add fater version

1 files changed, 50 insertions, 0 deletions

diff --git a/c_layer/cdsbootstrap.c b/c_layer/cdsbootstrap.c
new file mode 100644
index 0000000..f3ae975
--- /dev/null
+++ b/c_layer/cdsbootstrap.c
@@ -0,0 +1,50 @@
+#include "cdsbootstrap.h"
+
+int cdsBootstrapPointFunction
+(double   hazardRate,
+ void    *data,
+ double  *pv)
+{
+    int         status    = FAILURE;
+
+    cds_bootstrap_ctx *context = (cds_bootstrap_ctx*)data;
+
+    TCurve         *discountCurve = context->discountCurve;
+    TCurve         *cdsCurve      = context->cdsCurve;
+    TDate           cdsBaseDate   = cdsCurve->fBaseDate;
+    TDate           stepinDate    = context->stepinDate;
+    TDate           cashSettleDate = context->cashSettleDate;
+
+    double          pvC; /* PV of contingent leg */
+    double          pvF; /* PV of fee leg */
+    cdsCurve->fArray[0].fRate = hazardRate;
+
+    if (JpmcdsContingentLegPV (context->cl,
+                               cdsBaseDate,
+                               cashSettleDate,
+                               stepinDate,
+                               discountCurve,
+                               cdsCurve,
+                               context->recoveryRate,
+                               &pvC) != SUCCESS)
+        goto done;
+
+    if (JpmcdsFeeLegPV(context->fl,
+                       cdsBaseDate,
+                       stepinDate,
+                       cashSettleDate,
+                       discountCurve,
+                       cdsCurve,
+                       1,
+                       &pvF) != SUCCESS)
+        goto done;
+    /* Note: price is discounted to cdsBaseDate */
+    *pv = pvC - context->spread * pvF;
+    status = SUCCESS;
+
+ done:
+
+    if (status != SUCCESS)
+        printf("Something went wrong");
+    return status;
+}