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

/*

 Copyright (C) 2005 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 batesmodel.hpp

    \brief extended versions of the Heston model

*/

#ifndef quantlib_bates_model_hpp

#define quantlib_bates_model_hpp

#include <ql/processes/batesprocess.hpp>

#include <ql/models/equity/hestonmodel.hpp>

namespace QuantLib {

    //! Bates stochastic-volatility model

    /*! extended versions of Heston model for the stochastic

        volatility of an asset including jumps.

        References:

        A. Sepp, Pricing European-Style Options under Jump Diffusion

        Processes with Stochastic Volatility: Applications of Fourier

        Transform (<http://math.ut.ee/~spartak/papers/stochjumpvols.pdf>)

        \test calibration is tested against known values.

    */

    class BatesModel : public HestonModel {

      public:

        explicit BatesModel(const ext::shared_ptr<BatesProcess> & process);

        Real nu()     const { return arguments_[5](0.0); }

        Real delta()  const { return arguments_[6](0.0); }

        Real lambda() const { return arguments_[7](0.0); }

      protected:

        void generateArguments() override;

    };

    class BatesDetJumpModel : public BatesModel {

      public:

        explicit BatesDetJumpModel(

            const ext::shared_ptr<BatesProcess> & process,

            Real kappaLambda = 1.0, Real thetaLambda = 0.1);

        Real kappaLambda() const { return arguments_[8](0.0); }

        Real thetaLambda() const { return arguments_[9](0.0); }

    };

    class BatesDoubleExpModel : public HestonModel {

      public:

        explicit BatesDoubleExpModel(

            const ext::shared_ptr<HestonProcess> & process,

            Real lambda = 0.1, Real nuUp = 0.1, Real nuDown = 0.1, Real p = 0.5);

        Real p()      const { return arguments_[5](0.0); }

        Real nuDown() const { return arguments_[6](0.0); }

        Real nuUp()   const { return arguments_[7](0.0); }

        Real lambda() const { return arguments_[8](0.0); }

    };

    class BatesDoubleExpDetJumpModel : public BatesDoubleExpModel {

      public:

        explicit BatesDoubleExpDetJumpModel(

            const ext::shared_ptr<HestonProcess> & process,

            Real lambda = 0.1, Real nuUp = 0.1,   Real nuDown = 0.1,

            Real p = 0.5, Real kappaLambda = 1.0, Real thetaLambda = 0.1);

        Real kappaLambda() const { return arguments_[9](0.0); }

        Real thetaLambda() const { return arguments_[10](0.0); }

    };

}

#endif