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

/*

 Copyright (C) 2002, 2003 Ferdinando Ametrano

 Copyright (C) 2003, 2004, 2005, 2006 StatPro Italia srl

 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 blackatmvolcurve.hpp

    \brief Black at-the-money (no-smile) volatility curve base class

*/

#ifndef quantlib_black_atm_vol_curve_hpp

#define quantlib_black_atm_vol_curve_hpp

#include <ql/termstructures/voltermstructure.hpp>

#include <ql/patterns/visitor.hpp>

namespace QuantLib {

    //! Black at-the-money (no-smile) volatility curve

    /*! This abstract class defines the interface of concrete

        Black at-the-money (no-smile) volatility curves which will be

        derived from this one.

        Volatilities are assumed to be expressed on an annual basis.

    */

    class BlackAtmVolCurve : public VolatilityTermStructure {

      public:

        /*! \name Constructors

            See the TermStructure documentation for issues regarding

            constructors.

        */

        //@{

        //! default constructor

        /*! \warning term structures initialized by means of this

                     constructor must manage their own reference date

                     by overriding the referenceDate() method.

        */

        BlackAtmVolCurve(BusinessDayConvention bdc = Following,

                         const DayCounter& dc = DayCounter());

        //! initialize with a fixed reference date

        BlackAtmVolCurve(const Date& referenceDate,

                         const Calendar& cal = Calendar(),

                         BusinessDayConvention bdc = Following,

                         const DayCounter& dc = DayCounter());

        //! calculate the reference date based on the global evaluation date

        BlackAtmVolCurve(Natural settlementDays,

                         const Calendar&,

                         BusinessDayConvention bdc = Following,

                         const DayCounter& dc = DayCounter());

        //@}

        ~BlackAtmVolCurve() override = default;

        //! \name Black at-the-money spot volatility

        //@{

        //! spot at-the-money volatility

        Volatility atmVol(const Period& optionTenor,

                          bool extrapolate = false) const;

        //! spot at-the-money volatility

        Volatility atmVol(const Date& maturity,

                          bool extrapolate = false) const;

        //! spot at-the-money volatility

        Volatility atmVol(Time maturity,

                          bool extrapolate = false) const;

        //! spot at-the-money variance

        Real atmVariance(const Period& optionTenor,

                         bool extrapolate = false) const;

        //! spot at-the-money variance

        Real atmVariance(const Date& maturity,

                         bool extrapolate = false) const;

        //! spot at-the-money variance

        Real atmVariance(Time maturity,

                         bool extrapolate = false) const;

        //@}

        //! \name Visitability

        //@{

        virtual void accept(AcyclicVisitor&);

        //@}

      protected:

        /*! \name Calculations

            These methods must be implemented in derived classes to perform

            the actual volatility calculations. When they are called,

            range check has already been performed; therefore, they must

            assume that extrapolation is required.

        */

        //@{

        //! spot at-the-money variance calculation

        virtual Real atmVarianceImpl(Time t) const = 0;

        //! spot at-the-money volatility calculation

        virtual Volatility atmVolImpl(Time t) const = 0;

        //@}

    };

}

#endif