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

/*

 Copyright (C) 2009 Ferdinando Ametrano

 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 interpolatedsurvivalprobabilitycurve.hpp

    \brief interpolated survival-probability term structure

*/

#ifndef quantlib_interpolated_survival_probability_curve_hpp

#define quantlib_interpolated_survival_probability_curve_hpp

#include <ql/termstructures/credit/survivalprobabilitystructure.hpp>

#include <ql/termstructures/interpolatedcurve.hpp>

#include <utility>

namespace QuantLib {

    //! DefaultProbabilityTermStructure based on interpolation of survival probabilities

    /*! \ingroup defaultprobabilitytermstructures */

    template <class Interpolator>

    class InterpolatedSurvivalProbabilityCurve

        : public SurvivalProbabilityStructure,

          protected InterpolatedCurve<Interpolator> {

      public:

        InterpolatedSurvivalProbabilityCurve(

            const std::vector<Date>& dates,

            const std::vector<Probability>& probabilities,

            const DayCounter& dayCounter,

            const Calendar& calendar = Calendar(),

            const std::vector<Handle<Quote> >& jumps = {},

            const std::vector<Date>& jumpDates = {},

            const Interpolator& interpolator = {});

        InterpolatedSurvivalProbabilityCurve(

            const std::vector<Date>& dates,

            const std::vector<Probability>& probabilities,

            const DayCounter& dayCounter,

            const Calendar& calendar,

            const Interpolator& interpolator);

        InterpolatedSurvivalProbabilityCurve(

            const std::vector<Date>& dates,

            const std::vector<Probability>& probabilities,

            const DayCounter& dayCounter,

            const Interpolator& interpolator);

        //! \name TermStructure interface

        //@{

        Date maxDate() const override;

        //@}

        //! \name other inspectors

        //@{

        const std::vector<Time>& times() const;

        const std::vector<Date>& dates() const;

        const std::vector<Real>& data() const;

        const std::vector<Probability>& survivalProbabilities() const;

        std::vector<std::pair<Date, Real> > nodes() const;

        //@}

      protected:

        InterpolatedSurvivalProbabilityCurve(

            const DayCounter&,

            const std::vector<Handle<Quote> >& jumps = {},

            const std::vector<Date>& jumpDates = {},

            const Interpolator& interpolator = {});

        InterpolatedSurvivalProbabilityCurve(

            const Date& referenceDate,

            const DayCounter&,

            const std::vector<Handle<Quote> >& jumps = {},

            const std::vector<Date>& jumpDates = {},

            const Interpolator& interpolator = {});

        InterpolatedSurvivalProbabilityCurve(

            Natural settlementDays,

            const Calendar&,

            const DayCounter&,

            const std::vector<Handle<Quote> >& jumps = {},

            const std::vector<Date>& jumpDates = {},

            const Interpolator& interpolator = {});

        //! \name DefaultProbabilityTermStructure implementation

        //@{

        Probability survivalProbabilityImpl(Time) const override;

        Real defaultDensityImpl(Time) const override;

        //@}

        mutable std::vector<Date> dates_;

    private:

        void initialize();

    };

    // inline definitions

    template <class T>

    inline Date InterpolatedSurvivalProbabilityCurve<T>::maxDate() const {

        return dates_.back();

    }

    template <class T>

    inline const std::vector<Time>&

    InterpolatedSurvivalProbabilityCurve<T>::times() const {

        return this->times_;

    }

    template <class T>

    inline const std::vector<Date>&

    InterpolatedSurvivalProbabilityCurve<T>::dates() const {

        return dates_;

    }

    template <class T>

    inline const std::vector<Real>&

    InterpolatedSurvivalProbabilityCurve<T>::data() const {

        return this->data_;

    }

    template <class T>

    inline const std::vector<Probability>&

    InterpolatedSurvivalProbabilityCurve<T>::survivalProbabilities() const {

        return this->data_;

    }

    template <class T>

    inline std::vector<std::pair<Date,Real> >

    InterpolatedSurvivalProbabilityCurve<T>::nodes() const {

        std::vector<std::pair<Date,Real> > results(dates_.size());

        for (Size i=0; i<dates_.size(); ++i)

            results[i] = std::make_pair(dates_[i],this->data_[i]);

        return results;

    }

    #ifndef __DOXYGEN__

    // template definitions

    template <class T>

    Probability

    InterpolatedSurvivalProbabilityCurve<T>::survivalProbabilityImpl(Time t)

                                                                        const {

        if (t <= this->times_.back())

            return this->interpolation_(t, true);

        // flat hazard rate extrapolation

        Time tMax = this->times_.back();

        Probability sMax = this->data_.back();

        Rate hazardMax = - this->interpolation_.derivative(tMax) / sMax;

        return sMax * std::exp(- hazardMax * (t-tMax));

    }

    template <class T>

    Real

    InterpolatedSurvivalProbabilityCurve<T>::defaultDensityImpl(Time t) const {

        if (t <= this->times_.back())

            return -this->interpolation_.derivative(t, true);

        // flat hazard rate extrapolation

        Time tMax = this->times_.back();

        Probability sMax = this->data_.back();

        Rate hazardMax = - this->interpolation_.derivative(tMax) / sMax;

        return sMax * hazardMax * std::exp(- hazardMax * (t-tMax));

    }

    template <class T>

    InterpolatedSurvivalProbabilityCurve<T>::InterpolatedSurvivalProbabilityCurve(

                                    const DayCounter& dayCounter,

                                    const std::vector<Handle<Quote> >& jumps,

                                    const std::vector<Date>& jumpDates,

                                    const T& interpolator)

    : SurvivalProbabilityStructure(dayCounter, jumps, jumpDates),

      InterpolatedCurve<T>(interpolator) {}

    template <class T>

    InterpolatedSurvivalProbabilityCurve<T>::InterpolatedSurvivalProbabilityCurve(

                                    const Date& referenceDate,

                                    const DayCounter& dayCounter,

                                    const std::vector<Handle<Quote> >& jumps,

                                    const std::vector<Date>& jumpDates,

                                    const T& interpolator)

    : SurvivalProbabilityStructure(referenceDate, Calendar(), dayCounter, jumps, jumpDates),

      InterpolatedCurve<T>(interpolator) {}

    template <class T>

    InterpolatedSurvivalProbabilityCurve<T>::InterpolatedSurvivalProbabilityCurve(

                                    Natural settlementDays,

                                    const Calendar& calendar,

                                    const DayCounter& dayCounter,

                                    const std::vector<Handle<Quote> >& jumps,

                                    const std::vector<Date>& jumpDates,

                                    const T& interpolator)

    : SurvivalProbabilityStructure(settlementDays, calendar, dayCounter, jumps, jumpDates),

      InterpolatedCurve<T>(interpolator) {}

    template <class T>

    InterpolatedSurvivalProbabilityCurve<T>::InterpolatedSurvivalProbabilityCurve(

                                    const std::vector<Date>& dates,

                                    const std::vector<Probability>& probabilities,

                                    const DayCounter& dayCounter,

                                    const Calendar& calendar,

                                    const std::vector<Handle<Quote> >& jumps,

                                    const std::vector<Date>& jumpDates,

                                    const T& interpolator)

    : SurvivalProbabilityStructure(dates.at(0), calendar, dayCounter, jumps, jumpDates),

      InterpolatedCurve<T>(std::vector<Time>(), probabilities, interpolator),

      dates_(dates)

    {

        initialize();

    }

    template <class T>

    InterpolatedSurvivalProbabilityCurve<T>::InterpolatedSurvivalProbabilityCurve(

                                    const std::vector<Date>& dates,

                                    const std::vector<Probability>& probabilities,

                                    const DayCounter& dayCounter,

                                    const Calendar& calendar,

                                    const T& interpolator)

    : SurvivalProbabilityStructure(dates.at(0), calendar, dayCounter),

      InterpolatedCurve<T>(std::vector<Time>(), probabilities, interpolator),

      dates_(dates)

    {

        initialize();

    }

    template <class T>

    InterpolatedSurvivalProbabilityCurve<T>::InterpolatedSurvivalProbabilityCurve(

                                    const std::vector<Date>& dates,

                                    const std::vector<Probability>& probabilities,

                                    const DayCounter& dayCounter,

                                    const T& interpolator)

    : SurvivalProbabilityStructure(dates.at(0), Calendar(), dayCounter),

      InterpolatedCurve<T>(std::vector<Time>(), probabilities, interpolator),

      dates_(dates)

    {

        initialize();

    }

    #endif

    template <class T>

    void InterpolatedSurvivalProbabilityCurve<T>::initialize()

    {

        QL_REQUIRE(dates_.size() >= T::requiredPoints,

                   "not enough input dates given");

        QL_REQUIRE(this->data_.size() == dates_.size(),

                   "dates/data count mismatch");

        QL_REQUIRE(this->data_[0] == 1.0,

                   "the first probability must be == 1.0 "

                   "to flag the corresponding date as reference date");

        this->setupTimes(dates_, dates_[0], dayCounter());

        for (Size i=1; i<dates_.size(); ++i) {

            QL_REQUIRE(this->data_[i] > 0.0, "negative probability");

            QL_REQUIRE(this->data_[i] <= this->data_[i-1],

                       "negative hazard rate implied by the survival "

                       "probability " <<

                       this->data_[i] << " at " << dates_[i] <<

                       " (t=" << this->times_[i] << ") after the survival "

                       "probability " <<

                       this->data_[i-1] << " at " << dates_[i-1] <<

                       " (t=" << this->times_[i-1] << ")");

        }

        this->setupInterpolation();

        this->interpolation_.update();

    }

}

#endif