/// <summary>
/// Initializes a new instance of the <see cref="CapFloorAssetQuote"/> class.
/// </summary>
/// <param name="priceableAsset">The priceable asset.</param>
/// <param name="baseDate">The base date.</param>
/// <param name="interpolation">The interpolation.</param>
/// <param name="extrapolation">if set to <c>true</c> [extrapolation].</param>
/// <param name="vols">The volatilities.</param>
/// <param name="tolerance">The tolerance.</param>
/// <param name="discountCurve">The discount rate curve.</param>
/// <param name="forecastCurve">The forecast rate curve.</param>
public CapFloorAssetQuote(PriceableCapRateAsset priceableAsset, IRateCurve discountCurve, IRateCurve forecastCurve,
DateTime baseDate, InterpolationMethod interpolation, bool extrapolation, IDictionary <DateTime, Decimal> vols, double tolerance)
{
PriceableAsset = priceableAsset;
PriceableAsset.DiscountCurve = discountCurve;
PriceableAsset.ForecastCurve = forecastCurve;
BaseDate = baseDate;
Vols = vols;
InterpolationMethod = interpolation;
Extrapolation = extrapolation;
Tolerance = tolerance;
//This is the flat volatility.
var premium = PriceableAsset.CalculatePremium();
if (premium != null)
{
Quote = (decimal)premium;
}
}
/// <summary>
/// Initializes a new instance of the <see cref="CapFloorAssetQuote"/> class.
/// </summary>
/// <param name="priceableAsset">The priceable asset.</param>
/// <param name="forecastCurve">The forecast rate curve.</param>
/// <param name="baseDate">The base date.</param>
/// <param name="interpolation">The interpolation.</param>
/// <param name="extrapolation">if set to <c>true</c> [extrapolation].</param>
/// <param name="vols">The volatilities.</param>
/// <param name="discountCurve">The discount rate curve.</param>
public CapFloorAssetQuote(PriceableCapRateAsset priceableAsset,
IRateCurve discountCurve, IRateCurve forecastCurve, DateTime baseDate,
InterpolationMethod interpolation, bool extrapolation, IDictionary <DateTime, Decimal> vols)
: this(priceableAsset, discountCurve, forecastCurve, baseDate, interpolation, extrapolation, vols, DefaultTolerance)
{
}
