zr2fwd.h File Reference

#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.

Detailed Description

Function Documentation

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).

Parameters:
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

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