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

/*

 Copyright (C) 2001, 2002, 2003 Sadruddin Rejeb

 Copyright (C) 2005 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.

*/

#include <ql/methods/lattices/trinomialtree.hpp>

#include <ql/stochasticprocess.hpp>

namespace QuantLib {

    TrinomialTree::TrinomialTree(

                        const ext::shared_ptr<StochasticProcess1D>& process,

                        const TimeGrid& timeGrid,

                        bool isPositive)

    : Tree<TrinomialTree>(timeGrid.size()), dx_(1, 0.0), timeGrid_(timeGrid) {

        x0_ = process->x0();

        Size nTimeSteps = timeGrid.size() - 1;

        QL_REQUIRE(nTimeSteps > 0, "null time steps for trinomial tree");

        Integer jMin = 0;

        Integer jMax = 0;

        for (Size i=0; i<nTimeSteps; i++) {

            Time t = timeGrid[i];

            Time dt = timeGrid.dt(i);

            //Variance must be independent of x

            Real v2 = process->variance(t, 0.0, dt);

            Volatility v = std::sqrt(v2);

            dx_.push_back(v*std::sqrt(3.0));

            Branching branching;

            for (Integer j=jMin; j<=jMax; j++) {

                Real x = x0_ + j*dx_[i];

                Real m = process->expectation(t, x, dt);

                auto temp = Integer(std::floor((m - x0_) / dx_[i + 1] + 0.5));

                if (isPositive) {

                    while (x0_+(temp-1)*dx_[i+1]<=0) {

                        temp++;

                    }

                }

                Real e = m - (x0_ + temp*dx_[i+1]);

                Real e2 = e*e;

                Real e3 = e*std::sqrt(3.0);

                Real p1 = (1.0 + e2/v2 - e3/v)/6.0;

                Real p2 = (2.0 - e2/v2)/3.0;

                Real p3 = (1.0 + e2/v2 + e3/v)/6.0;

                branching.add(temp, p1, p2, p3);

            }

            branchings_.push_back(branching);

            jMin = branching.jMin();

            jMax = branching.jMax();

        }

    }

}