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

/*

 Copyright (C) 2008 Roland Lichters

 Copyright (C) 2008 Chris Kenyon

 Copyright (C) 2008 StatPro Italia srl

 Copyright (C) 2009 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.

*/

#include <ql/termstructures/defaulttermstructure.hpp>

#include <ql/utilities/dataformatters.hpp>

#include <utility>

namespace QuantLib {

    DefaultProbabilityTermStructure::DefaultProbabilityTermStructure(

        const DayCounter& dc, std::vector<Handle<Quote> > jumps, const std::vector<Date>& jumpDates)

    : TermStructure(dc), jumps_(std::move(jumps)), jumpDates_(jumpDates),

      jumpTimes_(jumpDates.size()), nJumps_(jumps_.size()) {

        setJumps();

        for (Size i=0; i<nJumps_; ++i)

            registerWith(jumps_[i]);

    }

    DefaultProbabilityTermStructure::DefaultProbabilityTermStructure(

        const Date& referenceDate,

        const Calendar& cal,

        const DayCounter& dc,

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

        const std::vector<Date>& jumpDates)

    : TermStructure(referenceDate, cal, dc), jumps_(std::move(jumps)), jumpDates_(jumpDates),

      jumpTimes_(jumpDates.size()), nJumps_(jumps_.size()) {

        setJumps();

        for (Size i=0; i<nJumps_; ++i)

            registerWith(jumps_[i]);

    }

    DefaultProbabilityTermStructure::DefaultProbabilityTermStructure(

        Natural settlementDays,

        const Calendar& cal,

        const DayCounter& dc,

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

        const std::vector<Date>& jumpDates)

    : TermStructure(settlementDays, cal, dc), jumps_(std::move(jumps)), jumpDates_(jumpDates),

      jumpTimes_(jumpDates.size()), nJumps_(jumps_.size()) {

        setJumps();

        for (Size i=0; i<nJumps_; ++i)

            registerWith(jumps_[i]);

    }

    void DefaultProbabilityTermStructure::setJumps() {

        if (jumpDates_.empty() && !jumps_.empty()) { // turn of year dates

            jumpDates_.resize(nJumps_);

            jumpTimes_.resize(nJumps_);

            Year y = referenceDate().year();

            for (Size i=0; i<nJumps_; ++i)

                jumpDates_[i] = Date(31, December, y+i);

        } else { // fixed dats

            QL_REQUIRE(jumpDates_.size()==nJumps_,

                       "mismatch between number of jumps (" << nJumps_ <<

                       ") and jump dates (" << jumpDates_.size() << ")");

        }

        for (Size i=0; i<nJumps_; ++i)

            jumpTimes_[i] = timeFromReference(jumpDates_[i]);

        latestReference_ = referenceDate();

    }

    Probability DefaultProbabilityTermStructure::survivalProbability(

                                                     Time t,

                                                     bool extrapolate) const {

        checkRange(t, extrapolate);

        if (!jumps_.empty()) {

            Probability jumpEffect = 1.0;

            for (Size i=0; i<nJumps_ && jumpTimes_[i]<t; ++i) {

                QL_REQUIRE(jumps_[i]->isValid(),

                           "invalid " << io::ordinal(i+1) << " jump quote");

                DiscountFactor thisJump = jumps_[i]->value();

                QL_REQUIRE(thisJump > 0.0 && thisJump <= 1.0,

                           "invalid " << io::ordinal(i+1) << " jump value: " <<

                           thisJump);

                jumpEffect *= thisJump;

            }

            return jumpEffect * survivalProbabilityImpl(t);

        }

        return survivalProbabilityImpl(t);

    }

    Probability DefaultProbabilityTermStructure::defaultProbability(

                                                     const Date& d1,

                                                     const Date& d2,

                                                     bool extrapolate) const {

        QL_REQUIRE(d1 <= d2,

                   "initial date (" << d1 << ") "

                   "later than final date (" << d2 << ")");

        Probability p1 = d1 < referenceDate() ? 0.0 :

                                           defaultProbability(d1,extrapolate),

                    p2 = defaultProbability(d2,extrapolate);

        return p2 - p1;

    }

    Probability DefaultProbabilityTermStructure::defaultProbability(

                                                     Time t1,

                                                     Time t2,

                                                     bool extrapolate) const {

        QL_REQUIRE(t1 <= t2,

                   "initial time (" << t1 << ") "

                   "later than final time (" << t2 << ")");

        Probability p1 = t1 < 0.0 ? 0.0 : defaultProbability(t1,extrapolate),

                    p2 = defaultProbability(t2,extrapolate);

        return p2 - p1;

    }

}