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

/*

 Copyright (C) 2007 Cristina Duminuco

 Copyright (C) 2007 Ferdinando Ametrano

 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 abcdatmvolcurve.hpp

    \brief Abcd-interpolated at-the-money (no-smile) interest rate vol curve

*/

#ifndef quantlib_abcd_atm_vol_curve_hpp

#define quantlib_abcd_atm_vol_curve_hpp

#include <ql/experimental/volatility/blackatmvolcurve.hpp>

#include <ql/patterns/lazyobject.hpp>

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

#include <ql/time/daycounters/actual365fixed.hpp>

namespace QuantLib {

    class Quote;

    //! Abcd-interpolated at-the-money (no-smile) volatility curve

    /*! blah blah

    */

    class AbcdAtmVolCurve : public BlackAtmVolCurve,

                            public LazyObject {

      public:

        //! floating reference date, floating market data

        AbcdAtmVolCurve(Natural settlementDays,

                        const Calendar& cal,

                        const std::vector<Period>& optionTenors,

                        const std::vector<Handle<Quote> >& volsHandles,

                        std::vector<bool> inclusionInInterpolationFlag = std::vector<bool>(1, true),

                        BusinessDayConvention bdc = Following,

                        const DayCounter& dc = Actual365Fixed());

        //! Returns k adjustment factors for option tenors used in interpolation

        std::vector<Real> k() const;

        //! Returns k adjustment factor at time t

        Real k(Time t) const;

        Real a() const;

        Real b() const;

        Real c() const;

        Real d() const;

        Real rmsError() const;

        Real maxError() const;

        EndCriteria::Type endCriteria() const;

        //! \name TermStructure interface

        //@{

        Date maxDate() const override;

        //@}

        //! \name VolatilityTermStructure interface

        //@{

        Real minStrike() const override;

        Real maxStrike() const override;

        //@}

        //! \name LazyObject interface

        //@{

        void update() override;

        void performCalculations() const override;

        //@}

        //! \name some inspectors

        //@{

        const std::vector<Period>& optionTenors() const;

        const std::vector<Period>& optionTenorsInInterpolation() const;

        const std::vector<Date>& optionDates() const;

        const std::vector<Time>& optionTimes() const;

        //@}

        //! \name Visitability

        //@{

        void accept(AcyclicVisitor&) override;

        //@}

      protected:

        //! \name BlackAtmVolCurve interface

        //@{

        //! spot at-the-money variance calculation (k adjusted)

        Real atmVarianceImpl(Time t) const override;

        //! spot at-the-money volatility calculation (k adjusted)

        Volatility atmVolImpl(Time t) const override;

        //@}

      private:

        void checkInputs() const;

        void initializeOptionDatesAndTimes() const;

        void initializeVolatilities();

        void registerWithMarketData();

        void interpolate();

        Size nOptionTenors_;

        std::vector<Period> optionTenors_;

        mutable std::vector<Period> actualOptionTenors_;

        mutable std::vector<Date> optionDates_;

        mutable std::vector<Time> optionTimes_;

        mutable std::vector<Time> actualOptionTimes_;

        Date evaluationDate_;

        std::vector<Handle<Quote> > volHandles_;

        mutable std::vector<Volatility> vols_;

        mutable std::vector<Volatility> actualVols_;

        mutable std::vector<bool> inclusionInInterpolation_;

        ext::shared_ptr<AbcdInterpolation> interpolation_;

    };

    // inline

    inline Date AbcdAtmVolCurve::maxDate() const {

        calculate();

        return optionDateFromTenor(optionTenors_.back());

    }

    inline Real AbcdAtmVolCurve::minStrike() const {

        return QL_MIN_REAL;

    }

    inline Real AbcdAtmVolCurve::maxStrike() const {

        return QL_MAX_REAL;

    }

    inline Real AbcdAtmVolCurve::atmVarianceImpl(Time t) const {

        Volatility vol = atmVolImpl(t);

        return vol*vol*t;

    }

    inline Volatility AbcdAtmVolCurve::atmVolImpl(Time t) const {

        calculate();

        return k(t) * (*interpolation_)(t, true);

    }

    inline const std::vector<Period>& AbcdAtmVolCurve::optionTenors() const {

         return optionTenors_;

    }

    inline const std::vector<Period>& AbcdAtmVolCurve::optionTenorsInInterpolation() const {

        return actualOptionTenors_;

    }

    inline

    const std::vector<Date>& AbcdAtmVolCurve::optionDates() const {

        return optionDates_;

    }

    inline

    const std::vector<Time>& AbcdAtmVolCurve::optionTimes() const {

        return optionTimes_;

    }

    inline

    std::vector<Real> AbcdAtmVolCurve::k() const {

        return interpolation_->k();

    }

    inline

    Real AbcdAtmVolCurve::k(Time t) const {

        return interpolation_->k(t,actualOptionTimes_.begin(),actualOptionTimes_.end());

    }

    inline Real AbcdAtmVolCurve::a() const {

        return interpolation_->a();

    }

    inline Real AbcdAtmVolCurve::b() const {

        return interpolation_->b();

    }

    inline Real AbcdAtmVolCurve::c() const {

        return interpolation_->c();

    }

    inline Real AbcdAtmVolCurve::d() const {

        return interpolation_->d();

    }

    inline Real AbcdAtmVolCurve::rmsError() const {

        return interpolation_->rmsError();

    }

    inline Real AbcdAtmVolCurve::maxError() const {

        return interpolation_->maxError();

    }

    inline EndCriteria::Type AbcdAtmVolCurve::endCriteria() const { 

        return interpolation_->endCriteria();

    }

}

#endif