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

/*

 Copyright (C) 2008 Frank Hövermann

 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 extendedblackvariancecurve.hpp

    \brief Black volatility curve modelled as variance curve

*/

#ifndef quantlib_extended_black_variance_curve_hpp

#define quantlib_extended_black_variance_curve_hpp

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

#include <ql/math/interpolation.hpp>

#include <ql/handle.hpp>

#include <ql/quote.hpp>

namespace QuantLib {

    //! Black volatility curve modelled as variance curve

    /*! This class is similar to BlackVarianceCurve, but extends it to

        use quotes for the input volatilities.

    */

    class ExtendedBlackVarianceCurve : public BlackVarianceTermStructure {

      public:

        ExtendedBlackVarianceCurve(const Date& referenceDate,

                                   const std::vector<Date>& dates,

                                   std::vector<Handle<Quote> > volatilities,

                                   DayCounter dayCounter,

                                   bool forceMonotoneVariance = true);

        DayCounter dayCounter() const override { return dayCounter_; }

        Date maxDate() const override;

        Real minStrike() const override;

        Real maxStrike() const override;

        template <class Interpolator>

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

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

                                           variances_.begin());

            varianceCurve_.update();

            notifyObservers();

        }

        void accept(AcyclicVisitor&) override;

        void update() override;

      private:

        Real blackVarianceImpl(Time t, Real) const override;

        void setVariances();

        DayCounter dayCounter_;

        Date maxDate_;

        std::vector<Handle<Quote> > volatilities_;

        std::vector<Time> times_;

        std::vector<Real> variances_;

        Interpolation varianceCurve_;

        bool forceMonotoneVariance_;

    };

    inline Date ExtendedBlackVarianceCurve::maxDate() const {

        return maxDate_;

    }

    inline Real ExtendedBlackVarianceCurve::minStrike() const {

        return QL_MIN_REAL;

    }

    inline Real ExtendedBlackVarianceCurve::maxStrike() const {

        return QL_MAX_REAL;

    }

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

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

        if (v1 != nullptr)

            v1->visit(*this);

        else

            BlackVarianceTermStructure::accept(v);

    }

}

#endif