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

/*

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

 Copyright (C) 2003, 2004 StatPro Italia srl

 Copyright (C) 2009 Ferdinando Ametrano

 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 zeroyieldstructure.hpp

    \brief Zero-yield based term structure

*/

#ifndef quantlib_zero_yield_structure_hpp

#define quantlib_zero_yield_structure_hpp

#include <ql/termstructures/yieldtermstructure.hpp>

namespace QuantLib {

    //! Zero-yield term structure

    /*! This abstract class acts as an adapter to YieldTermStructure

        allowing the programmer to implement only the

        <tt>zeroYieldImpl(Time)</tt> method in derived classes.

        Discount and forward are calculated from zero yields.

        Zero rates are assumed to be annual continuous compounding.

        \ingroup yieldtermstructures

    */

    class ZeroYieldStructure : public YieldTermStructure {

      public:

        /*! \name Constructors

            See the TermStructure documentation for issues regarding

            constructors.

        */

        //@{

        explicit ZeroYieldStructure(

            const DayCounter& dc = DayCounter());

        explicit ZeroYieldStructure(

            const Date& referenceDate,

            const Calendar& calendar = Calendar(),

            const DayCounter& dc = DayCounter(),

            const std::vector<Handle<Quote> >& jumps = {},

            const std::vector<Date>& jumpDates = {});

        ZeroYieldStructure(

            Natural settlementDays,

            const Calendar& calendar,

            const DayCounter& dc = DayCounter(),

            const std::vector<Handle<Quote> >& jumps = {},

            const std::vector<Date>& jumpDates = {});

        //@}

      protected:

        /*! \name Calculations

            This method must be implemented in derived classes to

            perform the actual calculations. When it is called,

            range check has already been performed; therefore, it

            must assume that extrapolation is required.

        */

        //@{

        //! zero-yield calculation

        virtual Rate zeroYieldImpl(Time) const = 0;

        //@}

        //! \name YieldTermStructure implementation

        //@{

        /*! Returns the discount factor for the given date calculating it

            from the zero yield.

        */

        DiscountFactor discountImpl(Time) const override;

        //@}

    };

    // inline definitions

    inline DiscountFactor ZeroYieldStructure::discountImpl(Time t) const {

        if (t == 0.0)     // this acts as a safe guard in cases where

            return 1.0;   // zeroYieldImpl(0.0) would throw.

        Rate r = zeroYieldImpl(t);

        return DiscountFactor(std::exp(-r*t));

    }

}

#endif