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

/*

 Copyright (C) 2014 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 sviinterpolatedsmilesection.hpp

    \brief svi interpolating smile section

*/

#ifndef quantlib_svi_interpolated_smile_section_hpp

#define quantlib_svi_interpolated_smile_section_hpp

#include <ql/handle.hpp>

#include <ql/patterns/lazyobject.hpp>

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

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

#include <ql/time/daycounters/actual365fixed.hpp>

namespace QuantLib {

class Quote;

class SviInterpolatedSmileSection : public SmileSection, public LazyObject {

  public:

    //! \name Constructors

    //@{

    //! all market data are quotes

    SviInterpolatedSmileSection(

        const Date& optionDate,

        Handle<Quote> forward,

        const std::vector<Rate>& strikes,

        bool hasFloatingStrikes,

        Handle<Quote> atmVolatility,

        const std::vector<Handle<Quote> >& volHandles,

        Real a,

        Real b,

        Real sigma,

        Real rho,

        Real m,

        bool aIsFixed,

        bool bIsFixed,

        bool sigmaIsFixed,

        bool rhoIsFixed,

        bool mIsFixed,

        bool vegaWeighted = true,

        ext::shared_ptr<EndCriteria> endCriteria = ext::shared_ptr<EndCriteria>(),

        ext::shared_ptr<OptimizationMethod> method = ext::shared_ptr<OptimizationMethod>(),

        const DayCounter& dc = Actual365Fixed());

    //! no quotes

    SviInterpolatedSmileSection(

        const Date& optionDate,

        const Rate& forward,

        const std::vector<Rate>& strikes,

        bool hasFloatingStrikes,

        const Volatility& atmVolatility,

        const std::vector<Volatility>& vols,

        Real a,

        Real b,

        Real sigma,

        Real rho,

        Real m,

        bool isAFixed,

        bool isBFixed,

        bool isSigmaFixed,

        bool isRhoFixed,

        bool isMFixed,

        bool vegaWeighted = true,

        ext::shared_ptr<EndCriteria> endCriteria = ext::shared_ptr<EndCriteria>(),

        ext::shared_ptr<OptimizationMethod> method = ext::shared_ptr<OptimizationMethod>(),

        const DayCounter& dc = Actual365Fixed());

    //@}

    //! \name LazyObject interface

    //@{

    void performCalculations() const override;

    void update() override;

    //@}

    //! \name SmileSection interface

    //@{

    Real minStrike() const override;

    Real maxStrike() const override;

    Real atmLevel() const override;

    //@}

    Real varianceImpl(Rate strike) const override;

    Volatility volatilityImpl(Rate strike) const override;

    //! \name Inspectors

    //@{

    Real a() const;

    Real b() const;

    Real sigma() const;

    Real rho() const;

    Real m() const;

    Real rmsError() const;

    Real maxError() const;

    EndCriteria::Type endCriteria() const;

    //@}

  protected:

    //! Creates the mutable SviInterpolation

    void createInterpolation() const;

    mutable ext::shared_ptr<SviInterpolation> sviInterpolation_;

    //! Market data

    const Handle<Quote> forward_;

    const Handle<Quote> atmVolatility_;

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

    mutable std::vector<Rate> strikes_;

    //! Only strikes corresponding to valid market data

    mutable std::vector<Rate> actualStrikes_;

    bool hasFloatingStrikes_;

    mutable Real forwardValue_;

    mutable std::vector<Volatility> vols_;

    //! Svi parameters

    Real a_, b_, sigma_, rho_, m_;

    //! Svi interpolation settings

    bool isAFixed_, isBFixed_, isSigmaFixed_, isRhoFixed_, isMFixed_;

    bool vegaWeighted_;

    const ext::shared_ptr<EndCriteria> endCriteria_;

    const ext::shared_ptr<OptimizationMethod> method_;

};

inline void SviInterpolatedSmileSection::update() {

    LazyObject::update();

    SmileSection::update();

}

inline Real SviInterpolatedSmileSection::volatilityImpl(Rate strike) const {

    calculate();

    return (*sviInterpolation_)(strike, true);

}

inline Real SviInterpolatedSmileSection::a() const {

    calculate();

    return sviInterpolation_->a();

}

inline Real SviInterpolatedSmileSection::b() const {

    calculate();

    return sviInterpolation_->b();

}

inline Real SviInterpolatedSmileSection::sigma() const {

    calculate();

    return sviInterpolation_->sigma();

}

inline Real SviInterpolatedSmileSection::rho() const {

    calculate();

    return sviInterpolation_->rho();

}

inline Real SviInterpolatedSmileSection::m() const {

    calculate();

    return sviInterpolation_->m();

}

inline Real SviInterpolatedSmileSection::rmsError() const {

    calculate();

    return sviInterpolation_->rmsError();

}

inline Real SviInterpolatedSmileSection::maxError() const {

    calculate();

    return sviInterpolation_->maxError();

}

inline EndCriteria::Type SviInterpolatedSmileSection::endCriteria() const {

    calculate();

    return sviInterpolation_->endCriteria();

}

inline Real SviInterpolatedSmileSection::minStrike() const {

    calculate();

    return actualStrikes_.front();

}

inline Real SviInterpolatedSmileSection::maxStrike() const {

    calculate();

    return actualStrikes_.back();

}

inline Real SviInterpolatedSmileSection::atmLevel() const {

    calculate();

    return forwardValue_;

}

}

#endif