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

/*

 Copyright (C) 2006, 2008 Ferdinando Ametrano

 Copyright (C) 2006 François du Vignaud

 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/pricingengines/blackformula.hpp>

#include <ql/quotes/eurodollarfuturesquote.hpp>

#include <utility>

namespace QuantLib {

    EurodollarFuturesImpliedStdDevQuote::EurodollarFuturesImpliedStdDevQuote(

        Handle<Quote> forward,

        Handle<Quote> callPrice,

        Handle<Quote> putPrice,

        Real strike,

        Real guess,

        Real accuracy,

        Natural maxIter)

    : impliedStdev_(guess), strike_(100.0 - strike), accuracy_(accuracy), maxIter_(maxIter),

      forward_(std::move(forward)), callPrice_(std::move(callPrice)),

      putPrice_(std::move(putPrice)) {

        registerWith(forward_);

        registerWith(callPrice_);

        registerWith(putPrice_);

    }

Unexecuted instantiation: QuantLib::EurodollarFuturesImpliedStdDevQuote::EurodollarFuturesImpliedStdDevQuote(QuantLib::Handle<QuantLib::Quote>, QuantLib::Handle<QuantLib::Quote>, QuantLib::Handle<QuantLib::Quote>, double, double, double, unsigned int)

Unexecuted instantiation: QuantLib::EurodollarFuturesImpliedStdDevQuote::EurodollarFuturesImpliedStdDevQuote(QuantLib::Handle<QuantLib::Quote>, QuantLib::Handle<QuantLib::Quote>, QuantLib::Handle<QuantLib::Quote>, double, double, double, unsigned int)

    Real EurodollarFuturesImpliedStdDevQuote::value() const {

        calculate();

        return impliedStdev_;

    }

    bool EurodollarFuturesImpliedStdDevQuote::isValid() const {

        if (forward_.empty() || !forward_->isValid())

            return false;

        Real forwardValue = 100.0-forward_->value();

        if (strike_>forwardValue)

            return !putPrice_.empty() && putPrice_->isValid();

        else

            return !callPrice_.empty() && callPrice_->isValid();

    }

    void EurodollarFuturesImpliedStdDevQuote::performCalculations() const {

        static const Real discount = 1.0;

        static const Real displacement = 0.0;

        Real forwardValue = 100.0-forward_->value();

        if (strike_>forwardValue) {

            impliedStdev_ =

                blackFormulaImpliedStdDev(Option::Call, strike_,

                                          forwardValue, putPrice_->value(),

                                          discount, displacement,

                                          impliedStdev_, accuracy_, maxIter_);

        } else {

            impliedStdev_ =

                blackFormulaImpliedStdDev(Option::Put, strike_,

                                          forwardValue, callPrice_->value(),

                                          discount, displacement,

                                          impliedStdev_, accuracy_, maxIter_);

        }

    }

}