text: /* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
  
  /*
   Copyright (C) 2015 Johannes Göttker-Schnetmann
   Copyright (C) 2015 Klaus Spanderen
  
   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.
  */
  
  /*! \file fixedlocalvolsurface.hpp
      \brief Local volatility surface based on fixed values plus interpolation
  */
  
  #ifndef quantlib_fixed_local_vol_surface_hpp
  #define quantlib_fixed_local_vol_surface_hpp
  
  #include <ql/math/matrix.hpp>
  #include <ql/math/interpolation.hpp>
  #include <ql/math/interpolations/linearinterpolation.hpp>
  
  #include <ql/termstructures/volatility/equityfx/localvoltermstructure.hpp>
  
  namespace QuantLib {
  
      class FixedLocalVolSurface : public LocalVolTermStructure {
        public:
          enum Extrapolation { ConstantExtrapolation,
                               InterpolatorDefaultExtrapolation };
          FixedLocalVolSurface(const Date& referenceDate,
                               const std::vector<Date>& dates,
                               const std::vector<Real>& strikes,
                               const ext::shared_ptr<Matrix>& localVolMatrix,
                               const DayCounter& dayCounter,
                               Extrapolation lowerExtrapolation =
                                   ConstantExtrapolation,
                               Extrapolation upperExtrapolation =
                                   ConstantExtrapolation);
  
          FixedLocalVolSurface(const Date& referenceDate,
                               const std::vector<Time>& times,
                               const std::vector<Real>& strikes,
                               const ext::shared_ptr<Matrix>& localVolMatrix,
                               const DayCounter& dayCounter,
                               Extrapolation lowerExtrapolation =
                                   ConstantExtrapolation,
                               Extrapolation upperExtrapolation =
                                   ConstantExtrapolation);
  
          FixedLocalVolSurface(
              const Date& referenceDate,
              const std::vector<Time>& times,
              const std::vector<ext::shared_ptr<std::vector<Real> > > & strikes,
              const ext::shared_ptr<Matrix>& localVolMatrix,
              const DayCounter& dayCounter,
              Extrapolation lowerExtrapolation = ConstantExtrapolation,
              Extrapolation upperExtrapolation = ConstantExtrapolation);
  
  
          Date maxDate() const;
          Time maxTime() const;
          Real minStrike() const;
          Real maxStrike() const;
  
          template <class Interpolator>
          void setInterpolation(const Interpolator& i = Interpolator()) {
              for (Size j=0; j < times_.size(); ++j) {
                  localVolInterpol_[j] = i.interpolate(
                      strikes_[j]->begin(), strikes_[j]->end(),
                      localVolMatrix_->column_begin(j));
              }
              notifyObservers();
          }
  
        protected:
          Volatility localVolImpl(Time t, Real strike) const;
  
          const Date maxDate_;
          std::vector<Time> times_;
          const ext::shared_ptr<Matrix> localVolMatrix_;
          const std::vector<ext::shared_ptr<std::vector<Real> > > strikes_;
  
          std::vector<Interpolation> localVolInterpol_;
          Extrapolation lowerExtrapolation_, upperExtrapolation_;
  
        private:
          void checkSurface();
      };
  }
  
  #endif
  