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

/*

 Copyright (C) 2005, 2008 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 forwardflatinterpolation.hpp

    \brief forward-flat interpolation between discrete points

*/

#ifndef quantlib_forward_flat_interpolation_hpp

#define quantlib_forward_flat_interpolation_hpp

#include <ql/math/interpolation.hpp>

#include <vector>

namespace QuantLib {

    namespace detail {

        template<class I1, class I2> class ForwardFlatInterpolationImpl;

    }

    //! Forward-flat interpolation between discrete points

    /*! \ingroup interpolations

        \warning See the Interpolation class for information about the

                 required lifetime of the underlying data.

    */

    class ForwardFlatInterpolation : public Interpolation {

      public:

        /*! \pre the \f$ x \f$ values must be sorted. */

        template <class I1, class I2>

        ForwardFlatInterpolation(const I1& xBegin, const I1& xEnd,

                                 const I2& yBegin) {

            impl_ = ext::shared_ptr<Interpolation::Impl>(new

                detail::ForwardFlatInterpolationImpl<I1,I2>(xBegin, xEnd,

                                                            yBegin));

            impl_->update();

        }

    };

    //! Forward-flat interpolation factory and traits

    /*! \ingroup interpolations */

    class ForwardFlat {

      public:

        template <class I1, class I2>

        Interpolation interpolate(const I1& xBegin, const I1& xEnd,

                                  const I2& yBegin) const {

            return ForwardFlatInterpolation(xBegin, xEnd, yBegin);

        }

        static const bool global = false;

        static const Size requiredPoints = 2;

    };

    namespace detail {

        template <class I1, class I2>

        class ForwardFlatInterpolationImpl

            : public Interpolation::templateImpl<I1,I2> {

          public:

            ForwardFlatInterpolationImpl(const I1& xBegin, const I1& xEnd,

                                         const I2& yBegin)

            : Interpolation::templateImpl<I1,I2>(xBegin, xEnd, yBegin,

                                                 ForwardFlat::requiredPoints),

              primitive_(xEnd-xBegin), n_(xEnd-xBegin) {}

            void update() override {

                primitive_[0] = 0.0;

                for (Size i=1; i<n_; i++) {

                    Real dx = this->xBegin_[i]-this->xBegin_[i-1];

                    primitive_[i] = primitive_[i-1] + dx*this->yBegin_[i-1];

                }

            }

            Real value(Real x) const override {

                if (x >= this->xBegin_[n_-1])

                    return this->yBegin_[n_-1];

                Size i = this->locate(x);

                return this->yBegin_[i];

            }

            Real primitive(Real x) const override {

                Size i = this->locate(x);

                Real dx = x-this->xBegin_[i];

                return primitive_[i] + dx*this->yBegin_[i];

            }

            Real derivative(Real) const override { return 0.0; }

            Real secondDerivative(Real) const override { return 0.0; }

          private:

            std::vector<Real> primitive_;

            Size n_;

        };

    }

}

#endif