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

/*

 Copyright (C) 2002, 2003 Ferdinando Ametrano

 Copyright (C) 2003, 2004, 2005, 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 localvoltermstructure.hpp

    \brief Local volatility term structure base class

*/

#ifndef quantlib_local_vol_term_structures_hpp

#define quantlib_local_vol_term_structures_hpp

#include <ql/termstructures/voltermstructure.hpp>

#include <ql/patterns/visitor.hpp>

namespace QuantLib {

    /*! This abstract class defines the interface of concrete

        local-volatility term structures which will be derived from this one.

        Volatilities are assumed to be expressed on an annual basis.

    */

    class LocalVolTermStructure : public VolatilityTermStructure {

      public:

        /*! \name Constructors

            See the TermStructure documentation for issues regarding

            constructors.

        */

        //@{

        //! default constructor

        /*! \warning term structures initialized by means of this

                     constructor must manage their own reference date

                     by overriding the referenceDate() method.

        */

        LocalVolTermStructure(BusinessDayConvention bdc = Following,

                              const DayCounter& dc = DayCounter());

        //! initialize with a fixed reference date

        LocalVolTermStructure(const Date& referenceDate,

                              const Calendar& cal = Calendar(),

                              BusinessDayConvention bdc = Following,

                              const DayCounter& dc = DayCounter());

        //! calculate the reference date based on the global evaluation date

        LocalVolTermStructure(Natural settlementDays,

                              const Calendar&,

                              BusinessDayConvention bdc = Following,

                              const DayCounter& dc = DayCounter());

        //@}

        ~LocalVolTermStructure() override = default;

        //! \name Local Volatility

        //@{

        Volatility localVol(const Date& d,

                            Real underlyingLevel,

                            bool extrapolate = false) const;

        Volatility localVol(Time t,

                            Real underlyingLevel,

                            bool extrapolate = false) const;

        //@}

        //! \name Visitability

        //@{

        virtual void accept(AcyclicVisitor&);

        //@}

      protected:

        /*! \name Calculations

            These methods must be implemented in derived classes to perform

            the actual volatility calculations. When they are called,

            range check has already been performed; therefore, they must

            assume that extrapolation is required.

        */

        //@{

        //! local vol calculation

        virtual Volatility localVolImpl(Time t, Real strike) const = 0;

        //@}

    };

}

#endif