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

/*

 Copyright (C) 2015 Johannes Göttker-Schnetmann

 Copyright (C) 2015 Klaus Spanderen

 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 riskneutraldensitycalculator.hpp

    \brief interface for a single asset risk neutral terminal density calculation

*/

#ifndef quantlib_risk_neutral_density_calculator_hpp

#define quantlib_risk_neutral_density_calculator_hpp

#include <ql/types.hpp>

namespace QuantLib {

    class RiskNeutralDensityCalculator {

      public:

        virtual Real pdf(Real x, Time t) const = 0;

        virtual Real cdf(Real x, Time t) const = 0;

        virtual Real invcdf(Real p, Time t) const = 0;

        virtual ~RiskNeutralDensityCalculator() = default;

      protected:

        class InvCDFHelper {

          public:

            InvCDFHelper(const RiskNeutralDensityCalculator* calculator,

                         Real guess, Real accuracy, Size maxEvaluations,

                         Real stepSize=0.01);

            Real inverseCDF(Real p, Time t) const;

          private:

            const RiskNeutralDensityCalculator* const calculator_;

            const Real guess_;

            const Real accuracy_;

            const Size maxEvaluations_;

            const Real stepSize_;

        };

    };

}

#endif