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

/*

 Copyright (C) 2015 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 gsrprocesscore.hpp

    \brief Core computations for the gsr process in risk neutral

           and T-forward measure.

    \warning Results are cached for performance reasons, so if

             parameters change, you need to call flushCache() to

             avoid inconsistent results.

*/

#ifndef quantlib_gsr_process_core_hpp

#define quantlib_gsr_process_core_hpp

#include <ql/math/array.hpp>

#include <ql/math/comparison.hpp>

#include <map>

namespace QuantLib::detail {

class GsrProcessCore {

  public:

    GsrProcessCore(const Array& times, const Array& vols, const Array& reversions, Real T = 60.0);

    // conditional expectation, x0 dependent part

    Real expectation_x0dep_part(Time w, Real xw, Time dt) const;

    // conditional expectation, x0 independent part

    // in the risk neutral measure

    Real expectation_rn_part(Time w, Time dt) const;

    // conditional expectation, drift adjustment for

    // the T-forward measure

    Real expectation_tf_part(Time w, Time dt) const;

    // conditional variance

    Real variance(Time w, Time dt) const;

    // y(t)

    Real y(Time t) const;

    // G(t,w)

    Real G(Time t, Time w) const;

    // sigma

    Real sigma(Time t) const;

    // reversion

    Real reversion(Time t) const;

    // reset cache

    void flushCache() const;

  protected:

    const Array &times_, &vols_, &reversions_;

  private:

    int lowerIndex(Time t) const;

    int upperIndex(Time t) const;

    Real time2(Size index) const;

    Real cappedTime(Size index, Real cap = Null<Real>()) const;

    Real flooredTime(Size index, Real floor = Null<Real>()) const;

    Real vol(Size index) const;

    Real rev(Size index) const;

    bool revZero(Size index) const;

    mutable std::map<std::pair<Real, Real>, Real> cache1_, cache2a_, cache2b_,

        cache3_, cache5_;

    mutable std::map<Real, Real> cache4_;

    Time T_;

    mutable std::vector<bool> revZero_;

}; // GsrProcessCore

// inline definitions

inline Real GsrProcessCore::sigma(const Time t) const {

    return vol(lowerIndex(t));

}

inline Real GsrProcessCore::reversion(const Time t) const {

    return rev(lowerIndex(t));

}

} // namespace QuantLib

#endif