/*
 Copyright (C) 2008 Anand Mani

 This source code is release under the BSD License.

 This file is part of JQuantLib, a free-software/open-source library
 for financial quantitative analysts and developers - http://jquantlib.org/

 JQuantLib is free software: you can redistribute it and/or modify it
 under the terms of the JQuantLib license.  You should have received a
 copy of the license along with this program; if not, please email
 . The license is also available online at
 .

 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.

 JQuantLib is based on QuantLib. http://quantlib.org/
 When applicable, the original copyright notice follows this notice.
 */

/*
 Copyright (C) 2006 Joseph Wang

 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
 . The license is also available online at
 .

 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.
 */

package org.jquantlib.model.volatility;

import java.util.Iterator;

import org.jquantlib.lang.exceptions.LibraryException;
import org.jquantlib.math.IntervalPrice;
import org.jquantlib.time.Date;
import org.jquantlib.time.TimeSeries;

/**
 * This template factors out common functionality found in classes which rely on the difference between the previous day's close
 * price and today's open price.
 *
 * @author Anand Mani
 * @author Richard Gomes
 */
public class GarmanKlassOpenClose implements LocalVolatilityEstimator {

    //
    // private fields
    //

    private final double f;
    private final double a;
    private T delegate;

	private final Class classT;

    
    //
    // public constructors
    //

    @SuppressWarnings("unchecked")
    public GarmanKlassOpenClose(
    		final Class classT,
    		final double y, 
    		final double marketOpenFraction, 
    		final double a) {
		this.classT = classT;
        this.delegate = null;
        try {
            delegate = (T) classT.getConstructor(double.class).newInstance(y);
        } catch (final Exception e) {
            throw new LibraryException(e); // QA:[RG]::verified
        }
        this.f = marketOpenFraction;
        this.a = a;
    }

    //
    // implements LocalVolatilityEstimator
    //

    @Override
    public TimeSeries calculate(final TimeSeries quotes) {
        final TimeSeries retval = new TimeSeries(Double.class);
        final Iterator it = quotes.navigableKeySet().iterator();
        Date date = it.next();
        IntervalPrice prev = quotes.get(date);
        while (it.hasNext()) {
            date = it.next();
            final IntervalPrice curr = quotes.get(date);
            final double c0 = Math.log(prev.close());
            final double o1 = Math.log(curr.open());
            final double sigma2 = this.a * (o1 - c0) * (o1 - c0) / this.f + (1 - this.a) * delegate.calculatePoint(curr) / (1 - this.f);
            retval.put(date, Math.sqrt(sigma2 / delegate.getYearFraction()) );
            prev = curr;
        }
        return retval;
    }

}