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

/*

 Copyright (C) 2013 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 atmadjustedsmilesection.hpp

    \brief smile section that allows for alternate specification of atm level

   and recentering the source volatility accordingly

*/

#ifndef quantlib_atm_adjusted_smile_section_hpp

#define quantlib_atm_adjusted_smile_section_hpp

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

namespace QuantLib {

    class AtmAdjustedSmileSection : public SmileSection {

      public:

        explicit AtmAdjustedSmileSection(const ext::shared_ptr<SmileSection>& source,

                                         Real atm = Null<Real>(),

                                         bool recenterSmile = false);

        Real minStrike() const override { return source_->minStrike(); }

        Real maxStrike() const override { return source_->maxStrike(); }

        Real atmLevel() const override { return f_; }

        const Date& exerciseDate() const override { return source_->exerciseDate(); }

        Time exerciseTime() const override { return source_->exerciseTime(); }

        const DayCounter& dayCounter() const override { return source_->dayCounter(); }

        const Date& referenceDate() const override { return source_->referenceDate(); }

        VolatilityType volatilityType() const override { return source_->volatilityType(); }

        Rate shift() const override { return source_->shift(); }

        Real optionPrice(Rate strike,

                         Option::Type type = Option::Call,

                         Real discount = 1.0) const override {

            return source_->optionPrice(adjustedStrike(strike), type, discount);

        }

        Real digitalOptionPrice(Rate strike,

                                Option::Type type = Option::Call,

                                Real discount = 1.0,

                                Real gap = 1.0e-5) const override {

            return source_->digitalOptionPrice(adjustedStrike(strike), type,

                                               discount, gap);

        }

        Real vega(Rate strike, Real discount = 1.0) const override {

            return source_->vega(adjustedStrike(strike), discount);

        }

        Real density(Rate strike, Real discount = 1.0, Real gap = 1.0E-4) const override {

            return source_->density(adjustedStrike(strike), discount, gap);

        }

      protected:

        Real varianceImpl(Rate strike) const override;

        Volatility volatilityImpl(Rate strike) const override;

      private:

        Real adjustedStrike(Real strike) const;

        ext::shared_ptr<SmileSection> source_;

        Real adjustment_;

        Real f_;

    };

}

#endif