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

/*

 Copyright (C) 2006 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.

*/

/*! \file swaptionvoldiscrete.hpp

    \brief Discretized swaption volatility

*/

#ifndef quantlib_swaption_volatility_discrete_h

#define quantlib_swaption_volatility_discrete_h

#include <ql/termstructures/volatility/swaption/swaptionvolstructure.hpp>

#include <ql/math/interpolation.hpp>

#include <ql/patterns/lazyobject.hpp>

namespace QuantLib {

    class SwaptionVolatilityDiscrete : public LazyObject,

                                       public SwaptionVolatilityStructure {

      public:

        SwaptionVolatilityDiscrete(const std::vector<Period>& optionTenors,

                                   const std::vector<Period>& swapTenors,

                                   Natural settlementDays,

                                   const Calendar& cal,

                                   BusinessDayConvention bdc,

                                   const DayCounter& dc);

        SwaptionVolatilityDiscrete(const std::vector<Period>& optionTenors,

                                   const std::vector<Period>& swapTenors,

                                   const Date& referenceDate,

                                   const Calendar& cal,

                                   BusinessDayConvention bdc,

                                   const DayCounter& dc);

        SwaptionVolatilityDiscrete(const std::vector<Date>& optionDates,

                                   const std::vector<Period>& swapTenors,

                                   const Date& referenceDate,

                                   const Calendar& cal,

                                   BusinessDayConvention bdc,

                                   const DayCounter& dc);

        const std::vector<Period>& optionTenors() const;

        const std::vector<Date>& optionDates() const;

        const std::vector<Time>& optionTimes() const;

        const std::vector<Period>& swapTenors() const;

        const std::vector<Time>& swapLengths() const;

        //@}

        //! \name Observer interface

        //@{

        void update() override;

        //@}

        //! \name LazyObject interface

        //@{

        void performCalculations() const override;

        //@}

        //! additional inspectors

        Date optionDateFromTime(Time optionTime) const;

      protected:

        Size nOptionTenors_;

        std::vector<Period> optionTenors_;

        mutable std::vector<Date> optionDates_;

        mutable std::vector<Time> optionTimes_;

        mutable Interpolation optionInterpolator_;

        mutable std::vector<Real> optionDatesAsReal_;

        mutable std::vector<Time> optionInterpolatorTimes_;

        mutable std::vector<Real> optionInterpolatorDatesAsReal_;

        Size nSwapTenors_;

        std::vector<Period> swapTenors_;

        mutable std::vector<Time> swapLengths_;

        mutable Date cachedReferenceDate_;

      private:

        void checkOptionTenors() const;

        void checkOptionDates(const Date& reference) const;

        void checkSwapTenors() const;

        void initializeOptionDatesAndTimes() const;

        void initializeOptionTimes() const;

        void initializeSwapLengths() const;

    };

    // inline

    inline const std::vector<Period>&

    SwaptionVolatilityDiscrete::optionTenors() const {

         return optionTenors_;

    }

    inline const std::vector<Date>&

    SwaptionVolatilityDiscrete::optionDates() const {

        return optionDates_;

    }

    inline const std::vector<Time>&

    SwaptionVolatilityDiscrete::optionTimes() const {

        return optionTimes_;

    }

    inline const std::vector<Period>&

    SwaptionVolatilityDiscrete::swapTenors() const {

     return swapTenors_;

    }

    inline const std::vector<Time>&

    SwaptionVolatilityDiscrete::swapLengths() const {

        return swapLengths_;

    }

    inline Date SwaptionVolatilityDiscrete::optionDateFromTime(Time optionTime) const {

        return Date(static_cast<Date::serial_type>(optionInterpolator_(optionTime)));

    }

}

#endif