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

/*

 Copyright (C) 2008 Andreas Gaida

 Copyright (C) 2008, 2009 Ralph Schreyer

 Copyright (C) 2008, 2009 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.

*/

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

#include <ql/methods/finitedifferences/solvers/fdm1dimsolver.hpp>

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

#include <ql/processes/blackscholesprocess.hpp>

#include <utility>

namespace QuantLib {

    FdmBlackScholesSolver::FdmBlackScholesSolver(Handle<GeneralizedBlackScholesProcess> process,

                                                 Real strike,

                                                 FdmSolverDesc solverDesc,

                                                 const FdmSchemeDesc& schemeDesc,

                                                 bool localVol,

                                                 Real illegalLocalVolOverwrite,

                                                 Handle<FdmQuantoHelper> quantoHelper)

    : process_(std::move(process)), strike_(strike), solverDesc_(std::move(solverDesc)),

      schemeDesc_(schemeDesc), localVol_(localVol),

      illegalLocalVolOverwrite_(illegalLocalVolOverwrite), quantoHelper_(std::move(quantoHelper)) {

        registerWith(process_);

        registerWith(quantoHelper_);

    }

Unexecuted instantiation: QuantLib::FdmBlackScholesSolver::FdmBlackScholesSolver(QuantLib::Handle<QuantLib::GeneralizedBlackScholesProcess>, double, QuantLib::FdmSolverDesc, QuantLib::FdmSchemeDesc const&, bool, double, QuantLib::Handle<QuantLib::FdmQuantoHelper>)

Unexecuted instantiation: QuantLib::FdmBlackScholesSolver::FdmBlackScholesSolver(QuantLib::Handle<QuantLib::GeneralizedBlackScholesProcess>, double, QuantLib::FdmSolverDesc, QuantLib::FdmSchemeDesc const&, bool, double, QuantLib::Handle<QuantLib::FdmQuantoHelper>)

    void FdmBlackScholesSolver::performCalculations() const {

            const ext::shared_ptr<FdmBlackScholesOp> op(

            ext::make_shared<FdmBlackScholesOp>(

                solverDesc_.mesher, process_.currentLink(), strike_,

                localVol_, illegalLocalVolOverwrite_, 0,

                (quantoHelper_.empty())

                    ? ext::shared_ptr<FdmQuantoHelper>()

                    : quantoHelper_.currentLink()));

        solver_ = ext::make_shared<Fdm1DimSolver>(solverDesc_, schemeDesc_, op);

    }

    Real FdmBlackScholesSolver::valueAt(Real s) const {

        calculate();

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

    }

    Real FdmBlackScholesSolver::deltaAt(Real s) const {

        calculate();

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

    }

    Real FdmBlackScholesSolver::gammaAt(Real s) const {

        calculate();

        return (solver_->derivativeXX(std::log(s))

                -solver_->derivativeX(std::log(s)))/(s*s);

    }

    Real FdmBlackScholesSolver::thetaAt(Real s) const {

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

    }

}