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

/*

 Copyright (C) 2002, 2003, 2004 Ferdinando Ametrano

 Copyright (C) 2003 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.

*/

#include <ql/math/interpolations/linearinterpolation.hpp>

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

#include <utility>

namespace QuantLib {

    BlackVarianceCurve::BlackVarianceCurve(const Date& referenceDate,

                                           const std::vector<Date>& dates,

                                           const std::vector<Volatility>& blackVolCurve,

                                           DayCounter dayCounter,

                                           bool forceMonotoneVariance)

    : BlackVarianceTermStructure(referenceDate), dayCounter_(std::move(dayCounter)),

      maxDate_(dates.back()) {

        QL_REQUIRE(dates.size()==blackVolCurve.size(),

                   "mismatch between date vector and black vol vector");

        // cannot have dates[0]==referenceDate, since the

        // value of the vol at dates[0] would be lost

        // (variance at referenceDate must be zero)

        QL_REQUIRE(dates[0]>referenceDate,

                   "cannot have dates[0] <= referenceDate");

        variances_ = std::vector<Real>(dates.size()+1);

        times_ = std::vector<Time>(dates.size()+1);

        variances_[0] = 0.0;

        times_[0] = 0.0;

        Size j;

        for (j=1; j<=blackVolCurve.size(); j++) {

            times_[j] = timeFromReference(dates[j-1]);

            QL_REQUIRE(times_[j]>times_[j-1],

                       "dates must be sorted unique!");

            variances_[j] = times_[j] *

                blackVolCurve[j-1]*blackVolCurve[j-1];

            QL_REQUIRE(variances_[j]>=variances_[j-1]

                       || !forceMonotoneVariance,

                       "variance must be non-decreasing");

        }

        // default: linear interpolation

        setInterpolation<Linear>();

    }

Unexecuted instantiation: QuantLib::BlackVarianceCurve::BlackVarianceCurve(QuantLib::Date const&, std::__1::vector<QuantLib::Date, std::__1::allocator<QuantLib::Date> > const&, std::__1::vector<double, std::__1::allocator<double> > const&, QuantLib::DayCounter, bool)

Unexecuted instantiation: QuantLib::BlackVarianceCurve::BlackVarianceCurve(QuantLib::Date const&, std::__1::vector<QuantLib::Date, std::__1::allocator<QuantLib::Date> > const&, std::__1::vector<double, std::__1::allocator<double> > const&, QuantLib::DayCounter, bool)

    Real BlackVarianceCurve::blackVarianceImpl(Time t, Real) const {

        if (t<=times_.back()) {

            return varianceCurve_(t, true);

        } else {

            // extrapolate with flat vol

            return varianceCurve_(times_.back(), true)*t/times_.back();

        }

    }

}