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

/*

 Copyright (C) 2002, 2003 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 localvolcurve.hpp

    \brief Local volatility curve derived from a Black curve

*/

#ifndef quantlib_localvolcurve_hpp

#define quantlib_localvolcurve_hpp

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

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

namespace QuantLib {

    //! Local volatility curve derived from a Black curve

    class LocalVolCurve : public LocalVolTermStructure {

      public:

        LocalVolCurve(const Handle<BlackVarianceCurve>& curve)

        : LocalVolTermStructure(curve->businessDayConvention(),

                                curve->dayCounter()),

          blackVarianceCurve_(curve) {

            registerWith(blackVarianceCurve_);

        }

        //! \name TermStructure interface

        //@{

        const Date& referenceDate() const override { return blackVarianceCurve_->referenceDate(); }

        Calendar calendar() const override { return blackVarianceCurve_->calendar(); }

        DayCounter dayCounter() const override { return blackVarianceCurve_->dayCounter(); }

        Date maxDate() const override { return blackVarianceCurve_->maxDate(); }

        //@}

        //! \name VolatilityTermStructure interface

        //@{

        Real minStrike() const override { return QL_MIN_REAL; }

        Real maxStrike() const override { return QL_MAX_REAL; }

        //@}

        //! \name Visitability

        //@{

        void accept(AcyclicVisitor&) override;

        //@}

      protected:

        Volatility localVolImpl(Time, Real) const override;

      private:

        Handle<BlackVarianceCurve> blackVarianceCurve_;

    };

    // inline definitions

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

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

        if (v1 != nullptr)

            v1->visit(*this);

        else

            LocalVolTermStructure::accept(v);

    }

    /*! The relation

        \f[

            \int_0^T \sigma_L^2(t)dt = \sigma_B^2 T

        \f]

        holds, where \f$ \sigma_L(t) \f$ is the local volatility at

        time \f$ t \f$ and \f$ \sigma_B(T) \f$ is the Black

        volatility for maturity \f$ T \f$. From the above, the formula

        \f[

            \sigma_L(t) = \sqrt{\frac{\mathrm{d}}{\mathrm{d}t}\sigma_B^2(t)t}

        \f]

        can be deduced which is here implemented.

    */

    inline Volatility LocalVolCurve::localVolImpl(Time t, Real dummy) const {

        Time dt = (1.0/365.0);

        Real var1 = blackVarianceCurve_->blackVariance(t, dummy, true);

        Real var2 = blackVarianceCurve_->blackVariance(t+dt, dummy, true);

        Real derivative = (var2-var1)/dt;

        return std::sqrt(derivative);

    }

}

#endif