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

/*

 Copyright (C) 2007 Cristina Duminuco

 Copyright (C) 2006 François du Vignaud

 Copyright (C) 2015 Peter Caspers

 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 sabrinterpolatedsmilesection.hpp

    \brief Interpolated smile section class

*/

#ifndef quantlib_sabr_interpolated_smile_section_hpp

#define quantlib_sabr_interpolated_smile_section_hpp

#include <ql/handle.hpp>

#include <ql/patterns/lazyobject.hpp>

#include <ql/termstructures/volatility/smilesection.hpp>

#include <ql/math/interpolations/sabrinterpolation.hpp>

#include <ql/time/daycounters/actual365fixed.hpp>

namespace QuantLib {

    class Quote;

    class SabrInterpolatedSmileSection : public SmileSection,

                                         public LazyObject {

      public:

        //! \name Constructors

        //@{

        //! all market data are quotes

        SabrInterpolatedSmileSection(

            const Date& optionDate,

            Handle<Quote> forward,

            const std::vector<Rate>& strikes,

            bool hasFloatingStrikes,

            Handle<Quote> atmVolatility,

            const std::vector<Handle<Quote> >& volHandles,

            Real alpha,

            Real beta,

            Real nu,

            Real rho,

            bool isAlphaFixed = false,

            bool isBetaFixed = false,

            bool isNuFixed = false,

            bool isRhoFixed = false,

            bool vegaWeighted = true,

            ext::shared_ptr<EndCriteria> endCriteria = ext::shared_ptr<EndCriteria>(),

            ext::shared_ptr<OptimizationMethod> method = ext::shared_ptr<OptimizationMethod>(),

            const DayCounter& dc = Actual365Fixed(),

            Real shift = 0.0);

        //! no quotes

        SabrInterpolatedSmileSection(

            const Date& optionDate,

            const Rate& forward,

            const std::vector<Rate>& strikes,

            bool hasFloatingStrikes,

            const Volatility& atmVolatility,

            const std::vector<Volatility>& vols,

            Real alpha,

            Real beta,

            Real nu,

            Real rho,

            bool isAlphaFixed = false,

            bool isBetaFixed = false,

            bool isNuFixed = false,

            bool isRhoFixed = false,

            bool vegaWeighted = true,

            ext::shared_ptr<EndCriteria> endCriteria = ext::shared_ptr<EndCriteria>(),

            ext::shared_ptr<OptimizationMethod> method = ext::shared_ptr<OptimizationMethod>(),

            const DayCounter& dc = Actual365Fixed(),

            Real shift = 0.0);

        //@}

        //! \name LazyObject interface

        //@{

        void performCalculations() const override;

        void update() override;

        //@}

        //! \name SmileSection interface

        //@{

        Real minStrike() const override;

        Real maxStrike() const override;

        Real atmLevel() const override;

        //@}

        Real varianceImpl(Rate strike) const override;

        Volatility volatilityImpl(Rate strike) const override;

        //! \name Inspectors

        //@{

        Real alpha() const;

        Real beta() const;

        Real nu() const;

        Real rho() const;

        Real rmsError() const;

        Real maxError() const;

        EndCriteria::Type endCriteria() const;

        //@}

      protected:

        //! Creates the mutable SABRInterpolation

        void createInterpolation() const;

        mutable ext::shared_ptr<SABRInterpolation> sabrInterpolation_;

        //! Market data

        const Handle<Quote> forward_;

        const Handle<Quote> atmVolatility_;

        std::vector<Handle<Quote> > volHandles_;

        mutable std::vector<Rate> strikes_;

        //! Only strikes corresponding to valid market data

        mutable std::vector<Rate> actualStrikes_;

        bool hasFloatingStrikes_;

        mutable Real forwardValue_;

        mutable std::vector<Volatility> vols_;

        //! Sabr parameters

        Real alpha_, beta_, nu_, rho_;

        //! Sabr interpolation settings

        bool isAlphaFixed_, isBetaFixed_, isNuFixed_, isRhoFixed_;

        bool vegaWeighted_;

        const ext::shared_ptr<EndCriteria> endCriteria_;

        const ext::shared_ptr<OptimizationMethod> method_;

        mutable Date evaluationDate_;

    };

    inline void SabrInterpolatedSmileSection::update() {

        LazyObject::update();

        SmileSection::update();

    }

    inline Real SabrInterpolatedSmileSection::volatilityImpl(Rate strike) const {

        calculate();

        return (*sabrInterpolation_)(strike, true);

    }

    inline Real SabrInterpolatedSmileSection::alpha() const {

        calculate();

        return sabrInterpolation_->alpha();

    }

    inline Real SabrInterpolatedSmileSection::beta() const {

        calculate();

        return sabrInterpolation_->beta();

    }

    inline Real SabrInterpolatedSmileSection::nu() const {

        calculate();

        return sabrInterpolation_->nu();

    }

    inline Real SabrInterpolatedSmileSection::rho() const {

        calculate();

        return sabrInterpolation_->rho();

    }

    inline Real SabrInterpolatedSmileSection::rmsError() const {

        calculate();

        return sabrInterpolation_->rmsError();

    }

    inline Real SabrInterpolatedSmileSection::maxError() const {

        calculate();

        return sabrInterpolation_->maxError();

    }

    inline EndCriteria::Type SabrInterpolatedSmileSection::endCriteria() const {

        calculate();

        return sabrInterpolation_->endCriteria();

    }

    inline Real SabrInterpolatedSmileSection::minStrike() const {

        calculate();

        return actualStrikes_.front();

    }

    inline Real SabrInterpolatedSmileSection::maxStrike() const {

        calculate();

        return actualStrikes_.back();

    }

    inline Real SabrInterpolatedSmileSection::atmLevel() const {

        calculate();

        return forwardValue_;

    }

}

#endif