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

/*

 Copyright (C) 2003 Ferdinando Ametrano

 Copyright (C) 2001, 2002, 2003 Sadruddin Rejeb

 Copyright (C) 2004, 2005 StatPro Italia srl

 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 merton76process.hpp

    \brief Merton-76 process

*/

#ifndef quantlib_merton_76_process_hpp

#define quantlib_merton_76_process_hpp

#include <ql/processes/blackscholesprocess.hpp>

#include <ql/processes/eulerdiscretization.hpp>

namespace QuantLib {

    //! Merton-76 jump-diffusion process

    /*! \ingroup processes */

    class Merton76Process : public StochasticProcess1D {

      public:

        Merton76Process(const Handle<Quote>& stateVariable,

                        const Handle<YieldTermStructure>& dividendTS,

                        const Handle<YieldTermStructure>& riskFreeTS,

                        const Handle<BlackVolTermStructure>& blackVolTS,

                        Handle<Quote> jumpInt,

                        Handle<Quote> logJMean,

                        Handle<Quote> logJVol,

                        const ext::shared_ptr<discretization>& d =

                            ext::shared_ptr<discretization>(new EulerDiscretization));

        //! \name StochasticProcess1D interface

        //@{

        Real x0() const override;

        Real drift(Time, Real) const override { QL_FAIL("Merton76Process does not implement drift"); }

        Real diffusion(Time, Real) const override { QL_FAIL("Merton76Process does not implement diffusion"); }

        Real apply(Real, Real) const override { QL_FAIL("Merton76Process does not implement apply"); }

        //@}

        Time time(const Date&) const override;

        //! \name Inspectors

        //@{

        const Handle<Quote>& stateVariable() const;

        const Handle<YieldTermStructure>& dividendYield() const;

        const Handle<YieldTermStructure>& riskFreeRate() const;

        const Handle<BlackVolTermStructure>& blackVolatility() const;

        const Handle<Quote>& jumpIntensity() const;

        const Handle<Quote>& logMeanJump() const;

        const Handle<Quote>& logJumpVolatility() const;

        //@}

      private:

        ext::shared_ptr<GeneralizedBlackScholesProcess> blackProcess_;

        Handle<Quote> jumpIntensity_, logMeanJump_, logJumpVolatility_;

    };

}

#endif