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

/*

 Copyright (C) 2010 Klaus Spanderen

 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

 <https://www.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/methods/finitedifferences/operators/fdm2dblackscholesop.hpp>

#include <ql/methods/finitedifferences/solvers/fdm2dblackscholessolver.hpp>

#include <ql/methods/finitedifferences/solvers/fdm2dimsolver.hpp>

#include <ql/processes/blackscholesprocess.hpp>

#include <utility>

namespace QuantLib {

    Fdm2dBlackScholesSolver::Fdm2dBlackScholesSolver(Handle<GeneralizedBlackScholesProcess> p1,

                                                     Handle<GeneralizedBlackScholesProcess> p2,

                                                     const Real correlation,

                                                     FdmSolverDesc solverDesc,

                                                     const FdmSchemeDesc& schemeDesc,

                                                     bool localVol,

                                                     Real illegalLocalVolOverwrite)

    : p1_(std::move(p1)), p2_(std::move(p2)), correlation_(correlation),

      solverDesc_(std::move(solverDesc)), schemeDesc_(schemeDesc), localVol_(localVol),

      illegalLocalVolOverwrite_(illegalLocalVolOverwrite) {

        registerWith(p1_);

        registerWith(p2_);

    }

Unexecuted instantiation: QuantLib::Fdm2dBlackScholesSolver::Fdm2dBlackScholesSolver(QuantLib::Handle<QuantLib::GeneralizedBlackScholesProcess>, QuantLib::Handle<QuantLib::GeneralizedBlackScholesProcess>, double, QuantLib::FdmSolverDesc, QuantLib::FdmSchemeDesc const&, bool, double)

Unexecuted instantiation: QuantLib::Fdm2dBlackScholesSolver::Fdm2dBlackScholesSolver(QuantLib::Handle<QuantLib::GeneralizedBlackScholesProcess>, QuantLib::Handle<QuantLib::GeneralizedBlackScholesProcess>, double, QuantLib::FdmSolverDesc, QuantLib::FdmSchemeDesc const&, bool, double)

    void Fdm2dBlackScholesSolver::performCalculations() const {

        ext::shared_ptr<Fdm2dBlackScholesOp> op(

      ext::make_shared<Fdm2dBlackScholesOp>(solverDesc_.mesher,

                                        p1_.currentLink(), 

                                        p2_.currentLink(), 

                                        correlation_,

                                        solverDesc_.maturity,

                                        localVol_,

                                        illegalLocalVolOverwrite_));

        solver_ = ext::make_shared<Fdm2DimSolver>(solverDesc_, schemeDesc_, op);

    }

    Real Fdm2dBlackScholesSolver::valueAt(Real u, Real v) const {

        calculate();

        const Real x = std::log(u);

        const Real y = std::log(v);

        return solver_->interpolateAt(x, y);

    }

    Real Fdm2dBlackScholesSolver::thetaAt(Real u, Real v) const {

        calculate();

        const Real x = std::log(u);

        const Real y = std::log(v);

        return solver_->thetaAt(x, y);

    }

    Real Fdm2dBlackScholesSolver::deltaXat(Real u, Real v) const {

        calculate();

        const Real x = std::log(u);

        const Real y = std::log(v);

        return solver_->derivativeX(x, y)/u;

    }

    Real Fdm2dBlackScholesSolver::deltaYat(Real u, Real v) const {

        calculate();

        const Real x = std::log(u);

        const Real y = std::log(v);

        return solver_->derivativeY(x, y)/v;

    }

    Real Fdm2dBlackScholesSolver::gammaXat(Real u, Real v) const {

        calculate();

        const Real x = std::log(u);

        const Real y = std::log(v);

        return (solver_->derivativeXX(x, y)

                -solver_->derivativeX(x, y))/(u*u);

    }

    Real Fdm2dBlackScholesSolver::gammaYat(Real u, Real v) const {

        calculate();

        const Real x = std::log(u);

        const Real y = std::log(v);

        return (solver_->derivativeYY(x, y)

                -solver_->derivativeY(x, y))/(v*v);

    }

    Real Fdm2dBlackScholesSolver::gammaXYat(Real u, Real v) const {

        calculate();

        const Real x = std::log(u);

        const Real y = std::log(v);

        return solver_->derivativeXY(x, y)/(u*v);

    }

}