/*
***************************************************************************
** Computes the non-contingent cash flows for a fee leg.
***************************************************************************
*/
TCashFlowList* JpmcdsFeeLegFlows
(TFeeLeg *fl)
{
static char routine[] = "JpmcdsFeeLegFlows";
int status = FAILURE;
TCashFlowList *cfl = NULL;
int i;
cfl = JpmcdsNewEmptyCFL(fl->nbDates);
if (cfl == NULL)
goto done;
for (i = 0; i < fl->nbDates; ++i)
{
double amount;
double time;
if(JpmcdsDayCountFraction(fl->accStartDates[i],
fl->accEndDates[i],
fl->dcc,
&time) != SUCCESS)
{
goto done;
}
amount = time * fl->couponRate * fl->notional;
cfl->fArray[i].fDate = fl->payDates[i];
cfl->fArray[i].fAmount = amount;
}
status = SUCCESS;
done:
if (status != SUCCESS)
{
JpmcdsFreeCFL(cfl);
cfl = NULL;
JpmcdsErrMsgFailure(routine);
}
return cfl;
}
/*
***************************************************************************
** Makes a new TCashFlowList.
***************************************************************************
*/
TCashFlowList* JpmcdsNewCFL(TDate *dates, /* (I) Dates */
double *amounts, /* (I) Amounts */
int numItems) /* (I) Length of arrays */
{
int idx;
TCashFlowList *cfl;
cfl = JpmcdsNewEmptyCFL(numItems);
if( cfl == NULL )
return NULL;
for (idx = 0; idx < numItems; idx++)
{
cfl->fArray[idx].fDate = dates[idx];
cfl->fArray[idx].fAmount = amounts[idx];
}
return cfl;
}
/*
***************************************************************************
** Merges two cash flow lists.
***************************************************************************
*/
TCashFlowList* JpmcdsMergeCFL(
TCashFlowList *a, /* (I) first cash flow list */
TCashFlowList *b) /* (I) second cash flow list */
{
static char routine[] = "JpmcdsMergeCFL";
TCashFlowList *cfl = NULL; /* cash flow list to return */
int i; /* where to add next cf in cfl */
int ia; /* iterates over cfs in a */
int ib; /* iterates over cfs in b */
if (a == NULL || b == NULL)
{
JpmcdsErrMsg ("%s: NULL inputs\n", routine);
goto done;
}
cfl = JpmcdsNewEmptyCFL(a->fNumItems + b->fNumItems);
if (cfl == NULL)
goto done;
i = 0;
ia = 0;
ib = 0;
while (ia<a->fNumItems && ib<b->fNumItems)
{
TDate aDate = a->fArray[ia].fDate;
TDate bDate = b->fArray[ib].fDate;
if (aDate < bDate)
{
cfl->fArray[i++] = a->fArray[ia++];
}
else if (aDate > bDate)
{
cfl->fArray[i++] = b->fArray[ib++];
}
else
{
cfl->fArray[i].fDate = aDate;
cfl->fArray[i++].fAmount = a->fArray[ia++].fAmount +
b->fArray[ib++].fAmount;
}
}
while (ia<a->fNumItems) /* add any from A left over */
{
cfl->fArray[i++] = a->fArray[ia++];
}
while (ib<b->fNumItems) /* add any from B left over */
{
cfl->fArray[i++] = b->fArray[ib++];
}
cfl->fNumItems = i;
done:
if (cfl == NULL)
JpmcdsErrMsg("%s: FAILED\n",routine);
return cfl;
}
/*
***************************************************************************
** Makes a cashflow list from a DateList. Cashflows (for non stub payments)
** are equal to the rate times the fraction of the year between each date
** and the previous date. The year fraction is calculated by the year
** fraction function passed in. For stub payments, Actual/Actual is used.
**
** If there is a stub at the BEGINNING, then the first element of the
** dateList is assumed to PRECEED startDate.
**
** If there is a stub at the END, then the last element of the dateList is
** assumed to COME AFTER maturityDate.
***************************************************************************
*/
TCashFlowList* JpmcdsNewCFLFromDL3
(TDateList *dates, /* (I) Dates */
TDate startDate, /* (I) startDate */
TDate maturityDate, /* (I) MaturityDate */
double rate, /* (I) Multiplied by yearFrac */
long couponDayCountConv, /* (I) Coupon calc */
TBoolean longStub, /* (I) Long stub */
long accrualBadDayConv, /* (I) Accrual bad day convention */
long payBadDayConv, /* (I) Pay bad day convention */
char *accrualHolidayFile, /* (I) Accrual Holiday file. */
char *payHolidayFile, /* (I) Payment Holiday file. */
TBoolean usePreStartDate) /* (I) Use prestart date if stub */
{
static char routine[]="JpmcdsNewCFLFromDL3";
int idx;
int startIdx; /* First index for regular proc */
int endIdx; /* Last index for regular proc */
int numDates = dates->fNumItems;
TDate accrualStart, payStart; /* Accrue and pay start dates */
TDate accrualMaturity, payMaturity; /* Accrue and pay maturity dates */
TDateList *accrualDates = NULL;
TDateList *payDates = NULL;
TBoolean frontStub, backStub;
TDateList *datesCopy = NULL;
TCashFlowList *cfl = NULL;
int status = FAILURE;
if ( numDates == 0 )
{
cfl = JpmcdsNewEmptyCFL(0);
if ( cfl == NULL )
goto done;
status = SUCCESS;
goto done;
}
frontStub = ( startDate > dates->fArray[0] );
backStub = ( maturityDate < dates->fArray[numDates-1] );
/* For long stubs, simply coalesce first/last two coupon periods
* (i.e. short stub + adjacent regular period) into one...
*/
if ( longStub && (frontStub || backStub) && numDates > 2 )
{
datesCopy = JpmcdsNewEmptyDateList(numDates - 1);
if ( datesCopy == NULL )
goto done;
if ( frontStub )
{
datesCopy->fArray[0] = dates->fArray[0];
memcpy(&datesCopy->fArray[1], &dates->fArray[2], (numDates - 2) * sizeof(TDate));
dates = datesCopy; /* simply overwrite pointer, hiding original */
--numDates;
}
if (backStub)
{
memcpy(&datesCopy->fArray[0], &dates->fArray[0], (numDates - 2) * sizeof(TDate));
datesCopy->fArray[numDates - 2] = dates->fArray[numDates - 1];
dates = datesCopy; /* simply overwrite pointer, hiding original */
--numDates;
}
}
cfl = JpmcdsNewEmptyCFL(numDates);
if( cfl == NULL )
goto done;
/* Get accrualDates
*/
if (accrualBadDayConv == JPMCDS_BAD_DAY_NONE)
{
accrualDates = dates; /* efficiency */
accrualStart = startDate;
accrualMaturity = maturityDate;
}
else
{
/* Adjust for bad days */
accrualDates = JpmcdsNewDateListBusDayAdj(dates, accrualBadDayConv,
accrualHolidayFile);
if (accrualDates == NULL)
goto done;
if (JpmcdsBusinessDay(startDate, accrualBadDayConv, accrualHolidayFile,
&accrualStart) == FAILURE)
goto done;
if (JpmcdsBusinessDay(maturityDate, accrualBadDayConv, accrualHolidayFile,
&accrualMaturity) == FAILURE)
goto done;
}
/* Get payDates
*/
if (payBadDayConv == JPMCDS_BAD_DAY_NONE)
{
payDates = dates; /* efficiency */
payStart = startDate;
payMaturity = maturityDate;
}
else
{
/* Adjust for bad days */
payDates = JpmcdsNewDateListBusDayAdj(dates, payBadDayConv, payHolidayFile);
if (payDates == NULL)
goto done;
if (JpmcdsBusinessDay(startDate, payBadDayConv, payHolidayFile,
&payStart) == FAILURE)
goto done;
if (JpmcdsBusinessDay(maturityDate, payBadDayConv, payHolidayFile,
&payMaturity) == FAILURE)
goto done;
}
if (usePreStartDate) /* Useful to JpmcdsTrinomialModel */
cfl->fArray[0].fDate = payDates->fArray[0];
else
cfl->fArray[0].fDate = payStart;
cfl->fArray[0].fAmount = 0.;
cfl->fArray[numDates-1].fDate = payMaturity;
for (idx=1; idx < numDates-1; idx++)
cfl->fArray[idx].fDate = payDates->fArray[idx];
startIdx = 1;
endIdx = numDates-1;
if ( frontStub )
{
startIdx = 2; /* For non-stub processing */
if (JpmcdsStubPayment(accrualDates->fArray[0], /*(I)Coupon start*/
accrualDates->fArray[1], /*(I)Coupon end */
accrualStart, /*(I)Accrue start*/
accrualDates->fArray[1], /*(I)Accrue End */
rate, /*(I) */
couponDayCountConv, /*(I) */
&cfl->fArray[1].fAmount) /*(O) */
== FAILURE)
goto done;
}
if ( backStub )
{
endIdx = numDates-2; /* For non-stub processing */
if (JpmcdsStubPayment(accrualDates->fArray[numDates-2], /*(I)Coup start*/
accrualDates->fArray[numDates-1], /*(I)Coupon end*/
accrualDates->fArray[numDates-2], /*(I)Accru start*/
accrualMaturity, /*(I)Accrue end*/
rate, /*(I)*/
couponDayCountConv, /*(I)*/
&cfl->fArray[numDates-1].fAmount) /*(O)*/
== FAILURE)
goto done;
}
/* Compute non-stub cashflows */
for (idx=startIdx; idx <= endIdx; idx++)
{
double yearFrac;
if (JpmcdsDayCountFraction(accrualDates->fArray[idx-1],
accrualDates->fArray[idx],
couponDayCountConv, &yearFrac) == FAILURE)
goto done;
cfl->fArray[idx].fAmount = rate * yearFrac;
}
status = SUCCESS;
done:
JpmcdsFreeDateList(datesCopy);
if (payDates != dates)
JpmcdsFreeDateList(payDates);
if (accrualDates != dates)
JpmcdsFreeDateList(accrualDates);
if (status == FAILURE)
{
JpmcdsFreeCFL(cfl);
return NULL;
}
return cfl;
}
