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

/*

 Copyright (C) 2002, 2003 Ferdinando Ametrano

 Copyright (C) 2003, 2004, 2005, 2006 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.

*/

/*! \file blackvoltermstructure.hpp

    \brief Black volatility term structure base classes

*/

#ifndef quantlib_black_vol_term_structures_hpp

#define quantlib_black_vol_term_structures_hpp

#include <ql/termstructures/voltermstructure.hpp>

#include <ql/patterns/visitor.hpp>

namespace QuantLib {

    //! Black-volatility term structure

    /*! This abstract class defines the interface of concrete

        Black-volatility term structures which will be derived from

        this one.

        Volatilities are assumed to be expressed on an annual basis.

    */

    class BlackVolTermStructure : public VolatilityTermStructure {

      public:

        /*! \name Constructors

            See the TermStructure documentation for issues regarding

            constructors.

        */

        //@{

        //! default constructor

        /*! \warning term structures initialized by means of this

                     constructor must manage their own reference date

                     by overriding the referenceDate() method.

        */

        BlackVolTermStructure(BusinessDayConvention bdc = Following,

                              const DayCounter& dc = DayCounter());

        //! initialize with a fixed reference date

        BlackVolTermStructure(const Date& referenceDate,

                              const Calendar& cal = Calendar(),

                              BusinessDayConvention bdc = Following,

                              const DayCounter& dc = DayCounter());

        //! calculate the reference date based on the global evaluation date

        BlackVolTermStructure(Natural settlementDays,

                              const Calendar&,

                              BusinessDayConvention bdc = Following,

                              const DayCounter& dc = DayCounter());

        //@}

        ~BlackVolTermStructure() override = default;

        //! \name Black Volatility

        //@{

        //! spot volatility

        Volatility blackVol(const Date& maturity,

                            Real strike,

                            bool extrapolate = false) const;

        //! spot volatility

        Volatility blackVol(Time maturity,

                            Real strike,

                            bool extrapolate = false) const;

        //! spot variance

        Real blackVariance(const Date& maturity,

                           Real strike,

                           bool extrapolate = false) const;

        //! spot variance

        Real blackVariance(Time maturity,

                           Real strike,

                           bool extrapolate = false) const;

        //! forward (at-the-money) volatility

        Volatility blackForwardVol(const Date& date1,

                                   const Date& date2,

                                   Real strike,

                                   bool extrapolate = false) const;

        //! forward (at-the-money) volatility

        Volatility blackForwardVol(Time time1,

                                   Time time2,

                                   Real strike,

                                   bool extrapolate = false) const;

        //! forward (at-the-money) variance

        Real blackForwardVariance(const Date& date1,

                                  const Date& date2,

                                  Real strike,

                                  bool extrapolate = false) const;

        //! forward (at-the-money) variance

        Real blackForwardVariance(Time time1,

                                  Time time2,

                                  Real strike,

                                  bool extrapolate = false) const;

        //@}

        //! \name Visitability

        //@{

        virtual void accept(AcyclicVisitor&);

        //@}

      protected:

        /*! \name Calculations

            These methods must be implemented in derived classes to perform

            the actual volatility calculations. When they are called,

            range check has already been performed; therefore, they must

            assume that extrapolation is required.

        */

        //@{

        //! Black variance calculation

        virtual Real blackVarianceImpl(Time t, Real strike) const = 0;

        //! Black volatility calculation

        virtual Volatility blackVolImpl(Time t, Real strike) const = 0;

        //@}

    };

    //! Black-volatility term structure

    /*! This abstract class acts as an adapter to BlackVolTermStructure

        allowing the programmer to implement only the

        <tt>blackVolImpl(Time, Real, bool)</tt> method in derived classes.

        Volatility are assumed to be expressed on an annual basis.

    */

    class BlackVolatilityTermStructure : public BlackVolTermStructure {

      public:

        /*! \name Constructors

            See the TermStructure documentation for issues regarding

            constructors.

        */

        //@{

        //! default constructor

        /*! \warning term structures initialized by means of this

                     constructor must manage their own reference date

                     by overriding the referenceDate() method.

        */

        BlackVolatilityTermStructure(BusinessDayConvention bdc = Following,

                                     const DayCounter& dc = DayCounter());

        //! initialize with a fixed reference date

        BlackVolatilityTermStructure(const Date& referenceDate,

                                     const Calendar& cal = Calendar(),

                                     BusinessDayConvention bdc = Following,

                                     const DayCounter& dc = DayCounter());

        //! calculate the reference date based on the global evaluation date

        BlackVolatilityTermStructure(Natural settlementDays,

                                     const Calendar& cal,

                                     BusinessDayConvention bdc = Following,

                                     const DayCounter& dc = DayCounter());

        //@}

        //! \name Visitability

        //@{

        void accept(AcyclicVisitor&) override;

        //@}

      protected:

        /*! Returns the variance for the given strike and date calculating it

            from the volatility.

        */

        Real blackVarianceImpl(Time maturity, Real strike) const override;

    };

    //! Black variance term structure

    /*! This abstract class acts as an adapter to VolTermStructure allowing

        the programmer to implement only the

        <tt>blackVarianceImpl(Time, Real, bool)</tt> method in derived

        classes.

        Volatility are assumed to be expressed on an annual basis.

    */

    class BlackVarianceTermStructure : public BlackVolTermStructure {

      public:

        /*! \name Constructors

            See the TermStructure documentation for issues regarding

            constructors.

        */

        //@{

        //! default constructor

        /*! \warning term structures initialized by means of this

                     constructor must manage their own reference date

                     by overriding the referenceDate() method.

        */

        BlackVarianceTermStructure(BusinessDayConvention bdc = Following,

                                   const DayCounter& dc = DayCounter());

        //! initialize with a fixed reference date

        BlackVarianceTermStructure(const Date& referenceDate,

                                   const Calendar& cal = Calendar(),

                                   BusinessDayConvention bdc = Following,

                                   const DayCounter& dc = DayCounter());

        //! calculate the reference date based on the global evaluation date

        BlackVarianceTermStructure(Natural settlementDays,

                                   const Calendar&,

                                   BusinessDayConvention bdc = Following,

                                   const DayCounter& dc = DayCounter());

        //@}

        //! \name Visitability

        //@{

        void accept(AcyclicVisitor&) override;

        //@}

      protected:

        /*! Returns the volatility for the given strike and date calculating it

            from the variance.

        */

        Volatility blackVolImpl(Time t, Real strike) const override;

    };

    // inline definitions

    inline Volatility BlackVolTermStructure::blackVol(const Date& d,

                                                      Real strike,

                                                      bool extrapolate) const {

        checkRange(d, extrapolate);

        checkStrike(strike, extrapolate);

        Time t = timeFromReference(d);

        return blackVolImpl(t, strike);

    }

    inline Volatility BlackVolTermStructure::blackVol(Time t,

                                                      Real strike,

                                                      bool extrapolate) const {

        checkRange(t, extrapolate);

        checkStrike(strike, extrapolate);

        return blackVolImpl(t, strike);

    }

    inline Real BlackVolTermStructure::blackVariance(const Date& d,

                                                     Real strike,

                                                     bool extrapolate) const {

        checkRange(d, extrapolate);

        checkStrike(strike, extrapolate);

        Time t = timeFromReference(d);

        return blackVarianceImpl(t, strike);

    }

    inline Real BlackVolTermStructure::blackVariance(Time t,

                                                     Real strike,

                                                     bool extrapolate) const {

        checkRange(t, extrapolate);

        checkStrike(strike, extrapolate);

        return blackVarianceImpl(t, strike);

    }

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

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

        if (v1 != nullptr)

            v1->visit(*this);

        else

            QL_FAIL("not a Black-volatility term structure visitor");

    }

    inline

    Real BlackVolatilityTermStructure::blackVarianceImpl(Time t,

                                                         Real strike) const {

        Volatility vol = blackVolImpl(t, strike);

        return vol*vol*t;

    }

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

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

        if (v1 != nullptr)

            v1->visit(*this);

        else

            BlackVolTermStructure::accept(v);

    }

    inline

    Volatility BlackVarianceTermStructure ::blackVolImpl(Time t,

                                                         Real strike) const {

        Time nonZeroMaturity = (t==0.0 ? 0.00001 : t);

        Real var = blackVarianceImpl(nonZeroMaturity, strike);

        return std::sqrt(var/nonZeroMaturity);

    }

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

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

        if (v1 != nullptr)

            v1->visit(*this);

        else

            BlackVolTermStructure::accept(v);

    }

}

#endif