/* -*- 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 blackvolsurface.hpp

    \brief Black volatility (smile) surface

*/

#ifndef quantlib_black_vol_surface_hpp

#define quantlib_black_vol_surface_hpp

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

namespace QuantLib {

    class SmileSection;

    //! Black volatility (smile) surface

    /*! This abstract class defines the interface of concrete

        Black volatility (smile) surface which will

        be derived from this one.

        Volatilities are assumed to be expressed on an annual basis.

    */

    class BlackVolSurface : public BlackAtmVolCurve {

      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.

        */

        BlackVolSurface(BusinessDayConvention bdc = Following,

                        const DayCounter& dc = DayCounter());

        //! initialize with a fixed reference date

        BlackVolSurface(const Date& referenceDate,

                        const Calendar& cal = Calendar(),

                        BusinessDayConvention bdc = Following,

                        const DayCounter& dc = DayCounter());

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

        BlackVolSurface(Natural settlementDays,

                        const Calendar&,

                        BusinessDayConvention bdc = Following,

                        const DayCounter& dc = DayCounter());

        //@}

        //! \name Black spot volatility

        //@{

        //! returns the smile for a given option tenor

        ext::shared_ptr<SmileSection> smileSection(const Period&,

                                                     bool extrapolate) const;

        //! returns the smile for a given option date

        ext::shared_ptr<SmileSection> smileSection(const Date&,

                                                     bool extrapolate) const;

        //! returns the smile for a given option time

        ext::shared_ptr<SmileSection> smileSection(Time,

                                                     bool extrapolate) const;

        //@}

        //! \name Visitability

        //@{

        void accept(AcyclicVisitor&) override;

        //@}

      protected:

        //! \name BlackAtmVolCurve interface

        //@{

        //! spot at-the-money variance calculation

        Real atmVarianceImpl(Time t) const override;

        //! spot at-the-money volatility calculation

        Volatility atmVolImpl(Time t) const override;

        //@}

        /*! \name Calculations

            This method must be implemented in derived classes to perform

            the actual volatility calculations. When it is called,

            time check has already been performed; therefore, it must

            assume that time-extrapolation is allowed.

        */

        //@{

        virtual ext::shared_ptr<SmileSection> smileSectionImpl(Time) const=0;

        //@}

    };

    // inline definitions

    inline ext::shared_ptr<SmileSection>

    BlackVolSurface::smileSection(const Period& p,

                                  bool extrapolate) const {

        return smileSection(optionDateFromTenor(p), extrapolate);

    }

    inline ext::shared_ptr<SmileSection>

    BlackVolSurface::smileSection(const Date& d,

                                  bool extrapolate) const {

        return smileSection(timeFromReference(d), extrapolate);

    }

    inline ext::shared_ptr<SmileSection>

    BlackVolSurface::smileSection(Time t,

                                  bool extrapolate) const {

        checkRange(t, extrapolate);

        return smileSectionImpl(t);

    }

}

#endif