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

/*

 Copyright (C) 2002, 2003, 2004 Ferdinando Ametrano

 Copyright (C) 2003, 2004 StatPro Italia srl

 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 blackvariancesurface.hpp

    \brief Black volatility surface modelled as variance surface

*/

#ifndef quantlib_black_variance_surface_hpp

#define quantlib_black_variance_surface_hpp

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

#include <ql/math/matrix.hpp>

#include <ql/math/interpolations/interpolation2d.hpp>

#include <ql/time/daycounters/actual365fixed.hpp>

namespace QuantLib {

    //! Black volatility surface modelled as variance surface

    /*! This class calculates time/strike dependent Black volatilities

        using as input a matrix of Black volatilities observed in the

        market.

        The calculation is performed interpolating on the variance

        surface.  Bilinear interpolation is used as default; this can

        be changed by the setInterpolation() method.

        \todo check time extrapolation

    */

    class BlackVarianceSurface : public BlackVarianceTermStructure {

      public:

        enum Extrapolation { ConstantExtrapolation,

                             InterpolatorDefaultExtrapolation };

        BlackVarianceSurface(const Date& referenceDate,

                             const Calendar& cal,

                             const std::vector<Date>& dates,

                             std::vector<Real> strikes,

                             const Matrix& blackVolMatrix,

                             DayCounter dayCounter,

                             Extrapolation lowerExtrapolation = InterpolatorDefaultExtrapolation,

                             Extrapolation upperExtrapolation = InterpolatorDefaultExtrapolation);

        //! \name TermStructure interface

        //@{

        DayCounter dayCounter() const override { return dayCounter_; }

        Date maxDate() const override { return maxDate_; }

        //@}

        //! \name VolatilityTermStructure interface

        //@{

        Real minStrike() const override { return strikes_.front(); }

        Real maxStrike() const override { return strikes_.back(); }

        //@}

        //! \name Modifiers

        //@{

        template <class Interpolator>

        void setInterpolation(const Interpolator& i = Interpolator()) {

            varianceSurface_ =

                i.interpolate(times_.begin(), times_.end(),

                              strikes_.begin(), strikes_.end(),

                              variances_);

            notifyObservers();

        }

        //@}

        //! \name Visitability

        //@{

        void accept(AcyclicVisitor&) override;

        //@}

      protected:

        Real blackVarianceImpl(Time t, Real strike) const override;

      private:

        DayCounter dayCounter_;

        Date maxDate_;

        std::vector<Real> strikes_;

        std::vector<Time> times_;

        Matrix variances_;

        Interpolation2D varianceSurface_;

        Extrapolation lowerExtrapolation_, upperExtrapolation_;

    };

    // inline definitions

    inline void BlackVarianceSurface::accept(AcyclicVisitor& v) {

        auto* v1 = dynamic_cast<Visitor<BlackVarianceSurface>*>(&v);

        if (v1 != nullptr)

            v1->visit(*this);

        else

            BlackVarianceTermStructure::accept(v);

    }

}

#endif