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

/*

 Copyright (C) 2015 Johannes Göttker-Schnetmann

 Copyright (C) 2015 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.

*/

/*! \file bsmrndcalculator.hpp

    \brief risk neutral terminal density calculator for the

           Black-Scholes-Merton model with constant volatility

*/

#include <ql/math/distributions/normaldistribution.hpp>

#include <ql/methods/finitedifferences/utilities/bsmrndcalculator.hpp>

#include <ql/processes/blackscholesprocess.hpp>

#include <cmath>

#include <utility>

namespace QuantLib {

    BSMRNDCalculator::BSMRNDCalculator(ext::shared_ptr<GeneralizedBlackScholesProcess> process)

    : process_(std::move(process)) {}

    std::pair<Real, Volatility>

    BSMRNDCalculator::distributionParams(Real x, Time t) const {

        const Volatility stdDev =

            process_->blackVolatility()->blackVol(t, std::exp(x))*std::sqrt(t);

        const Real mean = std::log(process_->x0()) - 0.5*stdDev*stdDev

            + std::log(  process_->dividendYield()->discount(t)

                       / process_->riskFreeRate()->discount(t));

        return std::make_pair(mean, stdDev);

    }

    Real BSMRNDCalculator::pdf(Real x, Time t) const {

        std::pair<Real, Volatility> p = distributionParams(x, t);

        return NormalDistribution(p.first, p.second)(x);

    }

    Real BSMRNDCalculator::cdf(Real x, Time t) const {

        std::pair<Real, Volatility> p = distributionParams(x, t);

        return CumulativeNormalDistribution(p.first, p.second)(x);

    }

    Real BSMRNDCalculator::invcdf(Real x, Time t) const {

        std::pair<Real, Volatility> p = distributionParams(x, t);

        return InvCumulativeNormalDistribution(p.first, p.second)(x);

    }

}