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

/*

 Copyright (C) 2007 Ferdinando Ametrano

 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 sabrvolsurface.hpp

    \brief SABR volatility (smile) surface

*/

#ifndef quantlib_sabr_vol_surface_hpp

#define quantlib_sabr_vol_surface_hpp

#include <ql/experimental/volatility/interestratevolsurface.hpp>

#include <ql/experimental/volatility/blackatmvolcurve.hpp>

#include <ql/quote.hpp>

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

#include <array>

namespace QuantLib {

    //! SABR volatility (smile) surface

    /*! blah blah

    */

    class SabrVolSurface : public InterestRateVolSurface {

      public:

        SabrVolSurface(const ext::shared_ptr<InterestRateIndex>&,

                       Handle<BlackAtmVolCurve>,

                       const std::vector<Period>& optionTenors,

                       std::vector<Spread> atmRateSpreads,

                       std::vector<std::vector<Handle<Quote> > > volSpreads);

        //@}

        // All virtual methods of base classes must be forwarded

        //! \name TermStructure interface

        //@{

        DayCounter dayCounter() const override;

        Date maxDate() const override;

        Time maxTime() const override;

        const Date& referenceDate() const override;

        Calendar calendar() const override;

        Natural settlementDays() const override;

        //@}

        //! \name VolatilityTermStructure interface

        //@{

        Real minStrike() const override;

        Real maxStrike() const override;

        //@}

        const Handle<BlackAtmVolCurve>& atmCurve() const;

        //! \name Visitability

        //@{

        void accept(AcyclicVisitor&) override;

        //@}

        std::vector<Volatility> volatilitySpreads(const Period&) const;

        std::vector<Volatility> volatilitySpreads(const Date&) const;

      protected:

        std::array<Real, 4> sabrGuesses(const Date&) const;

      public:

        //@}

        //! \name BlackVolSurface interface

        //@{

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

        //@}

      protected:

        //@}

        //! \name LazyObject interface

        //@{

        void performCalculations () const;

        void update() override;

        //@}

      private:

        void registerWithMarketData();

        void checkInputs() const;

        void updateSabrGuesses(const Date& d, std::array<Real, 4> newGuesses) const;

        Handle<BlackAtmVolCurve> atmCurve_;

        std::vector<Period> optionTenors_;

        std::vector<Time> optionTimes_;

        std::vector<Date> optionDates_;

        std::vector<Spread> atmRateSpreads_;

        std::vector<std::vector<Handle<Quote> > > volSpreads_;

        //

        bool isAlphaFixed_;

        bool isBetaFixed_;

        bool isNuFixed_;

        bool isRhoFixed_;

        bool vegaWeighted_;

        //

        mutable std::vector<std::array<Real,4>> sabrGuesses_;

    };

    // inline

    inline DayCounter SabrVolSurface::dayCounter() const {

        return atmCurve_->dayCounter();

    }

    inline Date SabrVolSurface::maxDate() const {

        return atmCurve_->maxDate();

    }

    inline Time SabrVolSurface::maxTime() const {

        return atmCurve_->maxTime();

    }

    inline const Date& SabrVolSurface::referenceDate() const {

        return atmCurve_->referenceDate();

    }

    inline Calendar SabrVolSurface::calendar() const {

        return atmCurve_->calendar();

    }

    inline Natural SabrVolSurface::settlementDays() const {

        return atmCurve_->settlementDays();

    }

    inline Real SabrVolSurface::minStrike() const {

        return QL_MIN_REAL;

    }

    inline Real SabrVolSurface::maxStrike() const {

        return QL_MAX_REAL;

    }

    inline const Handle<BlackAtmVolCurve>& SabrVolSurface::atmCurve() const {

        return atmCurve_;

    }

    inline std::vector<Volatility>

    SabrVolSurface::volatilitySpreads(const Period& p) const {

        return volatilitySpreads(optionDateFromTenor(p));

    }

}

#endif