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

/*

 Copyright (C) 2008 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/processes/batesprocess.hpp>

#include <ql/math/distributions/normaldistribution.hpp>

#include <ql/math/distributions/poissondistribution.hpp>

namespace QuantLib {

    BatesProcess::BatesProcess(

                              const Handle<YieldTermStructure>& riskFreeRate,

                              const Handle<YieldTermStructure>& dividendYield,

                              const Handle<Quote>& s0,

                              Real v0, Real kappa,

                              Real theta, Real sigma, Real rho,

                              Real lambda, Real nu, Real delta, 

                              HestonProcess::Discretization d)

    : HestonProcess(riskFreeRate, dividendYield, 

                    s0, v0, kappa, theta, sigma, rho, d),

      lambda_(lambda), delta_(delta), nu_(nu),

      m_(std::exp(nu+0.5*delta*delta)-1) {

    }

    Array BatesProcess::drift(Time t, const Array& x) const {

        Array retVal = HestonProcess::drift(t, x);

        retVal[0] -= lambda_*m_;

        return retVal;

    }

    Array BatesProcess::evolve(Time t0, const Array& x0,

                               Time dt, const Array& dw) const {

        const Size hestonFactors = HestonProcess::factors();

        Real p = cumNormalDist_(dw[hestonFactors]);

        if (p<0.0)

            p = 0.0;

        else if (p >= 1.0)

            p = 1.0-QL_EPSILON;

        const Real n = InverseCumulativePoisson(lambda_*dt)(p);        

        Array retVal = HestonProcess::evolve(t0, x0, dt, dw);

        retVal[0] *= 

            std::exp(-lambda_*m_*dt + nu_*n+delta_*std::sqrt(n)*dw[hestonFactors+1]);

        return retVal;

    }

    Size BatesProcess::factors() const {

        return HestonProcess::factors() + 2;

    }

    Real BatesProcess::lambda() const {

        return lambda_;

    }

    Real BatesProcess::nu() const {

        return nu_;

    }

    Real BatesProcess::delta() const {

        return delta_;

    }

}