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

/*

 Copyright (C) 2000, 2001, 2002, 2003 RiskMap srl

 Copyright (C) 2008 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 impliedtermstructure.hpp

    \brief Implied term structure

*/

#ifndef quantlib_implied_term_structure_hpp

#define quantlib_implied_term_structure_hpp

#include <ql/termstructures/yieldtermstructure.hpp>

#include <utility>

namespace QuantLib {

    //! Implied term structure at a given date in the future

    /*! The given date will be the implied reference date.

        \note This term structure will remain linked to the original

              structure, i.e., any changes in the latter will be

              reflected in this structure as well.

        \ingroup yieldtermstructures

        \test

        - the correctness of the returned values is tested by

          checking them against numerical calculations.

        - observability against changes in the underlying term

          structure is checked.

    */

    class ImpliedTermStructure : public YieldTermStructure {

      public:

        ImpliedTermStructure(Handle<YieldTermStructure>, const Date& referenceDate);

        //! \name YieldTermStructure interface

        //@{

        DayCounter dayCounter() const override;

        Calendar calendar() const override;

        Natural settlementDays() const override;

        Date maxDate() const override;

      protected:

        DiscountFactor discountImpl(Time) const override;

        //@}

      private:

        Handle<YieldTermStructure> originalCurve_;

    };

    // inline definitions

    inline ImpliedTermStructure::ImpliedTermStructure(Handle<YieldTermStructure> h,

                                                      const Date& referenceDate)

    : YieldTermStructure(referenceDate), originalCurve_(std::move(h)) {

        registerWith(originalCurve_);

    }

    inline DayCounter ImpliedTermStructure::dayCounter() const {

        return originalCurve_->dayCounter();

    }

    inline Calendar ImpliedTermStructure::calendar() const {

        return originalCurve_->calendar();

    }

    inline Natural ImpliedTermStructure::settlementDays() const {

        return originalCurve_->settlementDays();

    }

    inline Date ImpliedTermStructure::maxDate() const {

        return originalCurve_->maxDate();

    }

    inline DiscountFactor ImpliedTermStructure::discountImpl(Time t) const {

        /* t is relative to the current reference date

           and needs to be converted to the time relative

           to the reference date of the original curve */

        Date ref = referenceDate();

        Time originalTime = t + dayCounter().yearFraction(

                                        originalCurve_->referenceDate(), ref);

        /* discount at evaluation date cannot be cached

           since the original curve could change between

           invocations of this method */

        return originalCurve_->discount(originalTime, true) /

               originalCurve_->discount(ref, true);

    }

}

#endif