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

/*

 Copyright (C) 2008 Frank Hövermann

 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/experimental/volatility/extendedblackvariancecurve.hpp>

#include <ql/math/interpolations/linearinterpolation.hpp>

#include <utility>

namespace QuantLib {

    ExtendedBlackVarianceCurve::ExtendedBlackVarianceCurve(const Date& referenceDate,

                                                           const std::vector<Date>& dates,

                                                           std::vector<Handle<Quote> > volatilities,

                                                           DayCounter dayCounter,

                                                           bool forceMonotoneVariance)

    : BlackVarianceTermStructure(referenceDate), dayCounter_(std::move(dayCounter)),

      maxDate_(dates.back()), volatilities_(std::move(volatilities)),

      forceMonotoneVariance_(forceMonotoneVariance) {

        QL_REQUIRE(dates.size() == volatilities_.size(),

                   "size mismatch between dates and volatilities");

        QL_REQUIRE(dates[0] > referenceDate,

                   "cannot have dates_[0] <= referenceDate");

        variances_ = std::vector<Real>(dates.size()+1);

        times_ = std::vector<Time>(dates.size()+1);

        times_[0] = 0.0;

        for (Size j=1; j<=dates.size(); ++j) {

            times_[j] = timeFromReference(dates[j-1]);

            QL_REQUIRE(times_[j]>times_[j-1],

                       "dates must be sorted unique!");

        }

        setVariances();

        setInterpolation<Linear>();

        for (auto& volatilitie : volatilities_)

            registerWith(volatilitie);

    }

Unexecuted instantiation: QuantLib::ExtendedBlackVarianceCurve::ExtendedBlackVarianceCurve(QuantLib::Date const&, std::__1::vector<QuantLib::Date, std::__1::allocator<QuantLib::Date> > const&, std::__1::vector<QuantLib::Handle<QuantLib::Quote>, std::__1::allocator<QuantLib::Handle<QuantLib::Quote> > >, QuantLib::DayCounter, bool)

Unexecuted instantiation: QuantLib::ExtendedBlackVarianceCurve::ExtendedBlackVarianceCurve(QuantLib::Date const&, std::__1::vector<QuantLib::Date, std::__1::allocator<QuantLib::Date> > const&, std::__1::vector<QuantLib::Handle<QuantLib::Quote>, std::__1::allocator<QuantLib::Handle<QuantLib::Quote> > >, QuantLib::DayCounter, bool)

    void ExtendedBlackVarianceCurve::setVariances() {

        variances_[0] = 0.0;

        for (Size j=1; j<=volatilities_.size(); j++) {

            Volatility sigma = volatilities_[j-1]->value();

            variances_[j] = times_[j] * sigma * sigma;

            QL_REQUIRE(variances_[j]>=variances_[j-1]

                       || !forceMonotoneVariance_,

                       "variance must be non-decreasing");

        }

    }

    void ExtendedBlackVarianceCurve::update() {

        setVariances();

        varianceCurve_.update();

        notifyObservers();

    }

    Real ExtendedBlackVarianceCurve::blackVarianceImpl(Time t, Real) const {

        if (t<=times_.back()) {

            return varianceCurve_(t, true);

        } else {

            return varianceCurve_(times_.back(), true)*t/times_.back();

        }

    }

}