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

/*

Copyright (C) 2010 Adrian O' Neill

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/errors.hpp>

#include <ql/experimental/variancegamma/variancegammaprocess.hpp>

#include <ql/math/distributions/normaldistribution.hpp>

#include <ql/processes/eulerdiscretization.hpp>

#include <utility>

namespace QuantLib {

    VarianceGammaProcess::VarianceGammaProcess(Handle<Quote> s0,

                                               Handle<YieldTermStructure> dividendYield,

                                               Handle<YieldTermStructure> riskFreeRate,

                                               Real sigma,

                                               Real nu,

                                               Real theta)

    : StochasticProcess1D(ext::make_shared<EulerDiscretization>()),

      s0_(std::move(s0)), dividendYield_(std::move(dividendYield)),

      riskFreeRate_(std::move(riskFreeRate)), sigma_(sigma), nu_(nu), theta_(theta) {

        registerWith(riskFreeRate_);

        registerWith(dividendYield_);

        registerWith(s0_);

    }

    Real VarianceGammaProcess::x0() const

    {

        return s0_->value();

    }

    Real VarianceGammaProcess::drift(Time /*t*/, Real /*x*/) const

    {

        QL_FAIL("not implemented yet");

    }

    Real VarianceGammaProcess::diffusion(Time /*t*/, Real /*x*/) const

    {

        QL_FAIL("not implemented yet");

    }

    const Handle<Quote>& VarianceGammaProcess::s0() const {

        return s0_;

    }

    const Handle<YieldTermStructure>& VarianceGammaProcess::dividendYield() const {

        return dividendYield_;

    }

    const Handle<YieldTermStructure>& VarianceGammaProcess::riskFreeRate() const {

        return riskFreeRate_;

    }

}