/* -*- 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.

*/

#include <ql/quotes/simplequote.hpp>

#include <ql/settings.hpp>

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

#include <utility>

namespace QuantLib {

    SabrInterpolatedSmileSection::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,

        bool isBetaFixed,

        bool isNuFixed,

        bool isRhoFixed,

        bool vegaWeighted,

        ext::shared_ptr<EndCriteria> endCriteria,

        ext::shared_ptr<OptimizationMethod> method,

        const DayCounter& dc,

        const Real shift)

    : SmileSection(optionDate, dc, Date(), ShiftedLognormal, shift), forward_(std::move(forward)),

      atmVolatility_(std::move(atmVolatility)), volHandles_(volHandles), strikes_(strikes),

      actualStrikes_(strikes), hasFloatingStrikes_(hasFloatingStrikes), vols_(volHandles.size()),

      alpha_(alpha), beta_(beta), nu_(nu), rho_(rho), isAlphaFixed_(isAlphaFixed),

      isBetaFixed_(isBetaFixed), isNuFixed_(isNuFixed), isRhoFixed_(isRhoFixed),

      vegaWeighted_(vegaWeighted), endCriteria_(std::move(endCriteria)), method_(std::move(method)),

      evaluationDate_(Settings::instance().evaluationDate()) {

        LazyObject::registerWith(forward_);

        LazyObject::registerWith(atmVolatility_);

        for (auto& volHandle : volHandles_)

            LazyObject::registerWith(volHandle);

    }

Unexecuted instantiation: QuantLib::SabrInterpolatedSmileSection::SabrInterpolatedSmileSection(QuantLib::Date const&, QuantLib::Handle<QuantLib::Quote>, std::__1::vector<double, std::__1::allocator<double> > const&, bool, QuantLib::Handle<QuantLib::Quote>, std::__1::vector<QuantLib::Handle<QuantLib::Quote>, std::__1::allocator<QuantLib::Handle<QuantLib::Quote> > > const&, double, double, double, double, bool, bool, bool, bool, bool, boost::shared_ptr<QuantLib::EndCriteria>, boost::shared_ptr<QuantLib::OptimizationMethod>, QuantLib::DayCounter const&, double)

Unexecuted instantiation: QuantLib::SabrInterpolatedSmileSection::SabrInterpolatedSmileSection(QuantLib::Date const&, QuantLib::Handle<QuantLib::Quote>, std::__1::vector<double, std::__1::allocator<double> > const&, bool, QuantLib::Handle<QuantLib::Quote>, std::__1::vector<QuantLib::Handle<QuantLib::Quote>, std::__1::allocator<QuantLib::Handle<QuantLib::Quote> > > const&, double, double, double, double, bool, bool, bool, bool, bool, boost::shared_ptr<QuantLib::EndCriteria>, boost::shared_ptr<QuantLib::OptimizationMethod>, QuantLib::DayCounter const&, double)

    SabrInterpolatedSmileSection::SabrInterpolatedSmileSection(

        const Date& optionDate,

        const Rate& forward,

        const std::vector<Rate>& strikes,

        bool hasFloatingStrikes,

        const Volatility& atmVolatility,

        const std::vector<Volatility>& volHandles,

        Real alpha,

        Real beta,

        Real nu,

        Real rho,

        bool isAlphaFixed,

        bool isBetaFixed,

        bool isNuFixed,

        bool isRhoFixed,

        bool vegaWeighted,

        ext::shared_ptr<EndCriteria> endCriteria,

        ext::shared_ptr<OptimizationMethod> method,

        const DayCounter& dc,

        const Real shift)

    : SmileSection(optionDate, dc, Date(), ShiftedLognormal, shift),

      forward_(Handle<Quote>(ext::make_shared<SimpleQuote>(forward))),

      atmVolatility_(Handle<Quote>(ext::make_shared<SimpleQuote>(atmVolatility))),

      volHandles_(volHandles.size()), strikes_(strikes), actualStrikes_(strikes),

      hasFloatingStrikes_(hasFloatingStrikes), vols_(volHandles.size()), alpha_(alpha), beta_(beta),

      nu_(nu), rho_(rho), isAlphaFixed_(isAlphaFixed), isBetaFixed_(isBetaFixed),

      isNuFixed_(isNuFixed), isRhoFixed_(isRhoFixed), vegaWeighted_(vegaWeighted),

      endCriteria_(std::move(endCriteria)), method_(std::move(method)),

      evaluationDate_(Settings::instance().evaluationDate()) {

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

            volHandles_[i] = Handle<Quote>(ext::make_shared<SimpleQuote>(volHandles[i]));

    }

Unexecuted instantiation: QuantLib::SabrInterpolatedSmileSection::SabrInterpolatedSmileSection(QuantLib::Date const&, double const&, std::__1::vector<double, std::__1::allocator<double> > const&, bool, double const&, std::__1::vector<double, std::__1::allocator<double> > const&, double, double, double, double, bool, bool, bool, bool, bool, boost::shared_ptr<QuantLib::EndCriteria>, boost::shared_ptr<QuantLib::OptimizationMethod>, QuantLib::DayCounter const&, double)

Unexecuted instantiation: QuantLib::SabrInterpolatedSmileSection::SabrInterpolatedSmileSection(QuantLib::Date const&, double const&, std::__1::vector<double, std::__1::allocator<double> > const&, bool, double const&, std::__1::vector<double, std::__1::allocator<double> > const&, double, double, double, double, bool, bool, bool, bool, bool, boost::shared_ptr<QuantLib::EndCriteria>, boost::shared_ptr<QuantLib::OptimizationMethod>, QuantLib::DayCounter const&, double)

    void SabrInterpolatedSmileSection::createInterpolation() const {

         auto tmp = ext::make_shared<SABRInterpolation>(

             actualStrikes_.begin(), actualStrikes_.end(), vols_.begin(),

             exerciseTime(), forwardValue_, alpha_, beta_, nu_, rho_,

             isAlphaFixed_, isBetaFixed_, isNuFixed_, isRhoFixed_, vegaWeighted_,

             endCriteria_, method_, 0.0020, false, 50, shift());

         swap(tmp, sabrInterpolation_);

    }

    void SabrInterpolatedSmileSection::performCalculations() const {

        forwardValue_ = forward_->value();

        vols_.clear();

        actualStrikes_.clear();

        // we populate the volatilities, skipping the invalid ones

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

            if (volHandles_[i]->isValid()) {

                if (hasFloatingStrikes_) {

                    actualStrikes_.push_back(forwardValue_ + strikes_[i]);

                    vols_.push_back(atmVolatility_->value() + volHandles_[i]->value());

                } else {

                    actualStrikes_.push_back(strikes_[i]);

                    vols_.push_back(volHandles_[i]->value());

                }

            }

        }

        // we are recreating the sabrinterpolation object unconditionnaly to

        // avoid iterator invalidation

        createInterpolation();

        sabrInterpolation_->update();

    }

    Real SabrInterpolatedSmileSection::varianceImpl(Real strike) const {

        calculate();

        Real v = (*sabrInterpolation_)(strike, true);

        return v*v*exerciseTime();

    }

}