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#include "cdsbootstrap.h"
double cdsBootstrapPointFunction(double hazardRate, void *data) {
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)
if (JpmcdsFeeLegPV(context->fl,
cdsBaseDate,
stepinDate,
cashSettleDate,
discountCurve,
cdsCurve,
1,
&pvF) != SUCCESS)
/* Note: price is discounted to cdsBaseDate */
return pvC - context->spread * pvF;
done:
if (status != SUCCESS)
printf("Something went wrong");
return status;
}
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