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

/*

 Copyright (C) 2008 Yee Man Chan

 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/equity/gjrgarchmodel.hpp>

#include <ql/quotes/simplequote.hpp>

#include <ql/shared_ptr.hpp>

namespace QuantLib {

    class GJRGARCHModel::VolatilityConstraint : public Constraint {

      private:

        class Impl final : public Constraint::Impl {

          public:

            bool test(const Array& params) const override {

                const Real beta  = params[2];

                const Real gamma = params[3];

                return (beta+gamma >= 0.0);

            }

        };

      public:

        VolatilityConstraint()

        : Constraint(ext::shared_ptr<Constraint::Impl>(

                                           new VolatilityConstraint::Impl)) {}

    };

    GJRGARCHModel::GJRGARCHModel(

                           const ext::shared_ptr<GJRGARCHProcess> & process)

    : CalibratedModel(6), process_(process) {

        arguments_[0] = ConstantParameter(process->omega(),

                                          PositiveConstraint());

        arguments_[1] = ConstantParameter(process->alpha(),

                                          BoundaryConstraint( 0.0, 1.0));

        arguments_[2] = ConstantParameter(process->beta(),

                                          BoundaryConstraint( 0.0, 1.0));

        arguments_[3] = ConstantParameter(process->gamma(),

                                          BoundaryConstraint(-1.0, 1.0));

        arguments_[4] = ConstantParameter(process->lambda(), NoConstraint());

        arguments_[5] = ConstantParameter(process->v0(),

                                          PositiveConstraint());

        constraint_ = ext::shared_ptr<Constraint>(

            new CompositeConstraint(*constraint_, VolatilityConstraint()));

        GJRGARCHModel::generateArguments();

        registerWith(process_->riskFreeRate());

        registerWith(process_->dividendYield());

        registerWith(process_->s0());

    }

Unexecuted instantiation: QuantLib::GJRGARCHModel::GJRGARCHModel(boost::shared_ptr<QuantLib::GJRGARCHProcess> const&)

Unexecuted instantiation: QuantLib::GJRGARCHModel::GJRGARCHModel(boost::shared_ptr<QuantLib::GJRGARCHProcess> const&)

    void GJRGARCHModel::generateArguments() {

        process_ = ext::make_shared<GJRGARCHProcess>(process_->riskFreeRate(),

                                           process_->dividendYield(),

                                           process_->s0(),

                                           v0(), omega(),

                                           alpha(), beta(),

                                           gamma(), lambda(),

                                           process_->daysPerYear());

    }

}