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

/*

 Copyright (C) 2015 Johannes Göttker-Schnetmann

 Copyright (C) 2015 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 hestonslvprocess.hpp

    \brief Heston stochastic local volatility process

*/

#ifndef quantlib_heston_slv_process_hpp

#define quantlib_heston_slv_process_hpp

#include <ql/processes/hestonprocess.hpp>

#include <ql/termstructures/volatility/equityfx/localvoltermstructure.hpp>

namespace QuantLib {

    class HestonSLVProcess : public StochasticProcess {

      public:

        HestonSLVProcess(const ext::shared_ptr<HestonProcess>& hestonProcess,

                         ext::shared_ptr<LocalVolTermStructure> leverageFct,

                         Real mixingFactor = 1.0);

        Size size() const override { return Size(2); }

        Size factors() const override { return Size(2); }

        void update() override;

        Array initialValues() const override {

            return hestonProcess_->initialValues();

        }

        Array apply(const Array& x0, const Array& dx) const override {

            return hestonProcess_->apply(x0, dx);

        }

        Array drift(Time t, const Array& x) const override;

        Matrix diffusion(Time t, const Array& x) const override;

        Array evolve(Time t0, const Array& x0, Time dt, const Array& dw) const override;

        Real v0()    const { return v0_; }

        Real rho()   const { return rho_; }

        Real kappa() const { return kappa_; }

        Real theta() const { return theta_; }

        Real sigma() const { return sigma_; }

        Real mixingFactor() const { return mixingFactor_; }

        ext::shared_ptr<LocalVolTermStructure> leverageFct() const {

            return leverageFct_;

        }

        const Handle<Quote>& s0() const { return hestonProcess_->s0(); }

        const Handle<YieldTermStructure>& dividendYield() const {

            return hestonProcess_->dividendYield();

        }

        const Handle<YieldTermStructure>& riskFreeRate() const {

            return hestonProcess_->riskFreeRate();

        }

        Time time(const Date& d) const override { return hestonProcess_->time(d); }

      private:

        Real kappa_, theta_, sigma_, rho_, v0_, mixingFactor_, mixedSigma_;

        const ext::shared_ptr<HestonProcess> hestonProcess_;

        const ext::shared_ptr<LocalVolTermStructure> leverageFct_;

        void setParameters();

    };

}

#endif