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

/*

 Copyright (C) 2010, 2011 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 fdmbatessolver.cpp

*/

#include <ql/methods/finitedifferences/operators/fdmbatesop.hpp>

#include <ql/methods/finitedifferences/solvers/fdm2dimsolver.hpp>

#include <ql/methods/finitedifferences/solvers/fdmbatessolver.hpp>

#include <ql/processes/batesprocess.hpp>

#include <utility>

namespace QuantLib {

    FdmBatesSolver::FdmBatesSolver(Handle<BatesProcess> process,

                                   FdmSolverDesc solverDesc,

                                   const FdmSchemeDesc& schemeDesc,

                                   Size integroIntegrationOrder,

                                   Handle<FdmQuantoHelper> quantoHelper)

    : process_(std::move(process)), solverDesc_(std::move(solverDesc)), schemeDesc_(schemeDesc),

      integroIntegrationOrder_(integroIntegrationOrder), quantoHelper_(std::move(quantoHelper)) {

        registerWith(process_);

        registerWith(quantoHelper_);

    }

Unexecuted instantiation: QuantLib::FdmBatesSolver::FdmBatesSolver(QuantLib::Handle<QuantLib::BatesProcess>, QuantLib::FdmSolverDesc, QuantLib::FdmSchemeDesc const&, unsigned long, QuantLib::Handle<QuantLib::FdmQuantoHelper>)

Unexecuted instantiation: QuantLib::FdmBatesSolver::FdmBatesSolver(QuantLib::Handle<QuantLib::BatesProcess>, QuantLib::FdmSolverDesc, QuantLib::FdmSchemeDesc const&, unsigned long, QuantLib::Handle<QuantLib::FdmQuantoHelper>)

    void FdmBatesSolver::performCalculations() const {

        ext::shared_ptr<FdmLinearOpComposite> op(

            new FdmBatesOp(solverDesc_.mesher, process_.currentLink(),

                           solverDesc_.bcSet, integroIntegrationOrder_,

                           (!quantoHelper_.empty()) 

                                   ? quantoHelper_.currentLink()

                                   : ext::shared_ptr<FdmQuantoHelper>()));

        solver_ = ext::make_shared<Fdm2DimSolver>(

                               solverDesc_, schemeDesc_, op);

    }

    Real FdmBatesSolver::valueAt(Real s, Real v) const {

        calculate();

        return solver_->interpolateAt(std::log(s), v);

    }

    Real FdmBatesSolver::deltaAt(Real s, Real v) const {

        calculate();

        return solver_->derivativeX(std::log(s), v)/s;

    }

    Real FdmBatesSolver::gammaAt(Real s, Real v) const {

        calculate();

        const Real x = std::log(s);

        return (solver_->derivativeXX(x, v)-solver_->derivativeX(x, v))/(s*s);

    }

    Real FdmBatesSolver::thetaAt(Real s, Real v) const {

        calculate();

        return solver_->thetaAt(std::log(s), v);

    }

}