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

/*

 Copyright (C) 2014 Peter Caspers

 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 svismilesection.hpp

    \brief svi smile section

*/

#ifndef quantlib_svi_smile_section_hpp

#define quantlib_svi_smile_section_hpp

#include <ql/termstructures/volatility/smilesection.hpp>

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

#include <vector>

namespace QuantLib {

//! Stochastic Volatility Inspired Smile Section

/*! \test the correctness of the result is tested by checking it

          against known good values.

*/

class SviSmileSection : public SmileSection {

  public:

    //! \name Constructors

    //@{

    /*! @param timeToExpiry Time to expiry

        @param forward Forward price corresponding to the expiry date

        @param sviParameters Expects SVI parameters as a vector composed of a, b, sigma, rho, m

    */

    SviSmileSection(Time timeToExpiry, Rate forward, std::vector<Real> sviParameters);

    /*! @param d Date of expiry

        @param forward Forward price corresponding to the expiry date

        @param sviParameters Expects SVI parameters as a vector composed of a, b, sigma, rho, m

        @param dc Day count method used to compute the time to expiry

    */

    SviSmileSection(const Date& d,

                    Rate forward,

                    std::vector<Real> sviParameters,

                    const DayCounter& dc = Actual365Fixed());

    //@}

    Real minStrike() const override { return 0.0; }

    Real maxStrike() const override { return QL_MAX_REAL; }

    Real atmLevel() const override { return forward_; }

  protected:

    Volatility volatilityImpl(Rate strike) const override;

  private:

    void init();

    Rate forward_;

    std::vector<Real> params_;

};

}

#endif