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

/*

 Copyright (C) 2006 Mario Pucci

 Copyright (C) 2015 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 sabrsmilesection.hpp

    \brief sabr smile section class

*/

#ifndef quantlib_sabr_smile_section_hpp

#define quantlib_sabr_smile_section_hpp

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

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

#include <vector>

namespace QuantLib {

    class SabrSmileSection : public SmileSection {

      public:

        SabrSmileSection(Time timeToExpiry,

                         Rate forward,

                         const std::vector<Real>& sabrParameters,

                         Real shift = 0.0,

                         VolatilityType volatilityType = VolatilityType::ShiftedLognormal);

        SabrSmileSection(const Date& d,

                         Rate forward,

                         const std::vector<Real>& sabrParameters,

                         const Date& referenceDate = Date(),

                         const DayCounter& dc = Actual365Fixed(),

                         Real shift = 0.0,

                         VolatilityType volatilityType = VolatilityType::ShiftedLognormal);

        Real minStrike() const override { return -shift_; }

        Real maxStrike() const override { return QL_MAX_REAL; }

        Real atmLevel() const override { return forward_; }

        Real alpha() const { return alpha_; }

        Real beta() const { return beta_; }

        Real nu() const { return nu_; }

        Real rho() const { return rho_; }

      protected:

        Real varianceImpl(Rate strike) const override;

        Volatility volatilityImpl(Rate strike) const override;

      private:

        Real alpha_, beta_, nu_, rho_, forward_, shift_;

        void initialise(const std::vector<Real>& sabrParameters);

    };

}

#endif