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

/*

 Copyright (C) 2003, 2004, 2005, 2006 Ferdinando Ametrano

 Copyright (C) 2006 StatPro Italia srl

 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 blackcalculator.hpp

    \brief Black-formula calculator class

*/

#ifndef quantlib_blackcalculator_hpp

#define quantlib_blackcalculator_hpp

#include <ql/instruments/payoffs.hpp>

namespace QuantLib {

    //! Black 1976 calculator class

    class BlackCalculator {

      private:

        class Calculator;

      public:

        BlackCalculator(const ext::shared_ptr<StrikedTypePayoff>& payoff,

                        Real forward,

                        Real stdDev,

                        Real discount = 1.0);

        BlackCalculator(Option::Type optionType,

                        Real strike,

                        Real forward,

                        Real stdDev,

                        Real discount = 1.0);

        virtual ~BlackCalculator() = default;

        Real value() const;

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

        Real deltaForward() const;

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

        virtual Real delta(Real spot) const;

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

            underlying forward price. */

        Real elasticityForward() const;

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

            underlying spot price. */

        virtual Real elasticity(Real spot) const;

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

            underlying forward price. */

        Real gammaForward() const;

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

            underlying spot price. */

        virtual Real gamma(Real spot) const;

        /*! Sensitivity to time to maturity. */

        virtual Real theta(Real spot,

                           Time maturity) const;

        /*! Sensitivity to time to maturity per day,

            assuming 365 day per year. */

        virtual Real thetaPerDay(Real spot,

                                 Time maturity) const;

        /*! Sensitivity to volatility. */

        Real vega(Time maturity) const;

        /*! Sensitivity to discounting rate. */

        Real rho(Time maturity) const;

        /*! Sensitivity to dividend/growth rate. */

        Real dividendRho(Time maturity) const;

        /*! Probability of being in the money in the bond martingale

            measure, i.e. N(d2).

            It is a risk-neutral probability, not the real world one.

        */

        Real itmCashProbability() const;

        /*! Probability of being in the money in the asset martingale

            measure, i.e. N(d1).

            It is a risk-neutral probability, not the real world one.

        */

        Real itmAssetProbability() const;

        /*! Sensitivity to strike. */

        Real strikeSensitivity() const;

        /*! gamma w.r.t. strike. */

        Real strikeGamma() const;

        /*! Sensitivity of vega to spot (Vanna) */

        Real vanna(Real spot, Time maturity) const;

        /*! Sensitivity of vega to volatility (Volga) */

        Real volga(Time maturity) const;

        Real alpha() const;

        Real beta() const;

      protected:

        void initialize(const ext::shared_ptr<StrikedTypePayoff>& p);

        Real strike_, forward_, stdDev_, discount_, variance_;

        Real d1_, d2_;

        Real alpha_, beta_, DalphaDd1_, DbetaDd2_;

        Real n_d1_, cum_d1_, n_d2_, cum_d2_;

        Real x_, DxDs_, DxDstrike_;

    };

    // inline

    inline Real BlackCalculator::thetaPerDay(Real spot,

                                             Time maturity) const {

        return theta(spot, maturity)/365.0;

    }

    inline Real BlackCalculator::itmCashProbability() const {

        return cum_d2_;

    }

    inline Real BlackCalculator::itmAssetProbability() const {

        return cum_d1_;

    }

    inline Real BlackCalculator::alpha() const {

        return alpha_;

    }

    inline Real BlackCalculator::beta() const {

        return beta_;

    }

}

#endif