/* -*- 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 hestonmodel.hpp

    \brief Heston model for the stochastic volatility of an asset

*/

#ifndef quantlib_heston_model_hpp

#define quantlib_heston_model_hpp

#include <ql/models/model.hpp>

#include <ql/processes/hestonprocess.hpp>

namespace QuantLib {

    //! Heston model for the stochastic volatility of an asset

    /*! References:

        Heston, Steven L., 1993. A Closed-Form Solution for Options

        with Stochastic Volatility with Applications to Bond and

        Currency Options.  The review of Financial Studies, Volume 6,

        Issue 2, 327-343.

        \test calibration is tested against known good values.

    */

    class HestonModel : public CalibratedModel {

      public:

        explicit HestonModel(const ext::shared_ptr<HestonProcess>& process);

        // variance mean version level

        Real theta() const { return arguments_[0](0.0); }

        // variance mean reversion speed

        Real kappa() const { return arguments_[1](0.0); }

        // volatility of the volatility

        Real sigma() const { return arguments_[2](0.0); }

        // correlation

        Real rho()   const { return arguments_[3](0.0); }

        // spot variance

        Real v0()    const { return arguments_[4](0.0); }

        // underlying process

        ext::shared_ptr<HestonProcess> process() const { return process_; }

        class FellerConstraint;

      protected:

        void generateArguments() override;

        ext::shared_ptr<HestonProcess> process_;

    };

    class HestonModel::FellerConstraint : public Constraint {

      private:

        class Impl final : public Constraint::Impl {

          public:

            bool test(const Array& params) const override {

                const Real theta = params[0];

                const Real kappa = params[1];

                const Real sigma = params[2];

                return (sigma >= 0.0 && sigma*sigma < 2.0*kappa*theta);

            }

        };

      public:

        FellerConstraint()

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

                                           new FellerConstraint::Impl)) {}

    };

}

#endif