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

/*

 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 parameterizedlocalvolsurface.cpp

*/

#include <ql/time/calendars/nullcalendar.hpp>

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

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

#include <ql/functional.hpp>

#include <algorithm>

namespace QuantLib {

    GridModelLocalVolSurface::GridModelLocalVolSurface(

        const Date& referenceDate,

        const std::vector<Date>& dates,

        const std::vector<ext::shared_ptr<std::vector<Real> > >& strikes,

        const DayCounter& dayCounter,

        Extrapolation lowerExtrapolation,

        Extrapolation upperExtrapolation)

    : LocalVolTermStructure(

            referenceDate, NullCalendar(), Following, dayCounter),

      CalibratedModel(dates.size()*strikes.front()->size()),

      referenceDate_(referenceDate),

      times_(dates.size()),

      strikes_(strikes),

      dayCounter_(dayCounter),

      lowerExtrapolation_(lowerExtrapolation),

      upperExtrapolation_(upperExtrapolation) {

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

            QL_REQUIRE(strikes_[i]->size() == strikes_.front()->size(),

                       "strike vectors must have the same dimension");

        }

        std::fill(arguments_.begin(), arguments_.end(),

            ConstantParameter(1.0, PositiveConstraint()));

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

            times_[i] = dayCounter.yearFraction(referenceDate_, dates[i]);

        }

        GridModelLocalVolSurface::generateArguments();

    }

Unexecuted instantiation: QuantLib::GridModelLocalVolSurface::GridModelLocalVolSurface(QuantLib::Date const&, std::__1::vector<QuantLib::Date, std::__1::allocator<QuantLib::Date> > const&, std::__1::vector<boost::shared_ptr<std::__1::vector<double, std::__1::allocator<double> > >, std::__1::allocator<boost::shared_ptr<std::__1::vector<double, std::__1::allocator<double> > > > > const&, QuantLib::DayCounter const&, QuantLib::FixedLocalVolSurface::Extrapolation, QuantLib::FixedLocalVolSurface::Extrapolation)

Unexecuted instantiation: QuantLib::GridModelLocalVolSurface::GridModelLocalVolSurface(QuantLib::Date const&, std::__1::vector<QuantLib::Date, std::__1::allocator<QuantLib::Date> > const&, std::__1::vector<boost::shared_ptr<std::__1::vector<double, std::__1::allocator<double> > >, std::__1::allocator<boost::shared_ptr<std::__1::vector<double, std::__1::allocator<double> > > > > const&, QuantLib::DayCounter const&, QuantLib::FixedLocalVolSurface::Extrapolation, QuantLib::FixedLocalVolSurface::Extrapolation)

    void GridModelLocalVolSurface::update() {

        LocalVolTermStructure::update();

        CalibratedModel::update();

    }

    Date GridModelLocalVolSurface::maxDate() const {

        return localVol_->maxDate();

    }

    Time GridModelLocalVolSurface::maxTime() const {

        return localVol_->maxTime();

    }

    Real GridModelLocalVolSurface::minStrike() const {

        return localVol_->minStrike();

    }

    Real GridModelLocalVolSurface::maxStrike() const {

        return localVol_->maxStrike();

    }

    Volatility GridModelLocalVolSurface::localVolImpl(Time t, Real strike)

    const {

        return localVol_->localVol(t, strike, true);

    }

    void GridModelLocalVolSurface::generateArguments() {

        const ext::shared_ptr<Matrix> localVolMatrix(

            new Matrix(strikes_.front()->size(), times_.size()));

        std::transform(arguments_.begin(), arguments_.end(),

                       localVolMatrix->begin(),

                       [](const Parameter& p) { return p(0.0); });

        localVol_ = ext::make_shared<FixedLocalVolSurface>(

                referenceDate_,

                times_,

                strikes_,

                localVolMatrix,

                dayCounter_,

                lowerExtrapolation_,

                upperExtrapolation_);

    }

}