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

/*
 Copyright (C) 2000, 2001, 2002, 2003 RiskMap srl
 Copyright (C) 2007 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
 <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 zerospreadedtermstructure.hpp
    \brief Zero spreaded term structure
*/

#ifndef quantlib_zero_spreaded_term_structure_hpp
#define quantlib_zero_spreaded_term_structure_hpp

#include <ql/termstructures/yieldcurves/zeroyieldstructure.hpp>
#include <ql/quote.hpp>

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 ZeroYieldStructure {
      public:
        ZeroSpreadedTermStructure(const Handle<YieldTermStructure>&,
                                  const Handle<Quote>& spread,
                                  Compounding comp = Continuous,
                                  Frequency freq = NoFrequency,
                                  const DayCounter& dc = DayCounter());
        //! \name YieldTermStructure interface
        //@{
        DayCounter dayCounter() const { return originalCurve_->dayCounter(); }
        Calendar calendar() const;
        const Date& referenceDate() const;
        Date maxDate() const;
        Time maxTime() const;
        //@}
      protected:
        //! returns the spreaded zero yield rate
        Rate zeroYieldImpl(Time) const;
        //! returns the spreaded forward rate
        /* This method must disappear should the spread become a curve */
        Rate forwardImpl(Time) const;
      private:
        Handle<YieldTermStructure> originalCurve_;
        Handle<Quote> spread_;
        Compounding comp_;
        Frequency freq_;
        DayCounter dc_;
    };

    inline ZeroSpreadedTermStructure::ZeroSpreadedTermStructure(
                                          const Handle<YieldTermStructure>& h,
                                          const Handle<Quote>& spread,
                                          Compounding comp,
                                          Frequency freq,
                                          const DayCounter& dc)
    : originalCurve_(h), spread_(spread), comp_(comp), freq_(freq), dc_(dc) {
        registerWith(originalCurve_);
        registerWith(spread_);
    }

    inline Calendar ZeroSpreadedTermStructure::calendar() const {
        return originalCurve_->calendar();
    }

    inline const Date& ZeroSpreadedTermStructure::referenceDate() const {
        return originalCurve_->referenceDate();
    }

    inline Date ZeroSpreadedTermStructure::maxDate() const {
        return originalCurve_->maxDate();
    }

    inline Time ZeroSpreadedTermStructure::maxTime() const {
        return originalCurve_->maxTime();
    }

    inline Rate ZeroSpreadedTermStructure::zeroYieldImpl(Time t) const {
        // to be fixed: user-defined daycounter should be used
        InterestRate zeroRate =
            originalCurve_->zeroRate(t, comp_, freq_, true);
        InterestRate spreadedRate(zeroRate + spread_->value(),
                                  zeroRate.dayCounter(),
                                  zeroRate.compounding(),
                                  zeroRate.frequency());
        return spreadedRate.equivalentRate(t,Continuous,NoFrequency);
    }

    inline Rate ZeroSpreadedTermStructure::forwardImpl(Time t) const {
        return originalCurve_->forwardRate(t, t, comp_, freq_, true)
            + spread_->value();
    }

}

#endif
