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

/*

 Copyright (C) 2000, 2001, 2002, 2003 RiskMap srl

 Copyright (C) 2007, 2008 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 zerospreadedtermstructure.hpp

    \brief Zero spreaded term structure

*/

#ifndef quantlib_zero_spreaded_term_structure_hpp

#define quantlib_zero_spreaded_term_structure_hpp

#include <ql/quote.hpp>

#include <ql/termstructures/yield/derivedtermstructure.hpp>

#include <ql/termstructures/yield/zeroyieldstructure.hpp>

#include <utility>

namespace QuantLib {

    //! Term structure with an added spread on the zero yield rate

    /*! \note This term structure will remain linked to the original

              structure, i.e., any changes in the latter will be

              reflected in this structure as well.

        \ingroup yieldtermstructures

        \test

        - the correctness of the returned values is tested by

          checking them against numerical calculations.

        - observability against changes in the underlying term

          structure and in the added spread is checked.

    */

    class ZeroSpreadedTermStructure

        : public RelativeDerivedYieldTermStructure<ZeroYieldStructure> {

      public:

        ZeroSpreadedTermStructure(Handle<YieldTermStructure>,

                                  Handle<Quote> spread,

                                  Compounding comp = Continuous,

                                  Frequency freq = NoFrequency);

        /*! \deprecated Use the constructor without a day counter.

                        Deprecated in version 1.41.

        */

        [[deprecated("Use the constructor without DayCounter")]]

        ZeroSpreadedTermStructure(Handle<YieldTermStructure>,

                                  Handle<Quote> spread,

                                  Compounding comp,

                                  Frequency freq,

                                  const DayCounter& dc);

      protected:

        //! returns the spreaded zero yield rate

        Rate zeroYieldImpl(Time) const override;

      private:

        Handle<Quote> spread_;

        Compounding comp_;

        Frequency freq_;

    };

    inline ZeroSpreadedTermStructure::ZeroSpreadedTermStructure(Handle<YieldTermStructure> h,

                                                                Handle<Quote> spread,

                                                                Compounding comp,

                                                                Frequency freq)

    : RelativeDerivedYieldTermStructure(std::move(h)), spread_(std::move(spread)),

      comp_(comp), freq_(freq) {

        registerWith(spread_);

    }

    inline ZeroSpreadedTermStructure::ZeroSpreadedTermStructure(Handle<YieldTermStructure> h,

                                                                Handle<Quote> spread,

                                                                Compounding comp,

                                                                Frequency freq,

                                                                const DayCounter& dc)

    : ZeroSpreadedTermStructure(std::move(h), std::move(spread), comp, freq) {}

    inline Rate ZeroSpreadedTermStructure::zeroYieldImpl(Time t) const {

        InterestRate zeroRate =

            originalCurve_->zeroRate(t, comp_, freq_, true);

        InterestRate spreadedRate(zeroRate + spread_->value(),

                                  zeroRate.dayCounter(),

                                  zeroRate.compounding(),

                                  zeroRate.frequency());

        return spreadedRate.equivalentRate(Continuous, NoFrequency, t);

    }

}

#endif