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

/*

 Copyright (C) 2014 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.

*/

#include <ql/experimental/volatility/sviinterpolation.hpp>

#include <ql/experimental/volatility/svismilesection.hpp>

#include <utility>

namespace QuantLib {

    SviSmileSection::SviSmileSection(Time timeToExpiry, Rate forward, std::vector<Real> sviParams)

    : SmileSection(timeToExpiry, DayCounter()), forward_(forward), params_(std::move(sviParams)) {

        init();

    }

Unexecuted instantiation: QuantLib::SviSmileSection::SviSmileSection(double, double, std::__1::vector<double, std::__1::allocator<double> >)

Unexecuted instantiation: QuantLib::SviSmileSection::SviSmileSection(double, double, std::__1::vector<double, std::__1::allocator<double> >)

    SviSmileSection::SviSmileSection(const Date& d,

                                     Rate forward,

                                     std::vector<Real> sviParams,

                                     const DayCounter& dc)

    : SmileSection(d, dc, Date()), forward_(forward), params_(std::move(sviParams)) {

        init();

    }

Unexecuted instantiation: QuantLib::SviSmileSection::SviSmileSection(QuantLib::Date const&, double, std::__1::vector<double, std::__1::allocator<double> >, QuantLib::DayCounter const&)

Unexecuted instantiation: QuantLib::SviSmileSection::SviSmileSection(QuantLib::Date const&, double, std::__1::vector<double, std::__1::allocator<double> >, QuantLib::DayCounter const&)

void SviSmileSection::init() {

    QL_REQUIRE(exerciseTime() > 0.0, "svi expects a strictly positive expiry time");

    QL_REQUIRE(params_.size() == 5,

               "svi expects 5 parameters (a,b,sigma,rho,m) but ("

                   << params_.size() << ") given");

    detail::checkSviParameters(params_[0], params_[1], params_[2], params_[3], params_[4],

                               exerciseTime());

}

Volatility SviSmileSection::volatilityImpl(Rate strike) const {

    Real k = std::log(std::max(strike, 1E-6) / forward_);

    Real totalVariance = detail::sviTotalVariance(params_[0], params_[1], params_[2],

                                                  params_[3], params_[4],k);

    return std::sqrt(std::max(0.0, totalVariance / exerciseTime()));

}

} // namespace QuantLib