupon curve.
Note the routine does not check to make sure that the start date comes before the maturity date, since zero curve creation requires the calculation of forwards which go backwards (JpmcdsDiscountToRate should handle that check anyway).
zeroCurve | (I) Zero Curve | |
interpType | (I) | |
startDate | (I) Start Date | |
endDate | (I) End Date | |
dayCountConv | (I) See JpmcdsDayCountFraction | |
basis | (I) See JpmcdsDiscountToRate | |
rate | (O) Rate from start to end |