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

/*

 Copyright (C) 2007 Ferdinando Ametrano

 Copyright (C) 2007 Cristina Duminuco

 Copyright (C) 2007 Giorgio Facchinetti

 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 abcdinterpolation.hpp

    \brief Abcd interpolation interpolation between discrete points

*/

#ifndef quantlib_abcd_interpolation_hpp

#define quantlib_abcd_interpolation_hpp

#include <ql/math/interpolation.hpp>

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

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

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

#include <utility>

namespace QuantLib {

    class EndCriteria;

    class OptimizationMethod;

    namespace detail {

        class AbcdCoeffHolder {

          public:

            AbcdCoeffHolder(Real a,

                            Real b,

                            Real c,

                            Real d,

                            bool aIsFixed,

                            bool bIsFixed,

                            bool cIsFixed,

                            bool dIsFixed)

            : a_(a), b_(b), c_(c), d_(d),

              error_(Null<Real>()), maxError_(Null<Real>()) {

                if (a_ != Null<Real>())

                    aIsFixed_ = aIsFixed;

                else a_ = -0.06;

                if (b_ != Null<Real>())

                    bIsFixed_ = bIsFixed;

                else b_ = 0.17;

                if (c_ != Null<Real>())

                    cIsFixed_ = cIsFixed;

                else c_ = 0.54;

                if (d_ != Null<Real>())

                    dIsFixed_ = dIsFixed;

                else d_ = 0.17;

                AbcdMathFunction::validate(a, b, c, d);

            }

            virtual ~AbcdCoeffHolder() = default;

            Real a_, b_, c_, d_;

            bool aIsFixed_ = false, bIsFixed_ = false, cIsFixed_ = false, dIsFixed_ = false;

            std::vector<Real> k_;

            Real error_, maxError_;

            EndCriteria::Type abcdEndCriteria_ = EndCriteria::None;

        };

        template <class I1, class I2>

        class AbcdInterpolationImpl final : public Interpolation::templateImpl<I1,I2>,

                                            public AbcdCoeffHolder {

          public:

            AbcdInterpolationImpl(const I1& xBegin,

                                  const I1& xEnd,

                                  const I2& yBegin,

                                  Real a,

                                  Real b,

                                  Real c,

                                  Real d,

                                  bool aIsFixed,

                                  bool bIsFixed,

                                  bool cIsFixed,

                                  bool dIsFixed,

                                  bool vegaWeighted,

                                  ext::shared_ptr<EndCriteria> endCriteria,

                                  ext::shared_ptr<OptimizationMethod> optMethod)

            : Interpolation::templateImpl<I1, I2>(xBegin, xEnd, yBegin),

              AbcdCoeffHolder(a, b, c, d, aIsFixed, bIsFixed, cIsFixed, dIsFixed),

              endCriteria_(std::move(endCriteria)), optMethod_(std::move(optMethod)),

              vegaWeighted_(vegaWeighted) {}

            void update() override {

                auto x = this->xBegin_;

                auto y = this->yBegin_;

                std::vector<Real> times, blackVols;

                for ( ; x!=this->xEnd_; ++x, ++y) {

                    times.push_back(*x);

                    blackVols.push_back(*y);

                }

                abcdCalibrator_ = ext::shared_ptr<AbcdCalibration>(

                    new AbcdCalibration(times, blackVols,

                                        a_, b_, c_, d_,

                                        aIsFixed_, bIsFixed_,

                                        cIsFixed_, dIsFixed_,

                                        vegaWeighted_,

                                        endCriteria_,

                                        optMethod_));

                abcdCalibrator_->compute();

                a_ = abcdCalibrator_->a();

                b_ = abcdCalibrator_->b();

                c_ = abcdCalibrator_->c();

                d_ = abcdCalibrator_->d();

                k_ = abcdCalibrator_->k(times, blackVols);

                error_ = abcdCalibrator_->error();

                maxError_ = abcdCalibrator_->maxError();

                abcdEndCriteria_ = abcdCalibrator_->endCriteria();

            }

            Real value(Real x) const override {

                QL_REQUIRE(x>=0.0, "time must be non negative: " <<

                                   x << " not allowed");

                return abcdCalibrator_->value(x);

            }

            Real primitive(Real) const override { QL_FAIL("Abcd primitive not implemented"); }

            Real derivative(Real) const override { QL_FAIL("Abcd derivative not implemented"); }

            Real secondDerivative(Real) const override {

                QL_FAIL("Abcd secondDerivative not implemented");

            }

            Real k(Time t) const {

                LinearInterpolation li(this->xBegin_, this->xEnd_, this->yBegin_);

                return li(t);

            }

          private:

            const ext::shared_ptr<EndCriteria> endCriteria_;

            const ext::shared_ptr<OptimizationMethod> optMethod_;

            bool vegaWeighted_;

            ext::shared_ptr<AbcdCalibration> abcdCalibrator_;

        };

    }

    //! %Abcd interpolation between discrete points.

    /*! \ingroup interpolations

        \warning See the Interpolation class for information about the

                 required lifetime of the underlying data.

    */

    class AbcdInterpolation : public Interpolation {

      public:

        /*! Constructor */

        template <class I1, class I2>

        AbcdInterpolation(const I1& xBegin,  // x = times

                          const I1& xEnd,

                          const I2& yBegin,  // y = volatilities

                          Real a = -0.06,

                          Real b =  0.17,

                          Real c =  0.54,

                          Real d =  0.17,

                          bool aIsFixed = false,

                          bool bIsFixed = false,

                          bool cIsFixed = false,

                          bool dIsFixed = false,

                          bool vegaWeighted = false,

                          const ext::shared_ptr<EndCriteria>& endCriteria

                              = ext::shared_ptr<EndCriteria>(),

                          const ext::shared_ptr<OptimizationMethod>& optMethod

                              = ext::shared_ptr<OptimizationMethod>()) {

            impl_ = ext::shared_ptr<Interpolation::Impl>(new

                detail::AbcdInterpolationImpl<I1,I2>(xBegin, xEnd, yBegin,

                                                     a, b, c, d,

                                                     aIsFixed, bIsFixed,

                                                     cIsFixed, dIsFixed,

                                                     vegaWeighted,

                                                     endCriteria,

                                                     optMethod));

            impl_->update();

        }

        //! \name Inspectors

        //@{

        Real a() const { return coeffs().a_; }

        Real b() const { return coeffs().b_; }

        Real c() const { return coeffs().c_; }

        Real d() const { return coeffs().d_; }

        std::vector<Real> k() const { return coeffs().k_; }

        Real rmsError() const { return coeffs().error_; }

        Real maxError() const { return coeffs().maxError_; }

        EndCriteria::Type endCriteria(){ return coeffs().abcdEndCriteria_; }

        template <class I1>

        Real k(Time t, const I1& xBegin, const I1& xEnd) const {

            LinearInterpolation li(xBegin, xEnd, (coeffs().k_).begin());

            return li(t);

        }

      private:

        const detail::AbcdCoeffHolder& coeffs() const {

          return *dynamic_cast<detail::AbcdCoeffHolder*>(impl_.get());

        }

    };

    //! %Abcd interpolation factory and traits

    /*! \ingroup interpolations */

    class Abcd {

      public:

        Abcd(Real a,

             Real b,

             Real c,

             Real d,

             bool aIsFixed,

             bool bIsFixed,

             bool cIsFixed,

             bool dIsFixed,

             bool vegaWeighted = false,

             ext::shared_ptr<EndCriteria> endCriteria = ext::shared_ptr<EndCriteria>(),

             ext::shared_ptr<OptimizationMethod> optMethod = ext::shared_ptr<OptimizationMethod>())

        : a_(a), b_(b), c_(c), d_(d), aIsFixed_(aIsFixed), bIsFixed_(bIsFixed), cIsFixed_(cIsFixed),

          dIsFixed_(dIsFixed), vegaWeighted_(vegaWeighted), endCriteria_(std::move(endCriteria)),

          optMethod_(std::move(optMethod)) {}

        template <class I1, class I2>

        Interpolation interpolate(const I1& xBegin, const I1& xEnd,

                                  const I2& yBegin) const {

            return AbcdInterpolation(xBegin, xEnd, yBegin,

                                     a_, b_, c_, d_,

                                     aIsFixed_, bIsFixed_,

                                     cIsFixed_, dIsFixed_,

                                     vegaWeighted_,

                                     endCriteria_, optMethod_);

        }

        static const bool global = true;

      private:

        Real a_, b_, c_, d_;

        bool aIsFixed_, bIsFixed_, cIsFixed_, dIsFixed_;

        bool vegaWeighted_;

        const ext::shared_ptr<EndCriteria> endCriteria_;

        const ext::shared_ptr<OptimizationMethod> optMethod_;

    };

}

#endif