/*
 * (c) Copyright Christian P. Fries, Germany. All rights reserved. Contact: email@christian-fries.de.
 *
 * Created on 20.05.2006
 */
package net.finmath.montecarlo.interestrate.modelplugins;

import net.finmath.montecarlo.RandomVariable;
import net.finmath.stochastic.RandomVariableInterface;
import net.finmath.time.TimeDiscretizationInterface;

/**
 * The five parameter covariance model consisting of an
 * {@link LIBORVolatilityModelMaturityDependentFourParameterExponentialForm}
 * and an
 * {@link LIBORCorrelationModelExponentialDecay}.
 * 
 * @author Christian Fries
 */
public class LIBORCovarianceModelExponentialForm5Param extends AbstractLIBORCovarianceModelParametric {

	private double[] parameter = new double[5];

	private LIBORVolatilityModelMaturityDependentFourParameterExponentialForm	volatilityModel;
	private LIBORCorrelationModelExponentialDecay								correlationModel;
	
	public LIBORCovarianceModelExponentialForm5Param(TimeDiscretizationInterface timeDiscretization, TimeDiscretizationInterface liborPeriodDiscretization, int numberOfFactors, double[] parameters) {
		super(timeDiscretization, liborPeriodDiscretization, numberOfFactors);
		
		this.parameter = parameters.clone();
		
		setParameter(parameter);
	}

	public LIBORCovarianceModelExponentialForm5Param(TimeDiscretizationInterface timeDiscretization, TimeDiscretizationInterface liborPeriodDiscretization, int numberOfFactors) {
		this(timeDiscretization, liborPeriodDiscretization, numberOfFactors, new double[] { 0.20, 0.05, 0.10, 0.20, 0.10});
	}

	@Override
	public Object clone() {
		LIBORCovarianceModelExponentialForm5Param model = new LIBORCovarianceModelExponentialForm5Param(this.getTimeDiscretization(), this.getLiborPeriodDiscretization(), this.getNumberOfFactors());
		model.setParameter(this.getParameter());
		return model;
	}
	
	@Override
	public double[] getParameter() {
		return parameter.clone();
	}

	@Override
	public void setParameter(double[] parameter) {
		this.parameter = parameter.clone();

		volatilityModel		= new LIBORVolatilityModelMaturityDependentFourParameterExponentialForm(getLiborPeriodDiscretization(), getLiborPeriodDiscretization(), parameter[0], parameter[1], parameter[2], parameter[3]);
		correlationModel	= new LIBORCorrelationModelExponentialDecay(getLiborPeriodDiscretization(), getLiborPeriodDiscretization(), getNumberOfFactors(), parameter[4], false);
	}

	@Override
    public RandomVariableInterface[] getFactorLoading(int timeIndex, int component, RandomVariableInterface[] realizationAtTimeIndex) {
		RandomVariableInterface[] factorLoading = new RandomVariableInterface[correlationModel.getNumberOfFactors()];
		for (int factorIndex = 0; factorIndex < factorLoading.length; factorIndex++) {
			RandomVariableInterface volatility = volatilityModel.getVolatility(timeIndex, component);
			factorLoading[factorIndex] = volatility
                    .mult(correlationModel.getFactorLoading(timeIndex, factorIndex, component));
		}
		
		return factorLoading;
	}

	@Override
	public RandomVariable getFactorLoadingPseudoInverse(int timeIndex, int component, int factor, RandomVariableInterface[] realizationAtTimeIndex) {
		throw new UnsupportedOperationException();
	}

}