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

/*

 Copyright (C) 2015 Peter Caspers

 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.

*/

#include <ql/math/solvers1d/newtonsafe.hpp>

#include <ql/termstructures/volatility/gaussian1dsmilesection.hpp>

#include <ql/termstructures/volatility/swaption/gaussian1dswaptionvolatility.hpp>

#include <utility>

namespace QuantLib {

    Gaussian1dSwaptionVolatility::Gaussian1dSwaptionVolatility(

        const Calendar& cal,

        BusinessDayConvention bdc,

        ext::shared_ptr<SwapIndex> indexBase,

        const ext::shared_ptr<Gaussian1dModel>& model,

        const DayCounter& dc,

        ext::shared_ptr<Gaussian1dSwaptionEngine> swaptionEngine)

    : SwaptionVolatilityStructure(model->termStructure()->referenceDate(), cal, bdc, dc),

      indexBase_(std::move(indexBase)), model_(model), engine_(std::move(swaptionEngine)),

      maxSwapTenor_(100 * Years) {}

Unexecuted instantiation: QuantLib::Gaussian1dSwaptionVolatility::Gaussian1dSwaptionVolatility(QuantLib::Calendar const&, QuantLib::BusinessDayConvention, boost::shared_ptr<QuantLib::SwapIndex>, boost::shared_ptr<QuantLib::Gaussian1dModel> const&, QuantLib::DayCounter const&, boost::shared_ptr<QuantLib::Gaussian1dSwaptionEngine>)

Unexecuted instantiation: QuantLib::Gaussian1dSwaptionVolatility::Gaussian1dSwaptionVolatility(QuantLib::Calendar const&, QuantLib::BusinessDayConvention, boost::shared_ptr<QuantLib::SwapIndex>, boost::shared_ptr<QuantLib::Gaussian1dModel> const&, QuantLib::DayCounter const&, boost::shared_ptr<QuantLib::Gaussian1dSwaptionEngine>)

    ext::shared_ptr<SmileSection>

    Gaussian1dSwaptionVolatility::smileSectionImpl(const Date& d, const Period& tenor) const {

        ext::shared_ptr<SmileSection> tmp = ext::make_shared<Gaussian1dSmileSection>(

            d, indexBase_->clone(tenor), model_, this->dayCounter(), engine_);

        return tmp;

}

ext::shared_ptr<SmileSection>

Gaussian1dSwaptionVolatility::smileSectionImpl(Time optionTime,

                                               Time swapLength) const {

    DateHelper hlp(*this, optionTime);

    NewtonSafe newton;

    Date d(static_cast<Date::serial_type>(newton.solve(

        hlp, 0.1,

        365.25 * optionTime + static_cast<Real>(referenceDate().serialNumber()),

        1.0)));

    Period tenor(

        static_cast<Integer>(Rounding(0)(swapLength * 12.0)),

        Months);

    d = indexBase_->fixingCalendar().adjust(d);

    return smileSectionImpl(d, tenor);

}

Volatility Gaussian1dSwaptionVolatility::volatilityImpl(const Date &d,

                                                        const Period &tenor,

                                                        Rate strike) const {

    return smileSectionImpl(d, tenor)->volatility(strike);

}

Volatility Gaussian1dSwaptionVolatility::volatilityImpl(Time optionTime,

                                                        Time swapLength,

                                                        Rate strike) const {

    return smileSectionImpl(optionTime, swapLength)->volatility(strike);

}

}