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

/*

 Copyright (C) 2007 François du Vignaud

 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/marketmodel.hpp>

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

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

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

namespace QuantLib {

    std::vector<Volatility> rateVolDifferences(

                                           const MarketModel& marketModel1,

                                           const MarketModel& marketModel2) {

        QL_ENSURE(marketModel1.initialRates() == marketModel2.initialRates(),

                  "initialRates do not match");

        const EvolutionDescription& evolutionDescription1

                                           = marketModel1.evolution();

        const EvolutionDescription& evolutionDescription2

                                           = marketModel2.evolution();

        QL_ENSURE(evolutionDescription1.evolutionTimes()

                  == evolutionDescription2.evolutionTimes(),

                  "Evolution times do not match");

        const Matrix& totalCovariance1

            = marketModel1.totalCovariance(marketModel1.numberOfSteps()-1);

        const Matrix& totalCovariance2

            = marketModel2.totalCovariance(marketModel2.numberOfSteps()-1);

        const std::vector<Time>& maturities =

            evolutionDescription1.evolutionTimes();

        std::vector<Volatility> result(totalCovariance1.columns());

        for (Size i=0; i<totalCovariance1.columns(); ++i) {

            Real diff = totalCovariance1[i][i]-totalCovariance2[i][i];

            result[i] = std::sqrt(diff/maturities[i]);

        }

        return result;

    }

    std::vector<Spread> rateInstVolDifferences(

                                           const MarketModel& marketModel1,

                                           const MarketModel& marketModel2,

                                           Size index) {

        QL_ENSURE(marketModel1.initialRates() == marketModel2.initialRates(),

                  "initialRates do not match");

        const EvolutionDescription& evolutionDescription1

                                           = marketModel1.evolution();

        const EvolutionDescription& evolutionDescription2

                                           = marketModel2.evolution();

        QL_ENSURE(evolutionDescription1.evolutionTimes()

                  == evolutionDescription2.evolutionTimes(),

                  "Evolution times do not match");

        QL_ENSURE(index<evolutionDescription1.numberOfSteps(),

            "the index given is greater than the number of steps");

        const std::vector<Time>& evolutionTimes

            = evolutionDescription1.evolutionTimes();

        std::vector<Spread> result(evolutionTimes.size());

        Time previousEvolutionTime = 0;

        for (Size i=0; i<evolutionTimes.size(); ++i) {

            Time currentEvolutionTime = evolutionTimes[i];

            Time dt = currentEvolutionTime - previousEvolutionTime;

            const Matrix& covariance1 = marketModel1.covariance(i);

            const Matrix& covariance2 = marketModel2.covariance(i);

            Real diff = covariance1[index][index] - covariance2[index][index];

            result[i] = std::sqrt(diff/dt);

            previousEvolutionTime = currentEvolutionTime;

        }

        return result;

    }

    std::vector<Matrix> coterminalSwapPseudoRoots(

        const PiecewiseConstantCorrelation& piecewiseConstantCorrelation,

        const std::vector<ext::shared_ptr<PiecewiseConstantVariance> >&

                                                 piecewiseConstantVariances) {

            QL_ENSURE(piecewiseConstantCorrelation.times()

                == piecewiseConstantVariances.front()->rateTimes(),

                "correlations and volatilities intertave");

            std::vector<Matrix> pseudoRoots;

            const std::vector<Time>& rateTimes

                = piecewiseConstantVariances.front()->rateTimes();

            for (Size i=1; i<rateTimes.size(); ++i) {

                Time sqrtTau = std::sqrt(rateTimes[i]-rateTimes[i-1]);

                const Matrix& correlations

                    = piecewiseConstantCorrelation.correlation(i);

                Matrix pseudoRoot(correlations.rows(), correlations.rows());

                for (Size j=0; j<correlations.rows(); ++j) {

                    Real volatility

                      = piecewiseConstantVariances[j]->volatility(i)*sqrtTau;

                    std::transform(correlations.row_begin(j),

                                   correlations.row_end(j),

                                   pseudoRoot.row_begin(j),

                                   [=](Real x) -> Real { return x * volatility; });

                }

                pseudoRoots.push_back(pseudoRoot);

            }

            return pseudoRoots;

    }

}