void DepositFileSource::insertRateIntoMap(std::string tenorStr, double liborRate, Market market, map<long, double>* depositRateMap, map<long, double>* overnightRateMap){
date startDate = dateUtil::dayRollAdjust(dateUtil::getToday(),enums::Following,market.getMarketEnum());
char tenorUnit = *tenorStr.rbegin();
int tenorNum = std::stoi(tenorStr.substr(0,tenorStr.size()-1)); // 2
if (tenorUnit != 'D')
startDate = dateUtil::getBizDateOffSet(startDate,market.getBusinessDaysAfterSpot(enums::SWAP),market.getMarketEnum()); // day after spot adjust
long JDN = dateUtil::getEndDate(startDate,tenorNum, market.getDayRollCashConvention(), market.getMarketEnum(), dateUtil::getDateUnit(tenorUnit)).getJudianDayNumber();
if (tenorUnit == 'D'){
overnightRateMap->insert(pair<long, double>(tenorNum, liborRate));
cout << market.getNameString()<< " -> tenor[" << tenorStr <<"], accrual start["<<startDate.toString()<<"], duration ["
<<tenorNum <<"], deposit rate["<< liborRate << "]"<<endl;
}else{
date accrualEndDate(JDN);
depositRateMap->insert(pair<long, double>(JDN, liborRate));
cout << market.getNameString()<< " -> tenor[" << tenorStr<<"], accrual start["<<startDate.toString()<<"], accrual end["
<<accrualEndDate.toString() <<"], deposit rate["<< liborRate << "]"<<endl;
}
}
Swap::Swap(date tradeDate, int tenorNumOfMonths, double notional, double couponRate, DiscountCurve* yc, Market fixLegCurr, Market floatingLegCurr, int paymentFreqFixLeg, int paymentFreqFloatingLeg, bool rollAccuralDates) {
setTradeDate(tradeDate);
setMaturityDate(dateUtil::getEndDate(tradeDate,tenorNumOfMonths,fixLegCurr.getDayRollSwapConvention(),fixLegCurr.getMarketEnum(),dateUtil::MONTH));
BuilderCashFlowLeg* fixLegs = new BuilderCashFlowLeg(enums::SWAP,tradeDate, tenorNumOfMonths,couponRate,notional, paymentFreqFixLeg, fixLegCurr.getMarketEnum());
BuilderCashFlowLeg* floatLegs= new BuilderCashFlowLeg(enums::SWAP,tradeDate, tenorNumOfMonths,yc,notional, paymentFreqFloatingLeg, floatingLegCurr.getMarketEnum());
_fixCashflowLeg=fixLegs->getCashFlowLeg();
_floatingCashflowLeg=floatLegs->getCashFlowLeg();
_yc=yc;
_fixLegCurr=fixLegCurr;
_floatingLegCurr=floatingLegCurr;
_paymentFreqFixLeg=paymentFreqFixLeg;
_paymentFreqFloatingLeg=paymentFreqFloatingLeg;
_tenorNumOfMonths=tenorNumOfMonths;
}
Swap::Swap(date tradeDate, date maturityDate, int tenorNumOfMonths, double notional, double couponRate, DiscountCurve* yc, Market fixLegCurr, Market floatingLegCurr, int paymentFreqFixLeg, int paymentFreqFloatingLeg, bool rollAccuralDates, int buildDirection) {
setTradeDate(tradeDate);
setMaturityDate(maturityDate);
BuilderCashFlowLeg* fixLegs = new BuilderCashFlowLeg(enums::SWAP, tradeDate, maturityDate, tenorNumOfMonths, couponRate, notional, paymentFreqFixLeg, fixLegCurr.getMarketEnum(), buildDirection);
BuilderCashFlowLeg* floatLegs = new BuilderCashFlowLeg(enums::SWAP, tradeDate, maturityDate, tenorNumOfMonths, yc ,notional, paymentFreqFloatingLeg, floatingLegCurr.getMarketEnum(), buildDirection);
_fixCashflowLeg=fixLegs->getCashFlowLeg();
_floatingCashflowLeg=floatLegs->getCashFlowLeg();
_yc=yc;
_fixLegCurr=fixLegCurr;
_floatingLegCurr=floatingLegCurr;
_paymentFreqFixLeg=paymentFreqFixLeg;
_paymentFreqFloatingLeg=paymentFreqFloatingLeg;
}