1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42
43
44
45
46
47
48
49
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: %f\n", hazardRate);
return status;
}
|
