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

/*

 Copyright (C) 2003 Ferdinando Ametrano

 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/quotes/simplequote.hpp>

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

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

#include <ql/termstructures/yieldtermstructure.hpp>

#include <utility>

namespace QuantLib {

    const Date& LocalVolSurface::referenceDate() const {

        return blackTS_->referenceDate();

    }

    DayCounter LocalVolSurface::dayCounter() const {

        return blackTS_->dayCounter();

    }

    Date LocalVolSurface::maxDate() const {

        return blackTS_->maxDate();

    }

    Real LocalVolSurface::minStrike() const {

        return blackTS_->minStrike();

    }

    Real LocalVolSurface::maxStrike() const {

        return blackTS_->maxStrike();

    }

    LocalVolSurface::LocalVolSurface(const Handle<BlackVolTermStructure>& blackTS,

                                     Handle<YieldTermStructure> riskFreeTS,

                                     Handle<YieldTermStructure> dividendTS,

                                     Handle<Quote> underlying)

    : LocalVolTermStructure(blackTS->businessDayConvention(), blackTS->dayCounter()),

      blackTS_(blackTS), riskFreeTS_(std::move(riskFreeTS)), dividendTS_(std::move(dividendTS)),

      underlying_(std::move(underlying)) {

        registerWith(blackTS_);

        registerWith(riskFreeTS_);

        registerWith(dividendTS_);

        registerWith(underlying_);

    }

Unexecuted instantiation: QuantLib::LocalVolSurface::LocalVolSurface(QuantLib::Handle<QuantLib::BlackVolTermStructure> const&, QuantLib::Handle<QuantLib::YieldTermStructure>, QuantLib::Handle<QuantLib::YieldTermStructure>, QuantLib::Handle<QuantLib::Quote>)

Unexecuted instantiation: QuantLib::LocalVolSurface::LocalVolSurface(QuantLib::Handle<QuantLib::BlackVolTermStructure> const&, QuantLib::Handle<QuantLib::YieldTermStructure>, QuantLib::Handle<QuantLib::YieldTermStructure>, QuantLib::Handle<QuantLib::Quote>)

    LocalVolSurface::LocalVolSurface(const Handle<BlackVolTermStructure>& blackTS,

                                     Handle<YieldTermStructure> riskFreeTS,

                                     Handle<YieldTermStructure> dividendTS,

                                     Real underlying)

    : LocalVolTermStructure(blackTS->businessDayConvention(), blackTS->dayCounter()),

      blackTS_(blackTS), riskFreeTS_(std::move(riskFreeTS)), dividendTS_(std::move(dividendTS)),

      underlying_(ext::make_shared<SimpleQuote>(underlying)) {

        registerWith(blackTS_);

        registerWith(riskFreeTS_);

        registerWith(dividendTS_);

    }

Unexecuted instantiation: QuantLib::LocalVolSurface::LocalVolSurface(QuantLib::Handle<QuantLib::BlackVolTermStructure> const&, QuantLib::Handle<QuantLib::YieldTermStructure>, QuantLib::Handle<QuantLib::YieldTermStructure>, double)

Unexecuted instantiation: QuantLib::LocalVolSurface::LocalVolSurface(QuantLib::Handle<QuantLib::BlackVolTermStructure> const&, QuantLib::Handle<QuantLib::YieldTermStructure>, QuantLib::Handle<QuantLib::YieldTermStructure>, double)

    void LocalVolSurface::accept(AcyclicVisitor& v) {

        auto* v1 = dynamic_cast<Visitor<LocalVolSurface>*>(&v);

        if (v1 != nullptr)

            v1->visit(*this);

        else

            LocalVolTermStructure::accept(v);

    }

    Volatility LocalVolSurface::localVolImpl(Time t, Real underlyingLevel)

                                                                     const {

        DiscountFactor dr = riskFreeTS_->discount(t, true);

        DiscountFactor dq = dividendTS_->discount(t, true);

        Real forwardValue = underlying_->value()*dq/dr;

        // strike derivatives

        Real strike, y, dy, strikep, strikem;

        Real w, wp, wm, dwdy, d2wdy2;

        strike = underlyingLevel;

        y = std::log(strike/forwardValue);

        dy = ((std::fabs(y) > 0.001) ? Real(y*0.0001) : 0.000001);

        strikep=strike*std::exp(dy);

        strikem=strike/std::exp(dy);

        w  = blackTS_->blackVariance(t, strike,  true);

        wp = blackTS_->blackVariance(t, strikep, true);

        wm = blackTS_->blackVariance(t, strikem, true);

        dwdy = (wp-wm)/(2.0*dy);

        d2wdy2 = (wp-2.0*w+wm)/(dy*dy);

        // time derivative

        Real dt, wpt, wmt, dwdt;

        if (t==0.0) {

            dt = 0.0001;

            DiscountFactor drpt = riskFreeTS_->discount(t+dt, true);

            DiscountFactor dqpt = dividendTS_->discount(t+dt, true);           

            Real strikept = strike*dr*dqpt/(drpt*dq);

            wpt = blackTS_->blackVariance(t+dt, strikept, true);

            QL_ENSURE(wpt>=w,

                      "decreasing variance at strike " << strike

                      << " between time " << t << " and time " << t+dt);

            dwdt = (wpt-w)/dt;

        } else {

            dt = std::min<Time>(0.0001, t/2.0);

            DiscountFactor drpt = riskFreeTS_->discount(t+dt, true);

            DiscountFactor drmt = riskFreeTS_->discount(t-dt, true);

            DiscountFactor dqpt = dividendTS_->discount(t+dt, true);

            DiscountFactor dqmt = dividendTS_->discount(t-dt, true);

            Real strikept = strike*dr*dqpt/(drpt*dq);

            Real strikemt = strike*dr*dqmt/(drmt*dq);

            wpt = blackTS_->blackVariance(t+dt, strikept, true);

            wmt = blackTS_->blackVariance(t-dt, strikemt, true);

            QL_ENSURE(wpt>=w,

                      "decreasing variance at strike " << strike

                      << " between time " << t << " and time " << t+dt);

            QL_ENSURE(w>=wmt,

                      "decreasing variance at strike " << strike

                      << " between time " << t-dt << " and time " << t);

            dwdt = (wpt-wmt)/(2.0*dt);

        }

        if (dwdy==0.0 && d2wdy2==0.0) { // avoid /w where w might be 0.0

            return std::sqrt(dwdt);

        } else {

            Real den1 = 1.0 - y/w*dwdy;

            Real den2 = 0.25*(-0.25 - 1.0/w + y*y/w/w)*dwdy*dwdy;

            Real den3 = 0.5*d2wdy2;

            Real den = den1+den2+den3;

            Real result = dwdt / den;

            QL_ENSURE(result>=0.0,

                      "negative local vol^2 at strike " << strike

                      << " and time " << t

                      << "; the black vol surface is not smooth enough");

            return std::sqrt(result);

        }

    }

}