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

/*

 Copyright (C) 2021 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 tanhsinhintegral.hpp

*/

#ifndef quantlib_tanh_sinh_integral_hpp

#define quantlib_tanh_sinh_integral_hpp

#include <ql/types.hpp>

#include <ql/utilities/null.hpp>

#include <ql/math/integrals/integral.hpp>

#if BOOST_VERSION >= 106900

#define QL_BOOST_HAS_TANH_SINH

#include <boost/math/quadrature/tanh_sinh.hpp>

#include <limits>

namespace QuantLib {

    /*! The tanh-sinh quadrature routine provided by boost is a rapidly convergent

        numerical integration scheme for holomorphic integrands. The tolerance

        is used against the error estimate for the L1 norm of the integral.

    */

    class TanhSinhIntegral : public Integrator {

      public:

        TanhSinhIntegral(

            Real relTolerance = std::sqrt(std::numeric_limits<Real>::epsilon()),

            Size maxRefinements = 15,

            Real minComplement = std::numeric_limits<Real>::min() * 4

            )

      : Integrator(QL_MAX_REAL, Null<Size>()),

        relTolerance_(relTolerance),

        tanh_sinh_(maxRefinements, minComplement) {}

      protected:

        Real integrate(const std::function<Real(Real)>& f, Real a, Real b)

        const override {

            Real error;

            Real value = tanh_sinh_.integrate(

                [this, f](Real x)-> Real {

                    increaseNumberOfEvaluations(1);

                    return f(x);

                },

                a, b, relTolerance_, &error);

            setAbsoluteError(error);

            return value;

        }

      private:

        const Real relTolerance_;

        mutable boost::math::quadrature::tanh_sinh<Real> tanh_sinh_;

    };

}

#else

namespace QuantLib {

    class TanhSinhIntegral : public Integrator {

      public:

        TanhSinhIntegral(Real relTolerance = 0, Size maxRefinements = 0, Real minComplement = 0)

        : Integrator(Null<Real>(), Null<Size>()) {

            QL_FAIL("boost version 1.69 or higher is required in order to use TanhSinhIntegral");

        }

      protected:

        Real integrate(const std::function<Real(Real)>& f, Real a, Real b) const override {

            QL_FAIL("boost version 1.69 or higher is required in order to use TanhSinhIntegral");

        }

    };

}

#endif

#endif