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

/*
 Copyright (C) 2006 Ferdinando Ametrano
 Copyright (C) 2006 François du Vignaud
 Copyright (C) 2006 Katiuscia Manzoni
 Copyright (C) 2000, 2001, 2002, 2003 RiskMap 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
 <http://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/time/calendars/nullcalendar.hpp>
#include <ql/utilities/dataformatters.hpp>
#include <ql/termstructures/volatilities/swaptionvolmatrix.hpp>
#include <ql/termstructures/volatilities/smilesection.hpp>
#include <ql/quotes/simplequote.hpp>

namespace QuantLib {

    // floating reference date, floating market data
    SwaptionVolatilityMatrix::SwaptionVolatilityMatrix(
                    const Calendar& cal,
                    const std::vector<Period>& optionTenors,
                    const std::vector<Period>& swapTenors,
                    const std::vector<std::vector<Handle<Quote> > >& vols,
                    const DayCounter& dc,
                    BusinessDayConvention bdc)
    : SwaptionVolatilityDiscrete(optionTenors, swapTenors, 0, cal, dc, bdc),
      volHandles_(vols),
      volatilities_(vols.size(), vols.front().size()) {
        checkInputs(volatilities_.rows(), volatilities_.columns());
        registerWithMarketData();
        interpolation_ = BilinearInterpolation(
                                    swapLengths_.begin(), swapLengths_.end(),
                                    optionTimes_.begin(), optionTimes_.end(),
                                    volatilities_);
   }

    // fixed reference date, floating market data
    SwaptionVolatilityMatrix::SwaptionVolatilityMatrix(
                    const Date& referenceDate,
                    const Calendar& cal,
                    const std::vector<Period>& optionTenors,
                    const std::vector<Period>& swapTenors,
                    const std::vector<std::vector<Handle<Quote> > >& vols,
                    const DayCounter& dc,
                    BusinessDayConvention bdc)
    : SwaptionVolatilityDiscrete(optionTenors, swapTenors, referenceDate, cal, dc, bdc),
      volHandles_(vols),
      volatilities_(vols.size(), vols.front().size()) {
        checkInputs(volatilities_.rows(), volatilities_.columns());
        registerWithMarketData();
        interpolation_ = BilinearInterpolation(
                                    swapLengths_.begin(), swapLengths_.end(),
                                    optionTimes_.begin(), optionTimes_.end(),
                                    volatilities_);
    }


    // floating reference date, fixed market data
    SwaptionVolatilityMatrix::SwaptionVolatilityMatrix(
                        const Calendar& cal,
                        const std::vector<Period>& optionTenors,
                        const std::vector<Period>& swapTenors,
                        const Matrix& vols,
                        const DayCounter& dc,
                        BusinessDayConvention bdc)
    : SwaptionVolatilityDiscrete(optionTenors, swapTenors, 0, cal, dc, bdc),
      volHandles_(vols.rows()),
      volatilities_(vols.rows(), vols.columns()) {

        checkInputs(vols.rows(), vols.columns());

        // fill dummy handles to allow generic handle-based
        // computations later on
        for (Size i=0; i<vols.rows(); i++) {
            volHandles_[i].resize(vols.columns());
            for (Size j=0; j<vols.columns(); j++) {
                volHandles_[i][j] = Handle<Quote>(boost::shared_ptr<Quote>(
                    new SimpleQuote(vols[i][j])));
            }
        }
        registerWithMarketData();
        interpolation_ = BilinearInterpolation(
                                    swapLengths_.begin(), swapLengths_.end(),
                                    optionTimes_.begin(), optionTimes_.end(),
                                    volatilities_);
    }

    // fixed reference date, fixed market data
    SwaptionVolatilityMatrix::SwaptionVolatilityMatrix(
                        const Date& refDate,
                        const Calendar& cal,
                        const std::vector<Period>& optionTenors,
                        const std::vector<Period>& swapTenors,
                        const Matrix& vols,
                        const DayCounter& dc,
                        BusinessDayConvention bdc)
    : SwaptionVolatilityDiscrete(optionTenors, swapTenors, refDate, cal, dc, bdc),
      volHandles_(vols.rows()),
      volatilities_(vols.rows(), vols.columns()) {

        checkInputs(vols.rows(), vols.columns());

        // fill dummy handles to allow generic handle-based
        // computations later on
        for (Size i=0; i<vols.rows(); i++) {
            volHandles_[i].resize(vols.columns());
            for (Size j=0; j<vols.columns(); j++) {
                volHandles_[i][j] = Handle<Quote>(boost::shared_ptr<Quote>(
                    new SimpleQuote(vols[i][j])));
            }
        }
        registerWithMarketData();
        interpolation_ = BilinearInterpolation(
                                    swapLengths_.begin(), swapLengths_.end(),
                                    optionTimes_.begin(), optionTimes_.end(),
                                    volatilities_);
    }

    // fixed reference date and fixed market data, option dates
    SwaptionVolatilityMatrix::SwaptionVolatilityMatrix(
                    const Date& today,
                    const std::vector<Date>& optionDates,
                    const std::vector<Period>& swapTenors,
                    const Matrix& vols,
                    const DayCounter& dc)
    : SwaptionVolatilityDiscrete(optionDates, swapTenors, today, Calendar(), dc),
      volHandles_(vols.rows()),
      volatilities_(vols.rows(), vols.columns()) {

        checkInputs(vols.rows(), vols.columns());

        // fill dummy handles to allow generic handle-based
        // computations later on
        for (Size i=0; i<vols.rows(); i++){
            volHandles_[i].resize(vols.columns());
            for (Size j=0; j<vols.columns(); j++){
                volHandles_[i][j] = Handle<Quote>(boost::shared_ptr<Quote>(
                    new SimpleQuote(vols[i][j])));
            }
        }
        registerWithMarketData();
        interpolation_ = BilinearInterpolation(
                                    swapLengths_.begin(), swapLengths_.end(),
                                    optionTimes_.begin(), optionTimes_.end(),
                                    volatilities_);
    }

    void SwaptionVolatilityMatrix::performCalculations() const {

        if (moving_) // check if date recalculation could be avoided
            initializeOptionDatesAndTimes();

        // we might use iterators here...
        for (Size i=0; i<volatilities_.rows(); ++i)
            for (Size j=0; j<volatilities_.columns(); ++j)
                volatilities_[i][j] = volHandles_[i][j]->value();
    }

    void SwaptionVolatilityMatrix::registerWithMarketData()
    {
        for (Size i=0; i<volHandles_.size(); ++i)
            for (Size j=0; j<volHandles_.front().size(); ++j)
                registerWith(volHandles_[i][j]);
    }

    boost::shared_ptr<SmileSection>
    SwaptionVolatilityMatrix::smileSectionImpl(Time optionTime,
                                               Time swapLength) const {
        // dummy strike
        Volatility atmVol = volatility(optionTime, swapLength, 0.05);
        return boost::shared_ptr<SmileSection>(new
            FlatSmileSection(optionTime, atmVol));
    }

    void SwaptionVolatilityMatrix::checkInputs(Size volRows,
                                               Size volsColumns) const {
        QL_REQUIRE(nOptionTenors_==volRows,
            "mismatch between number of option dates ("
            << nOptionTenors_ << ") and number of rows ("
            << volRows << ") in the vol matrix");
        QL_REQUIRE(nSwapTenors_==volsColumns,
            "mismatch between number of tenors ("
            << nSwapTenors_ << ") and number of rows ("
            << volsColumns << ") in the vol matrix");
        }

}