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

/*

 Copyright (C) 2004, 2009 Ferdinando Ametrano

 Copyright (C) 2000, 2001, 2002, 2003 RiskMap srl

 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.

*/

#include <ql/termstructures/yieldtermstructure.hpp>

#include <ql/utilities/dataformatters.hpp>

#include <utility>

namespace QuantLib {

    namespace {

        // time interval used in finite differences

        const Time dt = 0.0001;

    }

    YieldTermStructure::YieldTermStructure(const DayCounter& dc) : TermStructure(dc) {}

    YieldTermStructure::YieldTermStructure(const Date& referenceDate,

                                           const Calendar& cal,

                                           const DayCounter& dc,

                                           std::vector<Handle<Quote> > jumps,

                                           const std::vector<Date>& jumpDates)

    : TermStructure(referenceDate, cal, dc), jumps_(std::move(jumps)), jumpDates_(jumpDates),

      jumpTimes_(jumpDates.size()), nJumps_(jumps_.size()) {

        setJumps(YieldTermStructure::referenceDate());

        for (Size i=0; i<nJumps_; ++i)

            registerWith(jumps_[i]);

    }

    YieldTermStructure::YieldTermStructure(Natural settlementDays,

                                           const Calendar& cal,

                                           const DayCounter& dc,

                                           std::vector<Handle<Quote> > jumps,

                                           const std::vector<Date>& jumpDates)

    : TermStructure(settlementDays, cal, dc), jumps_(std::move(jumps)), jumpDates_(jumpDates),

      jumpTimes_(jumpDates.size()), nJumps_(jumps_.size()) {

        setJumps(YieldTermStructure::referenceDate());

        for (Size i=0; i<nJumps_; ++i)

            registerWith(jumps_[i]);

    }

    void YieldTermStructure::setJumps(const Date& referenceDate) {

        if (jumpDates_.empty() && !jumps_.empty()) { // turn of year dates

            jumpDates_.resize(nJumps_);

            jumpTimes_.resize(nJumps_);

            Year y = referenceDate.year();

            for (Size i=0; i<nJumps_; ++i)

                jumpDates_[i] = Date(31, December, y+i);

        } else { // fixed dates

            QL_REQUIRE(jumpDates_.size()==nJumps_,

                       "mismatch between number of jumps (" << nJumps_ <<

                       ") and jump dates (" << jumpDates_.size() << ")");

        }

        for (Size i=0; i<nJumps_; ++i)

            jumpTimes_[i] = timeFromReference(jumpDates_[i]);

        latestReference_ = referenceDate;

    }

    DiscountFactor YieldTermStructure::discount(Time t,

                                                bool extrapolate) const {

        checkRange(t, extrapolate);

        if (jumps_.empty())

            return discountImpl(t);

        DiscountFactor jumpEffect = 1.0;

        for (Size i=0; i<nJumps_; ++i) {

            if (jumpTimes_[i]>0 && jumpTimes_[i]<t) {

                QL_REQUIRE(jumps_[i]->isValid(),

                           "invalid " << io::ordinal(i+1) << " jump quote");

                DiscountFactor thisJump = jumps_[i]->value();

                QL_REQUIRE(thisJump > 0.0,

                           "invalid " << io::ordinal(i+1) << " jump value: " <<

                           thisJump);

                jumpEffect *= thisJump;

            }

        }

        return jumpEffect * discountImpl(t);

    }

    InterestRate YieldTermStructure::zeroRate(const Date& d,

                                              const DayCounter& dayCounter,

                                              Compounding comp,

                                              Frequency freq,

                                              bool extrapolate) const {

        Time t = timeFromReference(d);

        if (t == 0) {

            Real compound = 1.0/discount(dt, extrapolate);

            // t has been calculated with a possibly different daycounter

            // but the difference should not matter for very small times

            return InterestRate::impliedRate(compound,

                                             dayCounter, comp, freq,

                                             dt);

        }

        Real compound = 1.0/discount(t, extrapolate);

        return InterestRate::impliedRate(compound,

                                         dayCounter, comp, freq,

                                         referenceDate(), d);

    }

    InterestRate YieldTermStructure::zeroRate(Time t,

                                              Compounding comp,

                                              Frequency freq,

                                              bool extrapolate) const {

        if (t==0.0) t = dt;

        Real compound = 1.0/discount(t, extrapolate);

        return InterestRate::impliedRate(compound,

                                         dayCounter(), comp, freq,

                                         t);

    }

    InterestRate YieldTermStructure::forwardRate(const Date& d1,

                                                 const Date& d2,

                                                 const DayCounter& dayCounter,

                                                 Compounding comp,

                                                 Frequency freq,

                                                 bool extrapolate) const {

        if (d1==d2) {

            checkRange(d1, extrapolate);

            Time t1 = std::max(timeFromReference(d1) - dt/2.0, 0.0);

            Time t2 = t1 + dt;

            Real compound =

                discount(t1, true)/discount(t2, true);

            // times have been calculated with a possibly different daycounter

            // but the difference should not matter for very small times

            return InterestRate::impliedRate(compound,

                                             dayCounter, comp, freq,

                                             dt);

        }

        QL_REQUIRE(d1 < d2,  d1 << " later than " << d2);

        Real compound = discount(d1, extrapolate)/discount(d2, extrapolate);

        return InterestRate::impliedRate(compound,

                                         dayCounter, comp, freq,

                                         d1, d2);

    }

    InterestRate YieldTermStructure::forwardRate(Time t1,

                                                 Time t2,

                                                 Compounding comp,

                                                 Frequency freq,

                                                 bool extrapolate) const {

        Real compound;

        if (t2==t1) {

            checkRange(t1, extrapolate);

            t1 = std::max(t1 - dt/2.0, 0.0);

            t2 = t1 + dt;

            compound = discount(t1, true)/discount(t2, true);

        } else {

            QL_REQUIRE(t2>t1, "t2 (" << t2 << ") < t1 (" << t2 << ")");

            compound = discount(t1, extrapolate)/discount(t2, extrapolate);

        }

        return InterestRate::impliedRate(compound,

                                         dayCounter(), comp, freq,

                                         t2-t1);

    }

    void YieldTermStructure::update() {

        TermStructure::update();

        Date newReference = Date();

        try {

            newReference = referenceDate();

            if (newReference != latestReference_)

                setJumps(newReference);

        } catch (Error&) {

            if (newReference == Date()) {

                // the curve couldn't calculate the reference

                // date. Most of the times, this is because some

                // underlying handle wasn't set, so we can just absorb

                // the exception and continue; the jumps will be set

                // correctly when a valid underlying is set.

                return;

            } else {

                // something else happened during the call to

                // setJumps(), so we let the exception bubble up.

                throw;

            }

        }

    }

}