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

/*

 Copyright (C) 2008 Ferdinando Ametrano

 Copyright (C) 2004, 2005, 2007 StatPro Italia srl

 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 constantoptionletvol.hpp

    \brief Constant caplet/floorlet volatility

*/

#ifndef quantlib_caplet_constant_volatility_hpp

#define quantlib_caplet_constant_volatility_hpp

#include <ql/termstructures/volatility/optionlet/optionletvolatilitystructure.hpp>

namespace QuantLib {

    class Quote;

    //! Constant caplet volatility, no time-strike dependence

    class ConstantOptionletVolatility : public OptionletVolatilityStructure {

      public:

        //! floating reference date, floating market data

        ConstantOptionletVolatility(Natural settlementDays,

                                    const Calendar& cal,

                                    BusinessDayConvention bdc,

                                    Handle<Quote> volatility,

                                    const DayCounter& dc,

                                    VolatilityType type = ShiftedLognormal,

                                    Real displacement = 0.0);

        //! fixed reference date, floating market data

        ConstantOptionletVolatility(const Date& referenceDate,

                                    const Calendar& cal,

                                    BusinessDayConvention bdc,

                                    Handle<Quote> volatility,

                                    const DayCounter& dc,

                                    VolatilityType type = ShiftedLognormal,

                                    Real displacement = 0.0);

        //! floating reference date, fixed market data

        ConstantOptionletVolatility(Natural settlementDays, const Calendar &cal,

                                    BusinessDayConvention bdc,

                                    Volatility volatility, const DayCounter &dc,

                                    VolatilityType type = ShiftedLognormal,

                                    Real displacement = 0.0);

        //! fixed reference date, fixed market data

        ConstantOptionletVolatility(const Date &referenceDate,

                                    const Calendar &cal,

                                    BusinessDayConvention bdc,

                                    Volatility volatility, const DayCounter &dc,

                                    VolatilityType type = ShiftedLognormal,

                                    Real displacement = 0.0);

        //! \name TermStructure interface

        //@{

        Date maxDate() const override;

        //@}

        //! \name VolatilityTermStructure interface

        //@{

        Real minStrike() const override;

        Real maxStrike() const override;

        //@}

        VolatilityType volatilityType() const override;

        Real displacement() const override;

      protected:

        ext::shared_ptr<SmileSection> smileSectionImpl(const Date& d) const override;

        ext::shared_ptr<SmileSection> smileSectionImpl(Time) const override;

        Volatility volatilityImpl(Time, Rate) const override;

      private:

        Handle<Quote> volatility_;

        VolatilityType type_;

        Real displacement_;

    };

    // inline definitions

    inline Date ConstantOptionletVolatility::maxDate() const {

        return Date::maxDate();

    }

    inline Real ConstantOptionletVolatility::minStrike() const {

        return QL_MIN_REAL;

    }

    inline Real ConstantOptionletVolatility::maxStrike() const {

        return QL_MAX_REAL;

    }

    inline VolatilityType

    ConstantOptionletVolatility::volatilityType() const {

        return type_;

    }

    inline Real ConstantOptionletVolatility::displacement() const {

        return displacement_;

    }

}

#endif