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

/*

 Copyright (C) 2015 Johannes Göttker-Schnetmann

 Copyright (C) 2015 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.

*/

#include <ql/math/solvers1d/brent.hpp>

#include <ql/methods/finitedifferences/utilities/riskneutraldensitycalculator.hpp>

namespace QuantLib {

    RiskNeutralDensityCalculator::InvCDFHelper::InvCDFHelper(

        const RiskNeutralDensityCalculator* calculator,

        Real guess, Real accuracy, Size maxEvaluations,

        Real stepSize)

    : calculator_(calculator),

      guess_(guess),

      accuracy_(accuracy),

      maxEvaluations_(maxEvaluations),

      stepSize_(stepSize) { }

    Real RiskNeutralDensityCalculator::InvCDFHelper::inverseCDF(Real p, Time t) const {

        Brent solver;

        solver.setMaxEvaluations(maxEvaluations_);

        return solver.solve([&](Real _x) -> Real { return calculator_->cdf(_x, t) - p; },

                            accuracy_, guess_, stepSize_);

    }

}