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

/*

 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 gaussian1dswaptionvolatility.hpp

    \brief swaption volatility implied by a gaussian 1d model

*/

#ifndef quantlib_swaption_gaussian1d_swaption_volatility_hpp

#define quantlib_swaption_gaussian1d_swaption_volatility_hpp

#include <ql/termstructures/volatility/swaption/swaptionvolstructure.hpp>

#include <ql/time/period.hpp>

#include <ql/indexes/swapindex.hpp>

#include <ql/models/shortrate/onefactormodels/gaussian1dmodel.hpp>

#include <ql/pricingengines/swaption/gaussian1dswaptionengine.hpp>

namespace QuantLib {

class Quote;

class Gaussian1dSwaptionVolatility : public SwaptionVolatilityStructure {

  public:

    Gaussian1dSwaptionVolatility(const Calendar& cal,

                                 BusinessDayConvention bdc,

                                 ext::shared_ptr<SwapIndex> indexBase,

                                 const ext::shared_ptr<Gaussian1dModel>& model,

                                 const DayCounter& dc,

                                 ext::shared_ptr<Gaussian1dSwaptionEngine> swaptionEngine =

                                     ext::shared_ptr<Gaussian1dSwaptionEngine>());

    //@{

    Date maxDate() const override { return Date::maxDate(); }

    //@}

    //! \name VolatilityTermStructure interface

    //@{

    Real minStrike() const override { return 0.0; }

    Real maxStrike() const override { return QL_MAX_REAL; }

    //@}

    //! \name SwaptionVolatilityStructure interface

    //@{

    const Period& maxSwapTenor() const override { return maxSwapTenor_; }

    //@}

  protected:

    ext::shared_ptr<SmileSection> smileSectionImpl(const Date&, const Period&) const override;

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

    Volatility volatilityImpl(const Date&, const Period&, Rate) const override;

    Volatility volatilityImpl(Time, Time, Rate) const override;

  private:

    ext::shared_ptr<SwapIndex> indexBase_;

    ext::shared_ptr<Gaussian1dModel> model_;

    ext::shared_ptr<Gaussian1dSwaptionEngine> engine_;

    const Period maxSwapTenor_;

    class DateHelper {

      public:

        DateHelper(const TermStructure &ts, const Time t) : ts_(ts), t_(t) {}

        Real operator()(Real date) const {

            Date d1(static_cast<Date::serial_type>(date));

            Date d2(static_cast<Date::serial_type>(date) + 1);

            Real t1 = ts_.timeFromReference(d1) - t_;

            Real t2 = ts_.timeFromReference(d2) - t_;

            Real h = date - static_cast<Date::serial_type>(date);

            return h * t2 + (1.0 - h) * t1;

        }

        Real derivative(Real date) const {

            // use fwd difference to avoid dates before reference date

            return (operator()(date + 1E-6) - operator()(date)) * 1E6;

        }

        const TermStructure &ts_;

        const Time t_;

    };

};

}

#endif