add fater version

2 files changed, 76 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;
+}
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);