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

/*

Copyright (C) 2010 Adrian O' Neill

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.

*/

#include <ql/experimental/variancegamma/variancegammamodel.hpp>

#include <ql/quotes/simplequote.hpp>

#include <ql/shared_ptr.hpp>

namespace QuantLib {

    VarianceGammaModel::VarianceGammaModel(

        const ext::shared_ptr<VarianceGammaProcess> & process)

        : CalibratedModel(3), process_(process) {

            arguments_[0] = ConstantParameter(process->sigma(),

                PositiveConstraint());

            arguments_[1] = ConstantParameter(process->nu(),

                PositiveConstraint());

            arguments_[2] = ConstantParameter(process->theta(),

                NoConstraint());

            VarianceGammaModel::generateArguments();

            registerWith(process_->riskFreeRate());

            registerWith(process_->dividendYield());

            registerWith(process_->s0());

    }

Unexecuted instantiation: QuantLib::VarianceGammaModel::VarianceGammaModel(boost::shared_ptr<QuantLib::VarianceGammaProcess> const&)

Unexecuted instantiation: QuantLib::VarianceGammaModel::VarianceGammaModel(boost::shared_ptr<QuantLib::VarianceGammaProcess> const&)

    void VarianceGammaModel::generateArguments() {

        process_ = ext::make_shared<VarianceGammaProcess>(process_->s0(),

            process_->dividendYield(),

            process_->riskFreeRate(),

            sigma(), nu(), theta());

    }

}