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

/*

 Copyright (C) 2006 Ferdinando Ametrano

 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 blackscholescalculator.hpp

    \brief Black-Scholes formula calculator class

*/

#ifndef quantlib_blackscholescalculator_hpp

#define quantlib_blackscholescalculator_hpp

#include <ql/pricingengines/blackcalculator.hpp>

namespace QuantLib {

    //! Black-Scholes 1973 calculator class

    class BlackScholesCalculator : public BlackCalculator {

      public:

        BlackScholesCalculator(

                        const ext::shared_ptr<StrikedTypePayoff>& payoff,

                        Real spot,

                        DiscountFactor growth,

                        Real stdDev,

                        DiscountFactor discount);

        BlackScholesCalculator(Option::Type optionType,

                               Real strike,

                               Real spot,

                               DiscountFactor growth,

                               Real stdDev,

                               DiscountFactor discount);

        ~BlackScholesCalculator() override = default;

        /*! Sensitivity to change in the underlying spot price. */

        Real delta() const;

        /*! Sensitivity in percent to a percent change in the

            underlying spot price. */

        Real elasticity() const;

        /*! Second order derivative with respect to change in the

            underlying spot price. */

        Real gamma() const;

        /*! Sensitivity to time to maturity. */

        Real theta(Time maturity) const;

        /*! Sensitivity to time to maturity per day

            (assuming 365 day in a year). */

        Real thetaPerDay(Time maturity) const;

        // also un-hide overloads taking a spot

        using BlackCalculator::delta;

        using BlackCalculator::elasticity;

        using BlackCalculator::gamma;

        using BlackCalculator::theta;

        using BlackCalculator::thetaPerDay;

      protected:

        Real spot_;

        DiscountFactor growth_;

    };

    // inline

    inline Real BlackScholesCalculator::delta() const {

        return BlackCalculator::delta(spot_);

    }

    inline Real BlackScholesCalculator::elasticity() const {

        return BlackCalculator::elasticity(spot_);

    }

    inline Real BlackScholesCalculator::gamma() const {

        return BlackCalculator::gamma(spot_);

    }

    inline Real BlackScholesCalculator::theta(Time maturity) const {

        return BlackCalculator::theta(spot_, maturity);

    }

    inline Real BlackScholesCalculator::thetaPerDay(Time maturity) const {

        return BlackCalculator::thetaPerDay(spot_, maturity);

    }

}

#endif