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

/*

 Copyright (C) 2020 Lew Wei Hao

 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/methods/finitedifferences/operators/fdmcirop.hpp>

#include <ql/methods/finitedifferences/solvers/fdm2dimsolver.hpp>

#include <ql/methods/finitedifferences/solvers/fdmcirsolver.hpp>

#include <ql/processes/hestonprocess.hpp>

#include <utility>

namespace QuantLib {

    FdmCIRSolver::FdmCIRSolver(Handle<CoxIngersollRossProcess> cirProcess,

                               Handle<GeneralizedBlackScholesProcess> bsProcess,

                               FdmSolverDesc solverDesc,

                               const FdmSchemeDesc& schemeDesc,

                               const Real rho,

                               const Real strike)

    : bsProcess_(std::move(bsProcess)), cirProcess_(std::move(cirProcess)),

      solverDesc_(std::move(solverDesc)), schemeDesc_(schemeDesc), rho_(rho), strike_(strike) {

        registerWith(bsProcess_);

        registerWith(cirProcess_);

    }

Unexecuted instantiation: QuantLib::FdmCIRSolver::FdmCIRSolver(QuantLib::Handle<QuantLib::CoxIngersollRossProcess>, QuantLib::Handle<QuantLib::GeneralizedBlackScholesProcess>, QuantLib::FdmSolverDesc, QuantLib::FdmSchemeDesc const&, double, double)

Unexecuted instantiation: QuantLib::FdmCIRSolver::FdmCIRSolver(QuantLib::Handle<QuantLib::CoxIngersollRossProcess>, QuantLib::Handle<QuantLib::GeneralizedBlackScholesProcess>, QuantLib::FdmSolverDesc, QuantLib::FdmSchemeDesc const&, double, double)

    void FdmCIRSolver::performCalculations() const {

        ext::shared_ptr<FdmLinearOpComposite> op(

      ext::make_shared<FdmCIROp>(

                solverDesc_.mesher,

                cirProcess_.currentLink(),

                bsProcess_.currentLink(),

                rho_,

                strike_));

        solver_ = ext::make_shared<Fdm2DimSolver>(solverDesc_, schemeDesc_, op);

    }

    Real FdmCIRSolver::valueAt(Real s, Real r) const {

        calculate();

        return solver_->interpolateAt(std::log(s), r);

    }

    Real FdmCIRSolver::deltaAt(Real s, Real r) const {

        calculate();

        return solver_->derivativeX(std::log(s), r)/s;

    }

    Real FdmCIRSolver::gammaAt(Real s, Real r) const {

        calculate();

        const Real x = std::log(s);

        return (solver_->derivativeXX(x, r)-solver_->derivativeX(x, r))/(s*s);

    }

    Real FdmCIRSolver::thetaAt(Real s, Real r) const {

        calculate();

        return solver_->thetaAt(std::log(s), r);

    }

}