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

/*

 Copyright (C) 2007 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 voltermstructure.hpp

    \brief Volatility term structure

*/

#ifndef quantlib_vol_term_structure_hpp

#define quantlib_vol_term_structure_hpp

#include <ql/termstructure.hpp>

namespace QuantLib {

    //! Volatility term structure

    /*! This abstract class defines the interface of concrete

        volatility structures which will be derived from this one.

    */

    class VolatilityTermStructure : public TermStructure {

      public:

        /*! \name Constructors

            See the TermStructure documentation for issues regarding

            constructors.

        */

        //@{

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

                     constructor must manage their own reference date

                     by overriding the referenceDate() method.

        */

        VolatilityTermStructure(BusinessDayConvention bdc,

                                const DayCounter& dc = DayCounter());

        //! initialize with a fixed reference date

        VolatilityTermStructure(const Date& referenceDate,

                                const Calendar& cal,

                                BusinessDayConvention bdc,

                                const DayCounter& dc = DayCounter());

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

        VolatilityTermStructure(Natural settlementDays,

                                const Calendar& cal,

                                BusinessDayConvention bdc,

                                const DayCounter& dc = DayCounter());

        //@}

        //! the business day convention used in tenor to date conversion

        virtual BusinessDayConvention businessDayConvention() const;

        //! period/date conversion

        Date optionDateFromTenor(const Period&) const;

        //! the minimum strike for which the term structure can return vols

        virtual Rate minStrike() const = 0;

        //! the maximum strike for which the term structure can return vols

        virtual Rate maxStrike() const = 0;

      protected:

        //! strike-range check

        void checkStrike(Rate strike,

                         bool extrapolate) const;

      private:

        BusinessDayConvention bdc_;

    };

    // inline definitions

    inline BusinessDayConvention

    VolatilityTermStructure::businessDayConvention() const {

        return bdc_;

    }

    inline Date

    VolatilityTermStructure::optionDateFromTenor(const Period& p) const {

        // swaption style

        return calendar().advance(referenceDate(),

                                  p,

                                  businessDayConvention());

    }

}

#endif