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

/*

 Copyright (C) 2009, 2011 Chris Kenyon

 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.

 */

#include <ql/termstructures/volatility/inflation/cpivolatilitystructure.hpp>

#include <ql/termstructures/inflationtermstructure.hpp>

namespace QuantLib {

    CPIVolatilitySurface::CPIVolatilitySurface(Natural settlementDays,

                                               const Calendar& cal,

                                               BusinessDayConvention bdc,

                                               const DayCounter& dc,

                                               const Period& observationLag,

                                               Frequency frequency,

                                               bool indexIsInterpolated)

    : VolatilityTermStructure(settlementDays, cal, bdc, dc),

      baseLevel_(Null<Volatility>()), observationLag_(observationLag),

      frequency_(frequency), indexIsInterpolated_(indexIsInterpolated)

    {}

    Date CPIVolatilitySurface::baseDate() const {

        // Depends on interpolation, or not, of observed index

        // and observation lag with which it was built.

        // We want this to work even if the index does not

        // have a term structure.

        if (indexIsInterpolated()) {

            return referenceDate() - observationLag();

        } else {

            return inflationPeriod(referenceDate() - observationLag(),

                                   frequency()).first;

        }

    }

    void CPIVolatilitySurface::checkRange(const Date& d, Rate strike,

                                          bool extrapolate) const {

        QL_REQUIRE(d >= baseDate(),

                   "date (" << d << ") is before base date");

        QL_REQUIRE(extrapolate || allowsExtrapolation() || d <= maxDate(),

                   "date (" << d << ") is past max curve date ("

                   << maxDate() << ")");

        QL_REQUIRE(extrapolate || allowsExtrapolation() ||

                   (strike >= minStrike() && strike <= maxStrike()),

                   "strike (" << strike << ") is outside the curve domain ["

                   << minStrike() << "," << maxStrike()<< "]] at date = " << d);

    }

    void CPIVolatilitySurface::checkRange(Time t, Rate strike,

                                          bool extrapolate) const {

        QL_REQUIRE(t >= timeFromReference(baseDate()),

                   "time (" << t << ") is before base date");

        QL_REQUIRE(extrapolate || allowsExtrapolation() || t <= maxTime(),

                   "time (" << t << ") is past max curve time ("

                   << maxTime() << ")");

        QL_REQUIRE(extrapolate || allowsExtrapolation() ||

                   (strike >= minStrike() && strike <= maxStrike()),

                   "strike (" << strike << ") is outside the curve domain ["

                   << minStrike() << "," << maxStrike()<< "] at time = " << t);

    }

    Volatility CPIVolatilitySurface::volatility(const Date& maturityDate,

                                                Rate strike,

                                                const Period& obsLag,

                                                bool extrapolate) const {

        Period useLag = obsLag;

        if (obsLag==Period(-1,Days)) {

            useLag = observationLag();

        }

        if (indexIsInterpolated()) {

            checkRange(maturityDate-useLag, strike, extrapolate);

            Time t = timeFromReference(maturityDate-useLag);

            return volatilityImpl(t,strike);

        } else {

            std::pair<Date,Date> dd =

                inflationPeriod(maturityDate-useLag, frequency());

            checkRange(dd.first, strike, extrapolate);

            Time t = timeFromReference(dd.first);

            return volatilityImpl(t,strike);

        }

    }

    Volatility CPIVolatilitySurface::volatility(const Period& optionTenor,

                                                Rate strike,

                                                const Period& obsLag,

                                                bool extrapolate) const {

        Date maturityDate = optionDateFromTenor(optionTenor);

        return volatility(maturityDate, strike, obsLag, extrapolate);

    }

    Volatility CPIVolatilitySurface::volatility(Time time, Rate strike) const {

        return volatilityImpl(time, strike);

    }

    //! needed for total variance calculations

    Time CPIVolatilitySurface::timeFromBase(const Date& maturityDate,

                                            const Period& obsLag) const {

        Period useLag = obsLag;

        if (obsLag==Period(-1,Days)) {

            useLag = observationLag();

        }

        Date useDate;

        if (indexIsInterpolated()) {

            useDate = maturityDate - useLag;

        } else {

            useDate = inflationPeriod(maturityDate - useLag,

                                      frequency()).first;

        }

        // This assumes that the inflation term structure starts

        // as late as possible given the inflation index definition,

        // which is the usual case.

        return dayCounter().yearFraction(baseDate(), useDate);

    }

    Volatility CPIVolatilitySurface::totalVariance(const Date& maturityDate,

                                                   Rate strike,

                                                   const Period& obsLag,

                                                   bool extrapolate) const {

        Volatility vol = volatility(maturityDate, strike, obsLag, extrapolate);

        Time t = timeFromBase(maturityDate, obsLag);

        return vol*vol*t;

    }

    Volatility CPIVolatilitySurface::totalVariance(const Period& tenor,

                                                   Rate strike,

                                                   const Period& obsLag,

                                                   bool extrap) const {

        Date maturityDate = optionDateFromTenor(tenor);

        return totalVariance(maturityDate, strike, obsLag, extrap);

    }

}