/* -*- 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.

*/

/*! \file piecewisetimedependenthestonmodel.hpp

    \brief piecewise constant time dependent Heston-model

*/

#ifndef quantlib_piecewise_time_dependent_heston_model_hpp

#define quantlib_piecewise_time_dependent_heston_model_hpp

#include <ql/timegrid.hpp>

#include <ql/models/model.hpp>

namespace QuantLib {

    //! Piecewise time dependent Heston model

    /*! References:

        Heston, Steven L., 1993. A Closed-Form Solution for Options

        with Stochastic Volatility with Applications to Bond and

        Currency Options.  The review of Financial Studies, Volume 6,

        Issue 2, 327-343.

        A. Elices, Models with time-dependent parameters using 

        transform methods: application to Heston’s model,

        http://arxiv.org/pdf/0708.2020

    */

    class PiecewiseTimeDependentHestonModel : public CalibratedModel {

      public:

        PiecewiseTimeDependentHestonModel(const Handle<YieldTermStructure>& riskFreeRate,

                                          const Handle<YieldTermStructure>& dividendYield,

                                          const Handle<Quote>& s0,

                                          Real v0,

                                          const Parameter& theta,

                                          const Parameter& kappa,

                                          const Parameter& sigma,

                                          const Parameter& rho,

                                          TimeGrid timeGrid);

        // variance mean version level

        Real theta(Time t) const { return arguments_[0](t); }

        // variance mean reversion speed

        Real kappa(Time t) const { return arguments_[1](t); }

        // volatility of the volatility

        Real sigma(Time t) const { return arguments_[2](t); }

        // correlation

        Real rho(Time t)   const { return arguments_[3](t); }

        // spot variance

        Real v0()          const { return arguments_[4](0.0); }

        // spot

        Real s0()          const { return s0_->value(); }

        const TimeGrid& timeGrid() const;

        const Handle<YieldTermStructure>& dividendYield() const;

        const Handle<YieldTermStructure>& riskFreeRate() const;

      protected:

        const Handle<Quote> s0_;

        const Handle<YieldTermStructure> riskFreeRate_;

        const Handle<YieldTermStructure> dividendYield_;

        const TimeGrid timeGrid_;

    };

}

#endif