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

/*

 Copyright (C) 2016 Klaus Spanderen

 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 stochasticcollationcdf.cpp

*/

#include <ql/math/integrals/gaussianquadratures.hpp>

#include <ql/math/randomnumbers/stochasticcollocationinvcdf.hpp>

#include <ql/mathconstants.hpp>

namespace QuantLib {

    namespace {

        Array g(Real sigma, const Array& x,

                const std::function<Real(Real)>& invCDF) {

            Array y(x.size());

            const CumulativeNormalDistribution normalCDF;

            for (Size i=0, n=x.size(); i < n; ++i) {

                y[i] = invCDF(normalCDF(x[i]/sigma));

            }

            return y;

        }

    }

    StochasticCollocationInvCDF::StochasticCollocationInvCDF(

        const std::function<Real(Real)>& invCDF,

        Size lagrangeOrder, Real pMax, Real pMin)

    : x_(M_SQRT2*GaussHermiteIntegration(lagrangeOrder).x()),

      sigma_( (pMax != Null<Real>())

              ? x_.back() / InverseCumulativeNormal()(pMax)

              : (pMin != Null<Real>())

                  ? Real(x_.front() / InverseCumulativeNormal()(pMin))

                  : 1.0),

      y_(g(sigma_, x_, invCDF)),

      interpl_(x_.begin(), x_.end(), y_.begin()) {

    }

    Real StochasticCollocationInvCDF::value(Real x) const {

        return interpl_(x*sigma_, true);

    }

    Real StochasticCollocationInvCDF::operator()(Real u) const {

        return value(InverseCumulativeNormal()(u));

    }

}