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

/*

 Copyright (C) 2005 Klaus Spanderen

 Copyright (C) 2015 Peter Caspers

 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 capletvariancecurve.hpp

    \brief caplet variance curve

*/

#ifndef quantlib_caplet_variance_curve_hpp

#define quantlib_caplet_variance_curve_hpp

#include <ql/termstructures/volatility/optionlet/optionletvolatilitystructure.hpp>

#include <ql/termstructures/volatility/equityfx/blackvariancecurve.hpp>

#include <ql/termstructures/volatility/flatsmilesection.hpp>

namespace QuantLib {

    class CapletVarianceCurve : public OptionletVolatilityStructure {

      public:

        CapletVarianceCurve(const Date &referenceDate,

                            const std::vector< Date > &dates,

                            const std::vector< Volatility > &capletVolCurve,

                            const DayCounter &dayCounter,

                            VolatilityType type = ShiftedLognormal,

                            Real displacement = 0.0);

        //! \name TermStructure interface

        //@{

        DayCounter dayCounter() const override;

        Date maxDate() const override;

        //@}

        Real minStrike() const override;

        Real maxStrike() const override;

        VolatilityType volatilityType() const override;

        Real displacement() const override;

      protected:

        ext::shared_ptr<SmileSection> smileSectionImpl(Time t) const override;

        Volatility volatilityImpl(Time t, Rate) const override;

      private:

        BlackVarianceCurve blackCurve_;

        VolatilityType type_;

        Real displacement_;

    };

    inline CapletVarianceCurve::CapletVarianceCurve(

        const Date &referenceDate, const std::vector< Date > &dates,

        const std::vector< Volatility > &capletVolCurve,

        const DayCounter &dayCounter, VolatilityType type, Real displacement)

        : OptionletVolatilityStructure(referenceDate, Calendar(), Following),

          blackCurve_(referenceDate, dates, capletVolCurve, dayCounter, false),

          type_(type), displacement_(displacement) {}

    inline DayCounter CapletVarianceCurve::dayCounter() const {

        return blackCurve_.dayCounter();

    }

    inline Date CapletVarianceCurve::maxDate() const {

        return blackCurve_.maxDate();

    }

    inline Real CapletVarianceCurve::minStrike() const {

        return blackCurve_.minStrike();

    }

    inline Real CapletVarianceCurve::maxStrike() const {

        return blackCurve_.maxStrike();

    }

    inline ext::shared_ptr<SmileSection>

    CapletVarianceCurve::smileSectionImpl(Time t) const {

        // dummy strike

        Volatility atmVol = blackCurve_.blackVol(t, 0.05, true);

        return ext::make_shared<FlatSmileSection>(t, atmVol, dayCounter());

    }

    inline

    Volatility CapletVarianceCurve::volatilityImpl(Time t, Rate r) const {

        return blackCurve_.blackVol(t, r, true);

    }

    inline VolatilityType CapletVarianceCurve::volatilityType() const {

        return type_;

    }

    inline Real CapletVarianceCurve::displacement() const {

        return displacement_;

    }

}

#endif