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

/*

 Copyright (C) 2001, 2002, 2003 Sadruddin Rejeb

 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.

*/

#include <ql/models/calibrationhelper.hpp>

#include <ql/math/solvers1d/brent.hpp>

namespace QuantLib {

    Volatility BlackCalibrationHelper::impliedVolatility(Real targetValue,

                                                         Real accuracy,

                                                         Size maxEvaluations,

                                                         Volatility minVol,

                                                         Volatility maxVol) const {

        auto error = [&](Volatility x) { return targetValue - blackPrice(x); };

        Brent solver;

        solver.setMaxEvaluations(maxEvaluations);

        return solver.solve(error, accuracy, volatility_->value(), minVol, maxVol);

    }

    Real BlackCalibrationHelper::calibrationError() {

        Real error;

        switch (calibrationErrorType_) {

          case RelativePriceError:

            error = std::fabs(marketValue() - modelValue())/marketValue();

            break;

          case PriceError:

            error = marketValue() - modelValue();

            break;

          case ImpliedVolError: 

            {

              Real minVol = volatilityType_ == ShiftedLognormal ? 0.0010 : 0.00005;

              Real maxVol = volatilityType_ == ShiftedLognormal ? 10.0 : 0.50;

              const Real lowerPrice = blackPrice(minVol);

              const Real upperPrice = blackPrice(maxVol);

              const Real modelPrice = modelValue();

              Volatility implied;

              if (modelPrice <= lowerPrice)

                  implied = minVol;

              else if (modelPrice >= upperPrice)

                  implied = maxVol;

              else

                  implied = this->impliedVolatility(

                                          modelPrice, 1e-12, 5000, minVol, maxVol);

              error = implied - volatility_->value();

            }

            break;

          default:

            QL_FAIL("unknown Calibration Error Type");

        }

        return error;

    }

}