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

/*

 Copyright (C) 2006, 2007 Ferdinando Ametrano

 Copyright (C) 2006, 2007 Mark Joshi

 Copyright (C) 2007 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.

*/

#ifndef quantlib_marketmodel_hpp

#define quantlib_marketmodel_hpp

#include <ql/math/matrix.hpp>

#include <ql/utilities/null.hpp>

#include <ql/patterns/observable.hpp>

#include <vector>

namespace QuantLib {

    class EvolutionDescription;

    //! base class for market models

    /*! For each time step, generates the pseudo-square root of the covariance

        matrix for that time step.

    */

    class MarketModel {

      public:

        virtual ~MarketModel() = default;

        virtual const std::vector<Rate>& initialRates() const = 0;

        virtual const std::vector<Spread>& displacements() const = 0;

        virtual const EvolutionDescription& evolution() const = 0;

        virtual Size numberOfRates() const = 0;

        virtual Size numberOfFactors() const = 0;

        virtual Size numberOfSteps() const = 0;

        virtual const Matrix& pseudoRoot(Size i) const = 0;

        virtual const Matrix& covariance(Size i) const;

        virtual const Matrix& totalCovariance(Size endIndex) const;

        std::vector<Volatility> timeDependentVolatility(Size i) const;

    private:

        mutable std::vector<Matrix> covariance_, totalCovariance_;

    };

    //! base class for market-model factories

    class MarketModelFactory : public Observable {

      public:

        ~MarketModelFactory() override = default;

        virtual ext::shared_ptr<MarketModel> create(

                                              const EvolutionDescription&,

                                              Size numberOfFactors) const = 0;

    };

}

#endif