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

/*

 Copyright (C) 2017 Klaus Spanderen

 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/math/functional.hpp>

#include <ql/pricingengines/blackformula.hpp>

#include <ql/termstructures/volatility/equityfx/andreasenhugevolatilityadapter.hpp>

#include <ql/termstructures/volatility/equityfx/andreasenhugevolatilityinterpl.hpp>

#include <ql/termstructures/yieldtermstructure.hpp>

#include <utility>

namespace QuantLib {

    AndreasenHugeVolatilityAdapter::AndreasenHugeVolatilityAdapter(

        ext::shared_ptr<AndreasenHugeVolatilityInterpl> volInterpl, Real eps)

    : eps_(eps), volInterpl_(std::move(volInterpl)) {}

Unexecuted instantiation: QuantLib::AndreasenHugeVolatilityAdapter::AndreasenHugeVolatilityAdapter(boost::shared_ptr<QuantLib::AndreasenHugeVolatilityInterpl>, double)

Unexecuted instantiation: QuantLib::AndreasenHugeVolatilityAdapter::AndreasenHugeVolatilityAdapter(boost::shared_ptr<QuantLib::AndreasenHugeVolatilityInterpl>, double)

    Real AndreasenHugeVolatilityAdapter::blackVarianceImpl(Time t, Real strike)

    const {

        const Real fwd = volInterpl_->fwd(t);

        const Option::Type optionType =

            (fwd > strike)? Option::Put : Option::Call;

        const Real npv = volInterpl_->optionPrice(t, strike, optionType);

        return squared(blackFormulaImpliedStdDevLiRS(

            optionType, strike, fwd, npv,

            volInterpl_->riskFreeRate()->discount(t),

            0.0, Null<Real>(), 1.0, eps_, 1000));

    }

    Date AndreasenHugeVolatilityAdapter::maxDate() const {

        return volInterpl_->maxDate();

    }

    Real AndreasenHugeVolatilityAdapter::minStrike() const {

        return volInterpl_->minStrike();

    }

    Real AndreasenHugeVolatilityAdapter::maxStrike() const {

        return volInterpl_->maxStrike();

    }

    Calendar AndreasenHugeVolatilityAdapter::calendar() const {

        return volInterpl_->riskFreeRate()->calendar();

    }

    DayCounter AndreasenHugeVolatilityAdapter::dayCounter() const {

        return volInterpl_->riskFreeRate()->dayCounter();

    }

    const Date& AndreasenHugeVolatilityAdapter::referenceDate() const {

        return volInterpl_->riskFreeRate()->referenceDate();

    }

    Natural AndreasenHugeVolatilityAdapter::settlementDays() const {

        return volInterpl_->riskFreeRate()->settlementDays();

    }

}