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

/*

 Copyright (C) 2005, 2006, 2007, 2008, 2009 StatPro Italia srl

 Copyright (C) 2009, 2015 Ferdinando Ametrano

 Copyright (C) 2015 Paolo Mazzocchi

 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 forwardcurve.hpp

    \brief interpolated forward-rate structure

*/

#ifndef quantlib_forward_curve_hpp

#define quantlib_forward_curve_hpp

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

#include <ql/termstructures/interpolatedcurve.hpp>

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

#include <utility>

namespace QuantLib {

    //! YieldTermStructure based on interpolation of forward rates

    /*! \ingroup yieldtermstructures */

    template <class Interpolator>

    class InterpolatedForwardCurve : public ZeroYieldStructure,

                                     protected InterpolatedCurve<Interpolator>,

                                     public InterpolatedNodes {

      public:

        // constructor

        InterpolatedForwardCurve(

            const std::vector<Date>& dates,

            const std::vector<Rate>& forwards,

            const DayCounter& dayCounter,

            const Calendar& cal = Calendar(),

            const std::vector<Handle<Quote> >& jumps = {},

            const std::vector<Date>& jumpDates = {},

            const Interpolator& interpolator = {});

        InterpolatedForwardCurve(

            const std::vector<Date>& dates,

            const std::vector<Rate>& forwards,

            const DayCounter& dayCounter,

            const Calendar& calendar,

            const Interpolator& interpolator);

        InterpolatedForwardCurve(

            const std::vector<Date>& dates,

            const std::vector<Rate>& forwards,

            const DayCounter& dayCounter,

            const Interpolator& interpolator);

        //! \name TermStructure interface

        //@{

        Date maxDate() const override;

        //@}

        //! \name other inspectors

        //@{

        const std::vector<Time>& times() const override;

        const std::vector<Date>& dates() const override;

        const std::vector<Real>& data() const override;

        const std::vector<Rate>& forwards() const;

        //@}

      protected:

        explicit InterpolatedForwardCurve(

            const DayCounter&,

            const Interpolator& interpolator = {});

        InterpolatedForwardCurve(

            const Date& referenceDate,

            const DayCounter&,

            const std::vector<Handle<Quote> >& jumps = {},

            const std::vector<Date>& jumpDates = {},

            const Interpolator& interpolator = {});

        InterpolatedForwardCurve(

            Natural settlementDays,

            const Calendar&,

            const DayCounter&,

            const std::vector<Handle<Quote> >& jumps = {},

            const std::vector<Date>& jumpDates = {},

            const Interpolator& interpolator = {});

        //! \name ZeroYieldStructure implementation

        //@{

        Rate zeroYieldImpl(Time t) const override;

        //@}

        mutable std::vector<Date> dates_;

      private:

        void initialize();

    };

    //! Term structure based on flat interpolation of forward rates

    /*! \ingroup yieldtermstructures */

    typedef InterpolatedForwardCurve<BackwardFlat> ForwardCurve;

    // inline definitions

    template <class T>

    inline Date InterpolatedForwardCurve<T>::maxDate() const {

        if (this->maxDate_ != Date())

           return this->maxDate_;

        return dates_.back();

    }

    template <class T>

    inline const std::vector<Time>&

    InterpolatedForwardCurve<T>::times() const {

        return this->times_;

    }

    template <class T>

    inline const std::vector<Date>&

    InterpolatedForwardCurve<T>::dates() const {

        return dates_;

    }

Unexecuted instantiation: QuantLib::InterpolatedForwardCurve<QuantLib::BackwardFlat>::dates() const

Unexecuted instantiation: QuantLib::InterpolatedForwardCurve<QuantLib::ForwardFlat>::dates() const

    template <class T>

    inline const std::vector<Real>&

    InterpolatedForwardCurve<T>::data() const {

        return this->data_;

    }

    template <class T>

    inline const std::vector<Rate>&

    InterpolatedForwardCurve<T>::forwards() const {

        return this->data_;

    }

    #ifndef __DOXYGEN__

    // template definitions

    template <class T>

    Rate InterpolatedForwardCurve<T>::zeroYieldImpl(Time t) const {

        if (t == 0.0)

            return this->interpolation_(t, true);

        const Time maxTime = this->times_.back();

        Real integral;

        if (t <= maxTime) {

            integral = this->interpolation_.primitive(t, true);

        } else {

            // flat fwd extrapolation

            integral = this->interpolation_.primitive(maxTime, true)

                     + this->data_.back()*(t - maxTime);

        }

        return integral/t;

    }

    template <class T>

    InterpolatedForwardCurve<T>::InterpolatedForwardCurve(

                                    const DayCounter& dayCounter,

                                    const T& interpolator)

    : ZeroYieldStructure(dayCounter), InterpolatedCurve<T>(interpolator) {}

    template <class T>

    InterpolatedForwardCurve<T>::InterpolatedForwardCurve(

                                    const Date& referenceDate,

                                    const DayCounter& dayCounter,

                                    const std::vector<Handle<Quote> >& jumps,

                                    const std::vector<Date>& jumpDates,

                                    const T& interpolator)

    : ZeroYieldStructure(referenceDate, Calendar(), dayCounter, jumps, jumpDates),

      InterpolatedCurve<T>(interpolator) {}

    template <class T>

    InterpolatedForwardCurve<T>::InterpolatedForwardCurve(

                                    Natural settlementDays,

                                    const Calendar& calendar,

                                    const DayCounter& dayCounter,

                                    const std::vector<Handle<Quote> >& jumps,

                                    const std::vector<Date>& jumpDates,

                                    const T& interpolator)

    : ZeroYieldStructure(settlementDays, calendar, dayCounter, jumps, jumpDates),

      InterpolatedCurve<T>(interpolator) {}

    template <class T>

    InterpolatedForwardCurve<T>::InterpolatedForwardCurve(

                                    const std::vector<Date>& dates,

                                    const std::vector<Rate>& forwards,

                                    const DayCounter& dayCounter,

                                    const Calendar& calendar,

                                    const std::vector<Handle<Quote> >& jumps,

                                    const std::vector<Date>& jumpDates,

                                    const T& interpolator)

    : ZeroYieldStructure(dates.at(0), calendar, dayCounter, jumps, jumpDates),

      InterpolatedCurve<T>(std::vector<Time>(), forwards, interpolator),

      dates_(dates)

    {

        initialize();

    }

    template <class T>

    InterpolatedForwardCurve<T>::InterpolatedForwardCurve(

            const std::vector<Date>& dates,

            const std::vector<Rate>& forwards,

            const DayCounter& dayCounter,

            const Calendar& calendar,

            const T& interpolator)

    : ZeroYieldStructure(dates.at(0), calendar, dayCounter),

      InterpolatedCurve<T>(std::vector<Time>(), forwards, interpolator),

      dates_(dates)

    {

        initialize();

    }

    template <class T>

    InterpolatedForwardCurve<T>::InterpolatedForwardCurve(

            const std::vector<Date>& dates,

            const std::vector<Rate>& forwards,

            const DayCounter& dayCounter,

            const T& interpolator)

    : ZeroYieldStructure(dates.at(0), Calendar(), dayCounter),

      InterpolatedCurve<T>(std::vector<Time>(), forwards, interpolator),

      dates_(dates)

    {

        initialize();

    }

    #endif

    template <class T>

    void InterpolatedForwardCurve<T>::initialize()

    {

        QL_REQUIRE(dates_.size() >= T::requiredPoints,

                   "not enough input dates given");

        QL_REQUIRE(this->data_.size() == dates_.size(),

                   "dates/data count mismatch");

        this->setupTimes(dates_, dates_[0], dayCounter());

        this->setupInterpolation();

    }

}

#endif