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

/*

 Copyright (C) 2002, 2003, 2004 Ferdinando Ametrano

 Copyright (C) 2003, 2004 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.

*/

#include <ql/math/interpolations/bilinearinterpolation.hpp>

#include <ql/termstructures/volatility/equityfx/blackvariancesurface.hpp>

#include <utility>

namespace QuantLib {

    BlackVarianceSurface::BlackVarianceSurface(const Date& referenceDate,

                                               const Calendar& cal,

                                               const std::vector<Date>& dates,

                                               std::vector<Real> strikes,

                                               const Matrix& blackVolMatrix,

                                               DayCounter dayCounter,

                                               BlackVarianceSurface::Extrapolation lowerEx,

                                               BlackVarianceSurface::Extrapolation upperEx)

    : BlackVarianceTermStructure(referenceDate, cal), dayCounter_(std::move(dayCounter)),

      maxDate_(dates.back()), strikes_(std::move(strikes)), lowerExtrapolation_(lowerEx),

      upperExtrapolation_(upperEx) {

        QL_REQUIRE(dates.size()==blackVolMatrix.columns(),

                   "mismatch between date vector and vol matrix colums");

        QL_REQUIRE(strikes_.size()==blackVolMatrix.rows(),

                   "mismatch between money-strike vector and vol matrix rows");

        QL_REQUIRE(dates[0]>=referenceDate,

                   "cannot have dates[0] < referenceDate");

        Size j, i;

        times_ = std::vector<Time>(dates.size()+1);

        times_[0] = 0.0;

        variances_ = Matrix(strikes_.size(), dates.size()+1);

        for (i=0; i<blackVolMatrix.rows(); i++) {

            variances_[i][0] = 0.0;

        }

        for (j=1; j<=blackVolMatrix.columns(); j++) {

            times_[j] = timeFromReference(dates[j-1]);

            QL_REQUIRE(times_[j]>times_[j-1],

                       "dates must be sorted unique!");

            for (i=0; i<blackVolMatrix.rows(); i++) {

                variances_[i][j] = times_[j] *

                    blackVolMatrix[i][j-1]*blackVolMatrix[i][j-1];

            }

        }

        // default: bilinear interpolation

        setInterpolation<Bilinear>();

    }

Unexecuted instantiation: QuantLib::BlackVarianceSurface::BlackVarianceSurface(QuantLib::Date const&, QuantLib::Calendar const&, std::__1::vector<QuantLib::Date, std::__1::allocator<QuantLib::Date> > const&, std::__1::vector<double, std::__1::allocator<double> >, QuantLib::Matrix const&, QuantLib::DayCounter, QuantLib::BlackVarianceSurface::Extrapolation, QuantLib::BlackVarianceSurface::Extrapolation)

Unexecuted instantiation: QuantLib::BlackVarianceSurface::BlackVarianceSurface(QuantLib::Date const&, QuantLib::Calendar const&, std::__1::vector<QuantLib::Date, std::__1::allocator<QuantLib::Date> > const&, std::__1::vector<double, std::__1::allocator<double> >, QuantLib::Matrix const&, QuantLib::DayCounter, QuantLib::BlackVarianceSurface::Extrapolation, QuantLib::BlackVarianceSurface::Extrapolation)

    Real BlackVarianceSurface::blackVarianceImpl(Time t, Real strike) const {

        if (t==0.0) return 0.0;

        // enforce constant extrapolation when required

        if (strike < strikes_.front()

            && lowerExtrapolation_ == ConstantExtrapolation)

            strike = strikes_.front();

        if (strike > strikes_.back()

            && upperExtrapolation_ == ConstantExtrapolation)

            strike = strikes_.back();

        if (t<=times_.back())

            return varianceSurface_(t, strike, true);

        else // t>times_.back() || extrapolate

            return varianceSurface_(times_.back(), strike, true) *

                t/times_.back();

    }

}