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

/*

 Copyright (C) 2014 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/experimental/volatility/sviinterpolatedsmilesection.hpp>

#include <ql/quotes/simplequote.hpp>

#include <ql/settings.hpp>

#include <utility>

namespace QuantLib {

    SviInterpolatedSmileSection::SviInterpolatedSmileSection(

        const Date& optionDate,

        Handle<Quote> forward,

        const std::vector<Rate>& strikes,

        bool hasFloatingStrikes,

        Handle<Quote> atmVolatility,

        const std::vector<Handle<Quote> >& volHandles,

        Real a,

        Real b,

        Real sigma,

        Real rho,

        Real m,

        bool isAFixed,

        bool isBFixed,

        bool isSigmaFixed,

        bool isRhoFixed,

        bool isMFixed,

        bool vegaWeighted,

        ext::shared_ptr<EndCriteria> endCriteria,

        ext::shared_ptr<OptimizationMethod> method,

        const DayCounter& dc)

    : SmileSection(optionDate, dc), forward_(std::move(forward)),

      atmVolatility_(std::move(atmVolatility)), volHandles_(volHandles), strikes_(strikes),

      actualStrikes_(strikes), hasFloatingStrikes_(hasFloatingStrikes), vols_(volHandles.size()),

      a_(a), b_(b), sigma_(sigma), rho_(rho), m_(m), isAFixed_(isAFixed), isBFixed_(isBFixed),

      isSigmaFixed_(isSigmaFixed), isRhoFixed_(isRhoFixed), isMFixed_(isMFixed),

      vegaWeighted_(vegaWeighted), endCriteria_(std::move(endCriteria)),

      method_(std::move(method)) {

        LazyObject::registerWith(forward_);

        LazyObject::registerWith(atmVolatility_);

        for (auto& volHandle : volHandles_)

            LazyObject::registerWith(volHandle);

    }

Unexecuted instantiation: QuantLib::SviInterpolatedSmileSection::SviInterpolatedSmileSection(QuantLib::Date const&, QuantLib::Handle<QuantLib::Quote>, std::__1::vector<double, std::__1::allocator<double> > const&, bool, QuantLib::Handle<QuantLib::Quote>, std::__1::vector<QuantLib::Handle<QuantLib::Quote>, std::__1::allocator<QuantLib::Handle<QuantLib::Quote> > > const&, double, double, double, double, double, bool, bool, bool, bool, bool, bool, boost::shared_ptr<QuantLib::EndCriteria>, boost::shared_ptr<QuantLib::OptimizationMethod>, QuantLib::DayCounter const&)

Unexecuted instantiation: QuantLib::SviInterpolatedSmileSection::SviInterpolatedSmileSection(QuantLib::Date const&, QuantLib::Handle<QuantLib::Quote>, std::__1::vector<double, std::__1::allocator<double> > const&, bool, QuantLib::Handle<QuantLib::Quote>, std::__1::vector<QuantLib::Handle<QuantLib::Quote>, std::__1::allocator<QuantLib::Handle<QuantLib::Quote> > > const&, double, double, double, double, double, bool, bool, bool, bool, bool, bool, boost::shared_ptr<QuantLib::EndCriteria>, boost::shared_ptr<QuantLib::OptimizationMethod>, QuantLib::DayCounter const&)

    SviInterpolatedSmileSection::SviInterpolatedSmileSection(

        const Date& optionDate,

        const Rate& forward,

        const std::vector<Rate>& strikes,

        bool hasFloatingStrikes,

        const Volatility& atmVolatility,

        const std::vector<Volatility>& volHandles,

        Real a,

        Real b,

        Real sigma,

        Real rho,

        Real m,

        bool isAFixed,

        bool isBFixed,

        bool isSigmaFixed,

        bool isRhoFixed,

        bool isMFixed,

        bool vegaWeighted,

        ext::shared_ptr<EndCriteria> endCriteria,

        ext::shared_ptr<OptimizationMethod> method,

        const DayCounter& dc)

    : SmileSection(optionDate, dc),

      forward_(Handle<Quote>(ext::shared_ptr<Quote>(new SimpleQuote(forward)))),

      atmVolatility_(Handle<Quote>(ext::shared_ptr<Quote>(new SimpleQuote(atmVolatility)))),

      volHandles_(volHandles.size()), strikes_(strikes), actualStrikes_(strikes),

      hasFloatingStrikes_(hasFloatingStrikes), vols_(volHandles.size()), a_(a), b_(b),

      sigma_(sigma), rho_(rho), m_(m), isAFixed_(isAFixed), isBFixed_(isBFixed),

      isSigmaFixed_(isSigmaFixed), isRhoFixed_(isRhoFixed), isMFixed_(isMFixed),

      vegaWeighted_(vegaWeighted), endCriteria_(std::move(endCriteria)),

      method_(std::move(method)) {

        for (Size i = 0; i < volHandles_.size(); ++i)

            volHandles_[i] = Handle<Quote>(ext::shared_ptr<Quote>(new SimpleQuote(volHandles[i])));

    }

Unexecuted instantiation: QuantLib::SviInterpolatedSmileSection::SviInterpolatedSmileSection(QuantLib::Date const&, double const&, std::__1::vector<double, std::__1::allocator<double> > const&, bool, double const&, std::__1::vector<double, std::__1::allocator<double> > const&, double, double, double, double, double, bool, bool, bool, bool, bool, bool, boost::shared_ptr<QuantLib::EndCriteria>, boost::shared_ptr<QuantLib::OptimizationMethod>, QuantLib::DayCounter const&)

Unexecuted instantiation: QuantLib::SviInterpolatedSmileSection::SviInterpolatedSmileSection(QuantLib::Date const&, double const&, std::__1::vector<double, std::__1::allocator<double> > const&, bool, double const&, std::__1::vector<double, std::__1::allocator<double> > const&, double, double, double, double, double, bool, bool, bool, bool, bool, bool, boost::shared_ptr<QuantLib::EndCriteria>, boost::shared_ptr<QuantLib::OptimizationMethod>, QuantLib::DayCounter const&)

void SviInterpolatedSmileSection::createInterpolation() const {

    ext::shared_ptr<SviInterpolation> tmp(new SviInterpolation(

        actualStrikes_.begin(), actualStrikes_.end(), vols_.begin(),

        exerciseTime(), forwardValue_, a_, b_, sigma_, rho_, m_, isAFixed_,

        isBFixed_, isSigmaFixed_, isRhoFixed_, isMFixed_, vegaWeighted_,

        endCriteria_, method_));

    swap(tmp, sviInterpolation_);

}

void SviInterpolatedSmileSection::performCalculations() const {

    forwardValue_ = forward_->value();

    vols_.clear();

    actualStrikes_.clear();

    // we populate the volatilities, skipping the invalid ones

    for (Size i = 0; i < volHandles_.size(); ++i) {

        if (volHandles_[i]->isValid()) {

            if (hasFloatingStrikes_) {

                actualStrikes_.push_back(forwardValue_ + strikes_[i]);

                vols_.push_back(atmVolatility_->value() +

                                volHandles_[i]->value());

            } else {

                actualStrikes_.push_back(strikes_[i]);

                vols_.push_back(volHandles_[i]->value());

            }

        }

    }

    // we are recreating the sabrinterpolation object unconditionnaly to

    // avoid iterator invalidation

    createInterpolation();

    sviInterpolation_->update();

}

Real SviInterpolatedSmileSection::varianceImpl(Real strike) const {

    calculate();

    Real v = (*sviInterpolation_)(strike, true);

    return v * v * exerciseTime();

}

}