add fater version

1 files changed, 26 insertions, 0 deletions

diff --git a/c_layer/cdsbootstrap.h b/c_layer/cdsbootstrap.h
new file mode 100644
index 0000000..2e19189
--- /dev/null
+++ b/c_layer/cdsbootstrap.h
@@ -0,0 +1,26 @@
+#include "isda/ldate.h"
+#include "isda/cxzerocurve.h"
+#include "isda/feeleg.h"
+#include "isda/contingentleg.h"
+#include "stdio.h"
+
+
+#define SUCCESS 0
+#define FAILURE -1
+
+typedef struct
+{
+    TDate           stepinDate;
+    TDate           cashSettleDate;
+    TCurve         *discountCurve;
+    TCurve         *cdsCurve;
+    double          recoveryRate;
+    double          spread;
+    TContingentLeg *cl;
+    TFeeLeg        *fl;
+} cds_bootstrap_ctx;
+
+
+int cdsBootstrapPointFunction(double   hazardRate,
+                              void    *data,
+                              double  *pv);