/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */

/*

 Copyright (C) 2015 Johannes Göttker-Schnetmann

 Copyright (C) 2015 Klaus Spanderen

 This file is part of QuantLib, a free-software/open-source library

 for financial quantitative analysts and developers - http://quantlib.org/

 QuantLib is free software: you can redistribute it and/or modify it

 under the terms of the QuantLib license.  You should have received a

 copy of the license along with this program; if not, please email

 <quantlib-dev@lists.sf.net>. The license is also available online at

 <http://quantlib.org/license.shtml>.

 This program is distributed in the hope that it will be useful, but WITHOUT

 ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS

 FOR A PARTICULAR PURPOSE.  See the license for more details.

*/

/*! \file fixedlocalvolsurface.hpp

    \brief Local volatility surface based on fixed values plus interpolation

*/

#ifndef quantlib_fixed_local_vol_surface_hpp

#define quantlib_fixed_local_vol_surface_hpp

#include <ql/math/matrix.hpp>

#include <ql/math/interpolation.hpp>

#include <ql/math/interpolations/linearinterpolation.hpp>

#include <ql/termstructures/volatility/equityfx/localvoltermstructure.hpp>

namespace QuantLib {

    class FixedLocalVolSurface : public LocalVolTermStructure {

      public:

        enum Extrapolation { ConstantExtrapolation,

                             InterpolatorDefaultExtrapolation };

        FixedLocalVolSurface(const Date& referenceDate,

                             const std::vector<Date>& dates,

                             const std::vector<Real>& strikes,

                             ext::shared_ptr<Matrix> localVolMatrix,

                             const DayCounter& dayCounter,

                             Extrapolation lowerExtrapolation = ConstantExtrapolation,

                             Extrapolation upperExtrapolation = ConstantExtrapolation);

        FixedLocalVolSurface(const Date& referenceDate,

                             const std::vector<Time>& times,

                             const std::vector<Real>& strikes,

                             ext::shared_ptr<Matrix> localVolMatrix,

                             const DayCounter& dayCounter,

                             Extrapolation lowerExtrapolation = ConstantExtrapolation,

                             Extrapolation upperExtrapolation = ConstantExtrapolation);

        FixedLocalVolSurface(const Date& referenceDate,

                             const std::vector<Time>& times,

                             const std::vector<ext::shared_ptr<std::vector<Real> > >& strikes,

                             ext::shared_ptr<Matrix> localVolMatrix,

                             const DayCounter& dayCounter,

                             Extrapolation lowerExtrapolation = ConstantExtrapolation,

                             Extrapolation upperExtrapolation = ConstantExtrapolation);

        Date maxDate() const override;

        Time maxTime() const override;

        Real minStrike() const override;

        Real maxStrike() const override;

        template <class Interpolator>

        void setInterpolation(const Interpolator& i = Interpolator()) {

            for (Size j=0; j < times_.size(); ++j) {

                localVolInterpol_[j] = i.interpolate(

                    strikes_[j]->begin(), strikes_[j]->end(),

                    localVolMatrix_->column_begin(j));

            }

            notifyObservers();

        }

      protected:

        Volatility localVolImpl(Time t, Real strike) const override;

        const Date maxDate_;

        std::vector<Time> times_;

        const ext::shared_ptr<Matrix> localVolMatrix_;

        const std::vector<ext::shared_ptr<std::vector<Real> > > strikes_;

        std::vector<Interpolation> localVolInterpol_;

        Extrapolation lowerExtrapolation_, upperExtrapolation_;

      private:

        void checkSurface();

    };

}

#endif