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

/*

 Copyright (C) 2005 Klaus Spanderen

 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.

*/

/*! \file hestonmodelhelper.hpp

    \brief Heston-model calibration helper

*/

#ifndef quantlib_heston_option_helper_hpp

#define quantlib_heston_option_helper_hpp

#include <ql/models/calibrationhelper.hpp>

#include <ql/instruments/vanillaoption.hpp>

namespace QuantLib {

    //! calibration helper for Heston model

    class HestonModelHelper : public BlackCalibrationHelper {

      public:

        HestonModelHelper(const Period& maturity,

                          Calendar calendar,

                          Real s0,

                          Real strikePrice,

                          const Handle<Quote>& volatility,

                          const Handle<YieldTermStructure>& riskFreeRate,

                          const Handle<YieldTermStructure>& dividendYield,

                          BlackCalibrationHelper::CalibrationErrorType errorType =

                              BlackCalibrationHelper::RelativePriceError);

        HestonModelHelper(const Period& maturity,

                          Calendar calendar,

                          const Handle<Quote>& s0,

                          Real strikePrice,

                          const Handle<Quote>& volatility,

                          const Handle<YieldTermStructure>& riskFreeRate,

                          const Handle<YieldTermStructure>& dividendYield,

                          BlackCalibrationHelper::CalibrationErrorType errorType =

                              BlackCalibrationHelper::RelativePriceError);

        void addTimesTo(std::list<Time>&) const override {}

        void performCalculations() const override;

        Real modelValue() const override;

        Real blackPrice(Real volatility) const override;

        Time maturity() const  { calculate(); return tau_; }

      private:

        const Period maturity_;

        const Calendar calendar_;

        const Handle<Quote> s0_;

        const Real strikePrice_;

        const Handle<YieldTermStructure> riskFreeRate_;

        const Handle<YieldTermStructure> dividendYield_;

        mutable Date exerciseDate_;

        mutable Time tau_;

        mutable Option::Type type_;

        mutable ext::shared_ptr<VanillaOption> option_;

    };

}

#endif