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

/*

 Copyright (C) 2008 Ferdinando Ametrano

 Copyright (C) 2006, 2007 StatPro Italia srl

 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 swaptionconstantvol.hpp

    \brief Constant swaption volatility

*/

#ifndef quantlib_swaption_constant_volatility_hpp

#define quantlib_swaption_constant_volatility_hpp

#include <ql/termstructures/volatility/swaption/swaptionvolstructure.hpp>

#include <ql/time/period.hpp>

namespace QuantLib {

    class Quote;

    //! Constant swaption volatility, no time-strike dependence

    class ConstantSwaptionVolatility : public SwaptionVolatilityStructure {

      public:

        //! floating reference date, floating market data

        ConstantSwaptionVolatility(Natural settlementDays,

                                   const Calendar& cal,

                                   BusinessDayConvention bdc,

                                   Handle<Quote> volatility,

                                   const DayCounter& dc,

                                   VolatilityType type = ShiftedLognormal,

                                   Real shift = 0.0);

        //! fixed reference date, floating market data

        ConstantSwaptionVolatility(const Date& referenceDate,

                                   const Calendar& cal,

                                   BusinessDayConvention bdc,

                                   Handle<Quote> volatility,

                                   const DayCounter& dc,

                                   VolatilityType type = ShiftedLognormal,

                                   Real shift = 0.0);

        //! floating reference date, fixed market data

        ConstantSwaptionVolatility(Natural settlementDays,

                                   const Calendar& cal,

                                   BusinessDayConvention bdc,

                                   Volatility volatility,

                                   const DayCounter& dc,

                                   VolatilityType type = ShiftedLognormal,

                                   Real shift = 0.0);

        //! fixed reference date, fixed market data

        ConstantSwaptionVolatility(const Date& referenceDate,

                                   const Calendar& cal,

                                   BusinessDayConvention bdc,

                                   Volatility volatility,

                                   const DayCounter& dc,

                                   VolatilityType type = ShiftedLognormal,

                                   Real shift = 0.0);

        //! \name TermStructure interface

        //@{

        Date maxDate() const override;

        //@}

        //! \name VolatilityTermStructure interface

        //@{

        Real minStrike() const override;

        Real maxStrike() const override;

        //@}

        //! \name SwaptionVolatilityStructure interface

        //@{

        const Period& maxSwapTenor() const override;

        //@}

        //! volatility type

        VolatilityType volatilityType() const override;

      protected:

        ext::shared_ptr<SmileSection> smileSectionImpl(const Date&, const Period&) const override;

        ext::shared_ptr<SmileSection> smileSectionImpl(Time, Time) const override;

        Volatility volatilityImpl(const Date&, const Period&, Rate) const override;

        Volatility volatilityImpl(Time, Time, Rate) const override;

        Real shiftImpl(Time optionTime, Time swapLength) const override;

      private:

        Handle<Quote> volatility_;

        Period maxSwapTenor_;

        VolatilityType volatilityType_;

        Real shift_;

    };

    // inline definitions

    inline Date ConstantSwaptionVolatility::maxDate() const {

        return Date::maxDate();

    }

    inline Real ConstantSwaptionVolatility::minStrike() const {

        return QL_MIN_REAL;

    }

    inline Real ConstantSwaptionVolatility::maxStrike() const {

        return QL_MAX_REAL;

    }

    inline const Period& ConstantSwaptionVolatility::maxSwapTenor() const {

        return maxSwapTenor_;

    }

    inline VolatilityType ConstantSwaptionVolatility::volatilityType() const {

        return volatilityType_;

    }

    inline Real ConstantSwaptionVolatility::shiftImpl(Time optionTime, Time swapLength) const {

        // consistency check

        SwaptionVolatilityStructure::shiftImpl(optionTime, swapLength);

        return shift_;

    }

}

#endif