QPR-9859 bugfix

Author: mgroncki

OREData/ored/utilities/dategrid.cpp

@@ -227,7 +227,7 @@ void DateGrid::addCloseOutDates(const QuantLib::Period& p) {
                 c = calendar_.adjust(dates_[i] + p);
             else
                 c = calendar_.advance(dates_[i], p, Following, false);
-            closeOutDates_[c] = dates_[i];
+            closeOutToValuation_[c] = dates_[i];
             tmpDates.insert(dates_[i]);
             tmpDates.insert(c);
             tmpValueDates.insert(dates_[i]);
@@ -238,7 +238,7 @@ void DateGrid::addCloseOutDates(const QuantLib::Period& p) {
         isValuationDate_ = std::vector<bool>(dates_.size(), true);
         for(size_t i = 0; i < dates_.size(); ++i){
             Date d = dates_[i];
-            if(closeOutDates_.count(d) == 1){
+            if(closeOutToValuation_.count(d) == 1){
                 isCloseOutDate_[i] = true;
             }
             if(tmpValueDates.count(d) == 0){

OREData/ored/utilities/dategrid.hpp

@@ -22,7 +22,7 @@
 */
 
 #pragma once
-
+#include <map>
 #include <ql/time/calendars/target.hpp>
 #include <ql/time/daycounters/actualactual.hpp>
 #include <ql/timegrid.hpp>
@@ -103,8 +103,8 @@ class DateGrid {
 
     //! Given a close out date it returns the corresponding value date
     QuantLib::Date valuationDateFromCloseOutDate(const QuantLib::Date& closeOutDate) const { 
-        auto it = closeOutDates_.find(closeOutDate);
-        QL_REQUIRE(it != closeOutDates_.end(), "close out date " << closeOutDate << " not found in dategrid");
+        auto it = closeOutToValuation_.find(closeOutDate);
+        QL_REQUIRE(it != closeOutToValuation_.end(), "close out date " << closeOutDate << " not found in dategrid");
         return it->second;
     }
     //@}
@@ -121,7 +121,7 @@ class DateGrid {
     QuantLib::Calendar calendar_;
     QuantLib::DayCounter dayCounter_;
     std::vector<QuantLib::Date> dates_;
-    std::map<QuantLib::Date, QuantLib::Date> closeOutDates_;
+    std::map<QuantLib::Date, QuantLib::Date> closeOutToValuation_;
     std::vector<QuantLib::Period> tenors_;
     std::vector<QuantLib::Time> times_;
     QuantLib::TimeGrid timeGrid_;