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

/*

 Copyright (C) 2006 Mark Joshi

 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/models/marketmodels/discounter.hpp>

#include <ql/models/marketmodels/curvestate.hpp>

#include <ql/models/marketmodels/utilities.hpp>

#include <algorithm>

namespace QuantLib {

    MarketModelDiscounter::MarketModelDiscounter(

                                        Time paymentTime,

                                        const std::vector<Time>& rateTimes) {

        checkIncreasingTimes(rateTimes);

        before_ = std::lower_bound(rateTimes.begin(), rateTimes.end(),

                                   paymentTime) - rateTimes.begin();

        // handle the case where the payment is in the last

        // period or after the last period

        if (before_ > rateTimes.size()-2)

            before_ =  rateTimes.size()-2;

        beforeWeight_=1.0-(paymentTime-rateTimes[before_])/

            (rateTimes[before_+1]-rateTimes[before_]);

    }

    Real MarketModelDiscounter::numeraireBonds(const CurveState& curveState,

                                               Size numeraire) const {

        Real preDF = curveState.discountRatio(before_,numeraire);

        if (beforeWeight_==1.0)

            return preDF;

        Real postDF = curveState.discountRatio(before_+1,numeraire);

        if (beforeWeight_==0.0)

            return postDF;

        return std::pow(preDF,beforeWeight_)*std::pow(postDF,1.-beforeWeight_);

    }

}