コード例 #1
0
 /// <summary>
 /// Initializes a new instance of the <see cref="RateAssetQuote"/> 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="dfs">The discount factors.</param>
 /// <param name="baseCurve">The base curve i.e. the OIS discount curve.</param>
 /// <param name="tolerance">The tolerance.</param>
 public ClearedRateAssetQuote(IPriceableClearedRateAssetController priceableAsset, DateTime baseDate, InterpolationMethod interpolation,
                              bool extrapolation, IDictionary <DateTime, double> dfs, IInterpolatedSpace baseCurve, double tolerance)
 {
     PriceableClearedRateAsset = priceableAsset;
     BaseCurve           = baseCurve;
     BaseDate            = baseDate;
     Dfs                 = dfs;
     InterpolationMethod = interpolation;
     Extrapolation       = extrapolation;
     Tolerance           = tolerance;
     Quote               = MarketQuoteHelper.NormalisePriceUnits(priceableAsset.MarketQuote, "DecimalRate").value;
 }
コード例 #2
0
 /// <summary>
 /// Initializes a new instance of the <see cref="RateAssetQuote"/> 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="dfs">The discount factors.</param>
 /// <param name="baseCurve">The base curve i.e. the OIS discount curve.</param>
 public ClearedRateAssetQuote(IPriceableClearedRateAssetController priceableAsset, DateTime baseDate, InterpolationMethod interpolation,
                              bool extrapolation, IDictionary <DateTime, double> dfs, IInterpolatedSpace baseCurve)
     : this(priceableAsset, baseDate, interpolation, extrapolation, dfs, baseCurve, DefaultTolerance)
 {
 }