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

/*

 Copyright (C) 2006 Mario Pucci

 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/termstructures/volatility/sabrsmilesection.hpp>

#include <ql/termstructures/volatility/sabr.hpp>

#include <ql/utilities/dataformatters.hpp>

namespace QuantLib {

    SabrSmileSection::SabrSmileSection(Time timeToExpiry,

                                       Rate forward,

                                       const std::vector<Real>& sabrParams,

                                       const Real shift,

                                       VolatilityType volatilityType)

        : SmileSection(timeToExpiry,DayCounter(),

                       volatilityType,shift),

          forward_(forward), shift_(shift) {

        initialise(sabrParams);

    }

Unexecuted instantiation: QuantLib::SabrSmileSection::SabrSmileSection(double, double, std::__1::vector<double, std::__1::allocator<double> > const&, double, QuantLib::VolatilityType)

Unexecuted instantiation: QuantLib::SabrSmileSection::SabrSmileSection(double, double, std::__1::vector<double, std::__1::allocator<double> > const&, double, QuantLib::VolatilityType)

    SabrSmileSection::SabrSmileSection(const Date& d,

                                       Rate forward,

                                       const std::vector<Real>& sabrParams,

                                       const Date& referenceDate,

                                       const DayCounter& dc,

                                       const Real shift,

                                       VolatilityType volatilityType)

    : SmileSection(d, dc, referenceDate, volatilityType, shift),

      forward_(forward), shift_(shift) {

        initialise(sabrParams);

    }

Unexecuted instantiation: QuantLib::SabrSmileSection::SabrSmileSection(QuantLib::Date const&, double, std::__1::vector<double, std::__1::allocator<double> > const&, QuantLib::Date const&, QuantLib::DayCounter const&, double, QuantLib::VolatilityType)

Unexecuted instantiation: QuantLib::SabrSmileSection::SabrSmileSection(QuantLib::Date const&, double, std::__1::vector<double, std::__1::allocator<double> > const&, QuantLib::Date const&, QuantLib::DayCounter const&, double, QuantLib::VolatilityType)

    void SabrSmileSection::initialise(const std::vector<Real>& sabrParams) {

        alpha_ = sabrParams[0];

        beta_ = sabrParams[1];

        nu_ = sabrParams[2];

        rho_ = sabrParams[3];

        QL_REQUIRE(forward_ + shift_ > 0.0,

                   "at the money forward rate + shift must be "

                   "positive: "

                       << io::rate(forward_) << " with shift "

                       << io::rate(shift_) << " not allowed");

        validateSabrParameters(alpha_, beta_, nu_, rho_);

    }

     Real SabrSmileSection::varianceImpl(Rate strike) const {

        strike = std::max(0.00001 - shift(),strike);

        Volatility vol = unsafeShiftedSabrVolatility(

            strike, forward_, exerciseTime(), alpha_, beta_, nu_, rho_, shift_, volatilityType());

        return vol * vol * exerciseTime();

     }

     Real SabrSmileSection::volatilityImpl(Rate strike) const {

        strike = std::max(0.00001 - shift(),strike);

        return unsafeShiftedSabrVolatility(strike, forward_, exerciseTime(),

                                           alpha_, beta_, nu_, rho_, shift_, volatilityType());

     }

}