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

/*

 Copyright (C) 2013, 2018 Peter Caspers

 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 smilesectionutils.hpp

    \brief Additional utilities for smile sections

*/

#ifndef quantlib_smile_section_utils_hpp

#define quantlib_smile_section_utils_hpp

#include <ql/termstructures/volatility/smilesection.hpp>

#include <vector>

namespace QuantLib {

    /*! smile-section utilities, the moneyness is expressed in

        - absolute terms for normal

        - relative terms for shifted lognormal

        volatility smile sections */

    class SmileSectionUtils {

      public:

        SmileSectionUtils(const SmileSection& section,

                          const std::vector<Real>& moneynessGrid = std::vector<Real>(),

                          Real atm = Null<Real>(),

                          bool deleteArbitragePoints = false);

        std::pair<Real, Real> arbitragefreeRegion() const;

        std::pair<Size, Size> arbitragefreeIndices() const;

        const std::vector<Real> &moneyGrid() const { return m_; }

        const std::vector<Real> &strikeGrid() const { return k_; }

        const std::vector<Real> &callPrices() const { return c_; }

        Real atmLevel() const { return f_; }

      private:

        bool af(Size i0, Size i, Size i1) const;

        std::vector<Real> m_, c_, k_;

        Size leftIndex_, rightIndex_;

        Real f_;

    };

}

#endif