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

/*
 Copyright (C) 2006, 2007 Giorgio Facchinetti
 Copyright (C) 2014, 2015 Peter Caspers

 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 swaptionvolcube1.hpp
    \brief Swaption volatility cube, fit-early-interpolate-later approach
           The provided types are
           SwaptionVolCube1 using the classic Hagan 2002 Sabr formula
           SwaptionVolCube1a using the No Arbitrage Sabr model (Doust)
*/

#ifndef quantlib_swaption_volcube_fit_early_interpolate_later_h
#define quantlib_swaption_volcube_fit_early_interpolate_later_h

#include <ql/termstructures/volatility/swaption/swaptionvolcube.hpp>
#include <ql/termstructures/volatility/sabrsmilesection.hpp>
#include <ql/math/matrix.hpp>
#include <ql/math/interpolations/sabrinterpolation.hpp>
#include <ql/math/interpolations/linearinterpolation.hpp>
#include <ql/math/interpolations/flatextrapolation2d.hpp>
#include <ql/math/interpolations/backwardflatlinearinterpolation.hpp>
#include <ql/math/interpolations/bilinearinterpolation.hpp>
#include <ql/quote.hpp>

#include <boost/make_shared.hpp>

#ifndef SWAPTIONVOLCUBE_VEGAWEIGHTED_TOL
    #define SWAPTIONVOLCUBE_VEGAWEIGHTED_TOL 15.0e-4
#endif
#ifndef SWAPTIONVOLCUBE_TOL
    #define SWAPTIONVOLCUBE_TOL 100.0e-4
#endif

namespace QuantLib {

    class Interpolation2D;
    class EndCriteria;
    class OptimizationMethod;

    template<class Model>
    class SwaptionVolCube1x : public SwaptionVolatilityCube {
        class Cube {
          public:
            Cube() {}
            Cube(const std::vector<Date>& optionDates,
                 const std::vector<Period>& swapTenors,
                 const std::vector<Time>& optionTimes,
                 const std::vector<Time>& swapLengths,
                 Size nLayers,
                 bool extrapolation = true,
                 bool backwardFlat = false);
            Cube& operator=(const Cube& o);
            Cube(const Cube&);
            virtual ~Cube() {}
            void setElement(Size IndexOfLayer,
                            Size IndexOfRow,
                            Size IndexOfColumn,
                            Real x);
            void setPoints(const std::vector<Matrix>& x);
            void setPoint(const Date& optionDate,
                          const Period& swapTenor,
                          const Time optionTime,
                          const Time swapLengths,
                          const std::vector<Real>& point);
            void setLayer(Size i,
                          const Matrix& x);
            void expandLayers(Size i,
                              bool expandOptionTimes,
                              Size j,
                              bool expandSwapLengths);
            const std::vector<Date>& optionDates() const {
                return optionDates_;
            }
            const std::vector<Period>& swapTenors() const {
                return swapTenors_;
            }
            const std::vector<Time>& optionTimes() const;
            const std::vector<Time>& swapLengths() const;
            const std::vector<Matrix>& points() const;
            std::vector<Real> operator()(const Time optionTime,
                                         const Time swapLengths) const;
            void updateInterpolators()const;
            Matrix browse() const;
          private:
            std::vector<Time> optionTimes_, swapLengths_;
            std::vector<Date> optionDates_;
            std::vector<Period> swapTenors_;
            Size nLayers_;
            std::vector<Matrix> points_;
            mutable std::vector<Disposable<Matrix> > transposedPoints_;
            bool extrapolation_;
            bool backwardFlat_;
            mutable std::vector< boost::shared_ptr<Interpolation2D> > interpolators_;
         };
      public:
        SwaptionVolCube1x(
            const Handle<SwaptionVolatilityStructure>& atmVolStructure,
            const std::vector<Period>& optionTenors,
            const std::vector<Period>& swapTenors,
            const std::vector<Spread>& strikeSpreads,
            const std::vector<std::vector<Handle<Quote> > >& volSpreads,
            const boost::shared_ptr<SwapIndex>& swapIndexBase,
            const boost::shared_ptr<SwapIndex>& shortSwapIndexBase,
            bool vegaWeightedSmileFit,
            const std::vector<std::vector<Handle<Quote> > >& parametersGuess,
            const std::vector<bool>& isParameterFixed,
            bool isAtmCalibrated,
            const boost::shared_ptr<EndCriteria>& endCriteria
                = boost::shared_ptr<EndCriteria>(),
            Real maxErrorTolerance = Null<Real>(),
            const boost::shared_ptr<OptimizationMethod>& optMethod
                = boost::shared_ptr<OptimizationMethod>(),
            const Real errorAccept = Null<Real>(),
            const bool useMaxError = false,
            const Size maxGuesses = 50,
            const bool backwardFlat = false,
            const Real cutoffStrike = 0.0001);
        //! \name LazyObject interface
        //@{
        void performCalculations() const;
        //@}
        //! \name SwaptionVolatilityCube interface
        //@{
        boost::shared_ptr<SmileSection> smileSectionImpl(
                                              Time optionTime,
                                              Time swapLength) const;
        //@}
        //! \name Other inspectors
        //@{
        const Matrix& marketVolCube(Size i) const {
            return marketVolCube_.points()[i];
        }
        Matrix sparseSabrParameters()const;
        Matrix denseSabrParameters() const;
        Matrix marketVolCube() const;
        Matrix volCubeAtmCalibrated() const;
        //@}
        void sabrCalibrationSection(const Cube& marketVolCube,
                                    Cube& parametersCube,
                                    const Period& swapTenor) const;
        void recalibration(Real beta,
                           const Period& swapTenor);
        void recalibration(const std::vector<Real> &beta,
                           const Period& swapTenor);
        void recalibration(const std::vector<Period> &swapLengths,
                           const std::vector<Real> &beta,
                           const Period& swapTenor);
        void updateAfterRecalibration();
     protected:
        void registerWithParametersGuess();
        void setParameterGuess() const;
        boost::shared_ptr<SmileSection> smileSection(
                                    Time optionTime,
                                    Time swapLength,
                                    const Cube& sabrParametersCube) const;
        Cube sabrCalibration(const Cube &marketVolCube) const;
        void fillVolatilityCube() const;
        void createSparseSmiles() const;
        std::vector<Real> spreadVolInterpolation(const Date& atmOptionDate,
                                                 const Period& atmSwapTenor) const;
      private:
        Size requiredNumberOfStrikes() const { return 1; }
        mutable Cube marketVolCube_;
        mutable Cube volCubeAtmCalibrated_;
        mutable Cube sparseParameters_;
        mutable Cube denseParameters_;
        mutable std::vector< std::vector<boost::shared_ptr<SmileSection> > >
                                                                sparseSmiles_;
        std::vector<std::vector<Handle<Quote> > > parametersGuessQuotes_;
        mutable Cube parametersGuess_;
        std::vector<bool> isParameterFixed_;
        bool isAtmCalibrated_;
        const boost::shared_ptr<EndCriteria> endCriteria_;
        Real maxErrorTolerance_;
        const boost::shared_ptr<OptimizationMethod> optMethod_;
        Real errorAccept_;
        const bool useMaxError_;
        const Size maxGuesses_;
        const bool backwardFlat_;
        const Real cutoffStrike_;

        class PrivateObserver : public Observer {
          public:
            explicit PrivateObserver(SwaptionVolCube1x<Model> *v)
                : v_(v) {}
            void update() {
                v_->setParameterGuess();
                v_->update();
            }
          private:
            SwaptionVolCube1x<Model> *v_;
        };

       boost::shared_ptr<PrivateObserver> privateObserver_;

    };

    //=======================================================================//
    //                        SwaptionVolCube1x                              //
    //=======================================================================//

    template<class Model> SwaptionVolCube1x<Model>::SwaptionVolCube1x(
        const Handle<SwaptionVolatilityStructure> &atmVolStructure,
        const std::vector<Period> &optionTenors,
        const std::vector<Period> &swapTenors,
        const std::vector<Spread> &strikeSpreads,
        const std::vector<std::vector<Handle<Quote> > > &volSpreads,
        const boost::shared_ptr<SwapIndex> &swapIndexBase,
        const boost::shared_ptr<SwapIndex> &shortSwapIndexBase,
        bool vegaWeightedSmileFit,
        const std::vector<std::vector<Handle<Quote> > > &parametersGuess,
        const std::vector<bool> &isParameterFixed, bool isAtmCalibrated,
        const boost::shared_ptr<EndCriteria> &endCriteria,
        Real maxErrorTolerance,
        const boost::shared_ptr<OptimizationMethod> &optMethod,
        const Real errorAccept, const bool useMaxError, const Size maxGuesses,
        const bool backwardFlat,
        const Real cutoffStrike)
        : SwaptionVolatilityCube(atmVolStructure, optionTenors, swapTenors,
                                 strikeSpreads, volSpreads, swapIndexBase,
                                 shortSwapIndexBase, vegaWeightedSmileFit),
          parametersGuessQuotes_(parametersGuess),
          isParameterFixed_(isParameterFixed),
          isAtmCalibrated_(isAtmCalibrated), endCriteria_(endCriteria),
          optMethod_(optMethod),
          useMaxError_(useMaxError), maxGuesses_(maxGuesses),
          backwardFlat_(backwardFlat), cutoffStrike_(cutoffStrike) {

        // the current implementations are all lognormal, if we have
        // a normal one, we can move this check to the implementing classes
        QL_REQUIRE(atmVolStructure->volatilityType() == ShiftedLognormal,
                   "vol cubes of type 1 require a lognormal atm surface");

        if (maxErrorTolerance != Null<Rate>()) {
            maxErrorTolerance_ = maxErrorTolerance;
        } else{
            maxErrorTolerance_ = SWAPTIONVOLCUBE_TOL;
            if (vegaWeightedSmileFit_) maxErrorTolerance_ =  SWAPTIONVOLCUBE_VEGAWEIGHTED_TOL;
        }
        if (errorAccept != Null<Rate>()) {
            errorAccept_ = errorAccept;
        } else{
            errorAccept_ = maxErrorTolerance_ / 5.0;
        }

        privateObserver_ = boost::make_shared<PrivateObserver>(this);
        registerWithParametersGuess();
        setParameterGuess();
    }

    template<class Model> void SwaptionVolCube1x<Model>::registerWithParametersGuess()
    {
        for (Size i=0; i<4; i++)
            for (Size j=0; j<nOptionTenors_; j++)
                for (Size k=0; k<nSwapTenors_; k++)
                    privateObserver_->registerWith(parametersGuessQuotes_[j+k*nOptionTenors_][i]);
    }

    template<class Model> void SwaptionVolCube1x<Model>::setParameterGuess() const {

        //! set parametersGuess_ by parametersGuessQuotes_
        parametersGuess_ = Cube(optionDates_, swapTenors_,
                                optionTimes_, swapLengths_, 4,
                                true, backwardFlat_);
        Size i;
        for (i=0; i<4; i++)
            for (Size j=0; j<nOptionTenors_ ; j++)
                for (Size k=0; k<nSwapTenors_; k++) {
                    parametersGuess_.setElement(i, j, k,
                        parametersGuessQuotes_[j+k*nOptionTenors_][i]->value());
                }
        parametersGuess_.updateInterpolators();

    }

    template<class Model> void SwaptionVolCube1x<Model>::performCalculations() const {

        SwaptionVolatilityCube::performCalculations();

        //! set marketVolCube_ by volSpreads_ quotes
        marketVolCube_ = Cube(optionDates_, swapTenors_,
                              optionTimes_, swapLengths_, nStrikes_);
        Rate atmForward;
        Volatility atmVol, vol;
        for (Size j=0; j<nOptionTenors_; ++j) {
            for (Size k=0; k<nSwapTenors_; ++k) {
                atmForward = atmStrike(optionDates_[j], swapTenors_[k]);
                atmVol = atmVol_->volatility(optionDates_[j], swapTenors_[k],
                                                              atmForward);
                for (Size i=0; i<nStrikes_; ++i) {
                    vol = atmVol + volSpreads_[j*nSwapTenors_+k][i]->value();
                    marketVolCube_.setElement(i, j, k, vol);
                }
            }
        }
        marketVolCube_.updateInterpolators();

        sparseParameters_ = sabrCalibration(marketVolCube_);
        //parametersGuess_ = sparseParameters_;
        sparseParameters_.updateInterpolators();
        //parametersGuess_.updateInterpolators();
        volCubeAtmCalibrated_= marketVolCube_;

        if(isAtmCalibrated_){
            fillVolatilityCube();
            denseParameters_ = sabrCalibration(volCubeAtmCalibrated_);
            denseParameters_.updateInterpolators();
        }
    }

    template<class Model> void SwaptionVolCube1x<Model>::updateAfterRecalibration() {
        volCubeAtmCalibrated_ = marketVolCube_;
        if(isAtmCalibrated_){
            fillVolatilityCube();
            denseParameters_ = sabrCalibration(volCubeAtmCalibrated_);
            denseParameters_.updateInterpolators();
        }
        notifyObservers();
    }

    template <class Model>
    typename SwaptionVolCube1x<Model>::Cube
    SwaptionVolCube1x<Model>::sabrCalibration(const Cube &marketVolCube) const {

        const std::vector<Time>& optionTimes = marketVolCube.optionTimes();
        const std::vector<Time>& swapLengths = marketVolCube.swapLengths();
        const std::vector<Date>& optionDates = marketVolCube.optionDates();
        const std::vector<Period>& swapTenors = marketVolCube.swapTenors();
        Matrix alphas(optionTimes.size(), swapLengths.size(),0.);
        Matrix betas(alphas);
        Matrix nus(alphas);
        Matrix rhos(alphas);
        Matrix forwards(alphas);
        Matrix errors(alphas);
        Matrix maxErrors(alphas);
        Matrix endCriteria(alphas);

        const std::vector<Matrix>& tmpMarketVolCube = marketVolCube.points();

        std::vector<Real> strikes(strikeSpreads_.size());
        std::vector<Real> volatilities(strikeSpreads_.size());

        for (Size j=0; j<optionTimes.size(); j++) {
            for (Size k=0; k<swapLengths.size(); k++) {
                Rate atmForward = atmStrike(optionDates[j], swapTenors[k]);
                Real shiftTmp = atmVol_->shift(optionTimes[j], swapLengths[k]);
                strikes.clear();
                volatilities.clear();
                for (Size i=0; i<nStrikes_; i++){
                    Real strike = atmForward+strikeSpreads_[i];
                    if(strike + shiftTmp >=cutoffStrike_) {
                        strikes.push_back(strike);
                        volatilities.push_back(tmpMarketVolCube[i][j][k]);
                    }
                }

                const std::vector<Real>& guess = parametersGuess_.operator()(
                    optionTimes[j], swapLengths[k]);

                const boost::shared_ptr<typename Model::Interpolation> sabrInterpolation =
                    boost::shared_ptr<typename Model::Interpolation>(new
                                          (typename Model::Interpolation)(strikes.begin(), strikes.end(),
                                          volatilities.begin(),
                                          optionTimes[j], atmForward,
                                          guess[0], guess[1],
                                          guess[2], guess[3],
                                          isParameterFixed_[0],
                                          isParameterFixed_[1],
                                          isParameterFixed_[2],
                                          isParameterFixed_[3],
                                          vegaWeightedSmileFit_,
                                          endCriteria_,
                                          optMethod_,
                                          errorAccept_,
                                          useMaxError_,
                                          maxGuesses_,
                                          shiftTmp));
                sabrInterpolation->update();

                Real rmsError = sabrInterpolation->rmsError();
                Real maxError = sabrInterpolation->maxError();
                alphas     [j][k] = sabrInterpolation->alpha();
                betas      [j][k] = sabrInterpolation->beta();
                nus        [j][k] = sabrInterpolation->nu();
                rhos       [j][k] = sabrInterpolation->rho();
                forwards   [j][k] = atmForward;
                errors     [j][k] = rmsError;
                maxErrors  [j][k] = maxError;
                endCriteria[j][k] = sabrInterpolation->endCriteria();

                QL_ENSURE(endCriteria[j][k]!=EndCriteria::MaxIterations,
                          "global swaptions calibration failed: "
                          "MaxIterations reached: " << "\n" <<
                          "option maturity = " << optionDates[j] << ", \n" <<
                          "swap tenor = " << swapTenors[k] << ", \n" <<
                          "error = " << io::rate(errors[j][k])  << ", \n" <<
                          "max error = " << io::rate(maxErrors[j][k]) << ", \n" <<
                          "   alpha = " <<  alphas[j][k] << "n" <<
                          "   beta = " <<  betas[j][k] << "\n" <<
                          "   nu = " <<  nus[j][k]   << "\n" <<
                          "   rho = " <<  rhos[j][k]  << "\n"
                          );

                QL_ENSURE(useMaxError_ ? maxError : rmsError < maxErrorTolerance_,
                      "global swaptions calibration failed: "
                      "option tenor " << optionDates[j] <<
                      ", swap tenor " << swapTenors[k] <<
                      (useMaxError_ ? ": max error " : ": error") <<
                      (useMaxError_ ? maxError : rmsError) <<
                          "   alpha = " <<  alphas[j][k] << "\n" <<
                          "   beta = " <<  betas[j][k] << "\n" <<
                          "   nu = " <<  nus[j][k]   << "\n" <<
                          "   rho = " <<  rhos[j][k]  << "\n" <<
                      (useMaxError_ ? ": error" : ": max error ") <<
                      (useMaxError_ ? rmsError :maxError)
                );

            }
        }
        Cube sabrParametersCube(optionDates, swapTenors,
                                optionTimes, swapLengths, 8,
                                true, backwardFlat_);
        sabrParametersCube.setLayer(0, alphas);
        sabrParametersCube.setLayer(1, betas);
        sabrParametersCube.setLayer(2, nus);
        sabrParametersCube.setLayer(3, rhos);
        sabrParametersCube.setLayer(4, forwards);
        sabrParametersCube.setLayer(5, errors);
        sabrParametersCube.setLayer(6, maxErrors);
        sabrParametersCube.setLayer(7, endCriteria);

        return sabrParametersCube;

    }

    template<class Model> void SwaptionVolCube1x<Model>::sabrCalibrationSection(
                                            const Cube& marketVolCube,
                                            Cube& parametersCube,
                                            const Period& swapTenor) const {

        const std::vector<Time>& optionTimes = marketVolCube.optionTimes();
        const std::vector<Time>& swapLengths = marketVolCube.swapLengths();
        const std::vector<Date>& optionDates = marketVolCube.optionDates();
        const std::vector<Period>& swapTenors = marketVolCube.swapTenors();

        Size k = std::find(swapTenors.begin(), swapTenors.end(),
                           swapTenor) - swapTenors.begin();
        QL_REQUIRE(k != swapTenors.size(), "swap tenor not found");

        std::vector<Real> calibrationResult(8,0.);
        const std::vector<Matrix>& tmpMarketVolCube = marketVolCube.points();

        std::vector<Real> strikes(strikeSpreads_.size());
        std::vector<Real> volatilities(strikeSpreads_.size());

        for (Size j=0; j<optionTimes.size(); j++) {
            Rate atmForward = atmStrike(optionDates[j], swapTenors[k]);
            Real shiftTmp = atmVol_->shift(optionTimes[j], swapLengths[k]);
            strikes.clear();
            volatilities.clear();
            for (Size i=0; i<nStrikes_; i++){
                Real strike = atmForward+strikeSpreads_[i];
                if(strike+shiftTmp>=cutoffStrike_) {
                    strikes.push_back(strike);
                    volatilities.push_back(tmpMarketVolCube[i][j][k]);
                }
            }

            const std::vector<Real>& guess = parametersGuess_.operator()(
                optionTimes[j], swapLengths[k]);

                const boost::shared_ptr<typename Model::Interpolation> sabrInterpolation =
                    boost::shared_ptr<typename Model::Interpolation>(new
                                          (typename Model::Interpolation)(strikes.begin(), strikes.end(),
                                      volatilities.begin(),
                                      optionTimes[j], atmForward,
                                      guess[0], guess[1],
                                      guess[2], guess[3],
                                      isParameterFixed_[0],
                                      isParameterFixed_[1],
                                      isParameterFixed_[2],
                                      isParameterFixed_[3],
                                      vegaWeightedSmileFit_,
                                      endCriteria_,
                                      optMethod_,
                                      errorAccept_,
                                      useMaxError_,
                                      maxGuesses_,
                                      shiftTmp));

            sabrInterpolation->update();
            Real interpolationError = sabrInterpolation->rmsError();
            calibrationResult[0]=sabrInterpolation->alpha();
            calibrationResult[1]=sabrInterpolation->beta();
            calibrationResult[2]=sabrInterpolation->nu();
            calibrationResult[3]=sabrInterpolation->rho();
            calibrationResult[4]=atmForward;
            calibrationResult[5]=interpolationError;
            calibrationResult[6]=sabrInterpolation->maxError();
            calibrationResult[7]=sabrInterpolation->endCriteria();

            QL_ENSURE(calibrationResult[7]!=EndCriteria::MaxIterations,
                      "section calibration failed: "
                      "option tenor " << optionDates[j] <<
                      ", swap tenor " << swapTenors[k] <<
                      ": max iteration (" <<
                      endCriteria_->maxIterations() << ")" <<
                          ", alpha " <<  calibrationResult[0]<<
                          ", beta "  <<  calibrationResult[1] <<
                          ", nu "    <<  calibrationResult[2]   <<
                          ", rho "   <<  calibrationResult[3]  <<
                          ", max error " << calibrationResult[6] <<
                          ", error " <<  calibrationResult[5]
                          );

            QL_ENSURE(useMaxError_ ? calibrationResult[6] : calibrationResult[5] < maxErrorTolerance_,
                      "section calibration failed: "
                      "option tenor " << optionDates[j] <<
                      ", swap tenor " << swapTenors[k] <<
                      (useMaxError_ ? ": max error " : ": error ") <<
                      (useMaxError_ ? calibrationResult[6] : calibrationResult[5]) <<
                          ", alpha " <<  calibrationResult[0] <<
                          ", beta "  <<  calibrationResult[1] <<
                          ", nu "    <<  calibrationResult[2] <<
                          ", rho "   <<  calibrationResult[3] <<
                      (useMaxError_ ? ": error" : ": max error ") <<
                      (useMaxError_ ? calibrationResult[5] : calibrationResult[6])
            );

            parametersCube.setPoint(optionDates[j], swapTenors[k],
                                    optionTimes[j], swapLengths[k],
                                    calibrationResult);
            parametersCube.updateInterpolators();
        }

    }

    template<class Model> void SwaptionVolCube1x<Model>::fillVolatilityCube() const {

        const boost::shared_ptr<SwaptionVolatilityDiscrete> atmVolStructure =
            boost::dynamic_pointer_cast<SwaptionVolatilityDiscrete>(*atmVol_);

        std::vector<Time> atmOptionTimes(atmVolStructure->optionTimes());
        std::vector<Time> optionTimes(volCubeAtmCalibrated_.optionTimes());
        atmOptionTimes.insert(atmOptionTimes.end(),
                              optionTimes.begin(), optionTimes.end());
        std::sort(atmOptionTimes.begin(),atmOptionTimes.end());
        std::vector<Time>::iterator new_end =
            std::unique(atmOptionTimes.begin(), atmOptionTimes.end());
        atmOptionTimes.erase(new_end, atmOptionTimes.end());

        std::vector<Time> atmSwapLengths(atmVolStructure->swapLengths());
        std::vector<Time> swapLengths(volCubeAtmCalibrated_.swapLengths());
        atmSwapLengths.insert(atmSwapLengths.end(),
                              swapLengths.begin(), swapLengths.end());
        std::sort(atmSwapLengths.begin(),atmSwapLengths.end());
        new_end = std::unique(atmSwapLengths.begin(), atmSwapLengths.end());
        atmSwapLengths.erase(new_end, atmSwapLengths.end());

        std::vector<Date> atmOptionDates = atmVolStructure->optionDates();
        std::vector<Date> optionDates(volCubeAtmCalibrated_.optionDates());
        atmOptionDates.insert(atmOptionDates.end(),
                                optionDates.begin(), optionDates.end());
        std::sort(atmOptionDates.begin(),atmOptionDates.end());
        std::vector<Date>::iterator new_end_1 =
            std::unique(atmOptionDates.begin(), atmOptionDates.end());
        atmOptionDates.erase(new_end_1, atmOptionDates.end());

        std::vector<Period> atmSwapTenors = atmVolStructure->swapTenors();
        std::vector<Period> swapTenors(volCubeAtmCalibrated_.swapTenors());
        atmSwapTenors.insert(atmSwapTenors.end(),
                             swapTenors.begin(), swapTenors.end());
        std::sort(atmSwapTenors.begin(),atmSwapTenors.end());
        std::vector<Period>::iterator new_end_2 =
            std::unique(atmSwapTenors.begin(), atmSwapTenors.end());
        atmSwapTenors.erase(new_end_2, atmSwapTenors.end());

        createSparseSmiles();

        for (Size j=0; j<atmOptionTimes.size(); j++) {

            for (Size k=0; k<atmSwapLengths.size(); k++) {
                bool expandOptionTimes =
                    !(std::binary_search(optionTimes.begin(),
                                         optionTimes.end(),
                                         atmOptionTimes[j]));
                bool expandSwapLengths =
                    !(std::binary_search(swapLengths.begin(),
                                         swapLengths.end(),
                                         atmSwapLengths[k]));
                if(expandOptionTimes || expandSwapLengths){
                    Rate atmForward = atmStrike(atmOptionDates[j],
                                                atmSwapTenors[k]);
                    Volatility atmVol = atmVol_->volatility(
                        atmOptionDates[j], atmSwapTenors[k], atmForward);
                    std::vector<Real> spreadVols =
                        spreadVolInterpolation(atmOptionDates[j],
                                               atmSwapTenors[k]);
                    std::vector<Real> volAtmCalibrated;
                    volAtmCalibrated.reserve(nStrikes_);
                    for (Size i=0; i<nStrikes_; i++)
                        volAtmCalibrated.push_back(atmVol + spreadVols[i]);
                    volCubeAtmCalibrated_.setPoint(
                                    atmOptionDates[j], atmSwapTenors[k],
                                    atmOptionTimes[j], atmSwapLengths[k],
                                    volAtmCalibrated);
                }
            }
        }
        volCubeAtmCalibrated_.updateInterpolators();
    }


    template<class Model> void SwaptionVolCube1x<Model>::createSparseSmiles() const {

        std::vector<Time> optionTimes(sparseParameters_.optionTimes());
        std::vector<Time> swapLengths(sparseParameters_.swapLengths());
        sparseSmiles_.clear();

        for (Size j=0; j<optionTimes.size(); j++) {
            std::vector<boost::shared_ptr<SmileSection> > tmp;
            Size n = swapLengths.size();
            tmp.reserve(n);
            for (Size k=0; k<n; ++k) {
                tmp.push_back(smileSection(optionTimes[j], swapLengths[k],
                                           sparseParameters_));
            }
            sparseSmiles_.push_back(tmp);
        }
    }


    template<class Model> std::vector<Real> SwaptionVolCube1x<Model>::spreadVolInterpolation(
        const Date& atmOptionDate, const Period& atmSwapTenor) const {

        Time atmOptionTime = timeFromReference(atmOptionDate);
        Time atmTimeLength = swapLength(atmSwapTenor);

        std::vector<Real> result;
        const std::vector<Time>& optionTimes(sparseParameters_.optionTimes());
        const std::vector<Time>& swapLengths(sparseParameters_.swapLengths());
        const std::vector<Date>& optionDates =
            sparseParameters_.optionDates();
        const std::vector<Period>& swapTenors = sparseParameters_.swapTenors();

        std::vector<Real>::const_iterator optionTimesPreviousNode,
                                          swapLengthsPreviousNode;

        optionTimesPreviousNode = std::lower_bound(optionTimes.begin(),
                                                   optionTimes.end(),
                                                   atmOptionTime);
        Size optionTimesPreviousIndex =
            optionTimesPreviousNode - optionTimes.begin();
        if (optionTimesPreviousIndex >0)
            optionTimesPreviousIndex --;

        swapLengthsPreviousNode = std::lower_bound(swapLengths.begin(),
                                                   swapLengths.end(),
                                                   atmTimeLength);
        Size swapLengthsPreviousIndex = swapLengthsPreviousNode - swapLengths.begin();
        if (swapLengthsPreviousIndex >0)
            swapLengthsPreviousIndex --;

        std::vector< std::vector<boost::shared_ptr<SmileSection> > > smiles;
        std::vector<boost::shared_ptr<SmileSection> >  smilesOnPreviousExpiry;
        std::vector<boost::shared_ptr<SmileSection> >  smilesOnNextExpiry;

        QL_REQUIRE(optionTimesPreviousIndex+1 < sparseSmiles_.size(),
                   "optionTimesPreviousIndex+1 >= sparseSmiles_.size()");
        QL_REQUIRE(swapLengthsPreviousIndex+1 < sparseSmiles_[0].size(),
                   "swapLengthsPreviousIndex+1 >= sparseSmiles_[0].size()");
        smilesOnPreviousExpiry.push_back(
              sparseSmiles_[optionTimesPreviousIndex][swapLengthsPreviousIndex]);
        smilesOnPreviousExpiry.push_back(
              sparseSmiles_[optionTimesPreviousIndex][swapLengthsPreviousIndex+1]);
        smilesOnNextExpiry.push_back(
              sparseSmiles_[optionTimesPreviousIndex+1][swapLengthsPreviousIndex]);
        smilesOnNextExpiry.push_back(
              sparseSmiles_[optionTimesPreviousIndex+1][swapLengthsPreviousIndex+1]);

        smiles.push_back(smilesOnPreviousExpiry);
        smiles.push_back(smilesOnNextExpiry);

        std::vector<Real> optionsNodes(2);
        optionsNodes[0] = optionTimes[optionTimesPreviousIndex];
        optionsNodes[1] = optionTimes[optionTimesPreviousIndex+1];

        std::vector<Date> optionsDateNodes(2);
        optionsDateNodes[0] = optionDates[optionTimesPreviousIndex];
        optionsDateNodes[1] = optionDates[optionTimesPreviousIndex+1];

        std::vector<Real> swapLengthsNodes(2);
        swapLengthsNodes[0] = swapLengths[swapLengthsPreviousIndex];
        swapLengthsNodes[1] = swapLengths[swapLengthsPreviousIndex+1];

        std::vector<Period> swapTenorNodes(2);
        swapTenorNodes[0] = swapTenors[swapLengthsPreviousIndex];
        swapTenorNodes[1] = swapTenors[swapLengthsPreviousIndex+1];

        Rate atmForward = atmStrike(atmOptionDate, atmSwapTenor);
        Real shift = atmVol_->shift(atmOptionTime, atmTimeLength);

        Matrix atmForwards(2, 2, 0.0);
        Matrix atmShifts(2,2,0.0);
        Matrix atmVols(2, 2, 0.0);
        for (Size i=0; i<2; i++) {
            for (Size j=0; j<2; j++) {
                atmForwards[i][j] = atmStrike(optionsDateNodes[i],
                                              swapTenorNodes[j]);
                atmShifts[i][j] = atmVol_->shift(optionsNodes[i], swapLengthsNodes[j]);
                // atmVols[i][j] = smiles[i][j]->volatility(atmForwards[i][j]);
                atmVols[i][j] = atmVol_->volatility(
                    optionsDateNodes[i], swapTenorNodes[j], atmForwards[i][j]);
                /* With the old implementation the interpolated spreads on ATM
                   volatilities were null even if the spreads on ATM volatilities to be
                   interpolated were non-zero. The new implementation removes
                   this behaviour, but introduces a small ERROR in the cube:
                   even if no spreads are applied on any cube ATM volatility corresponding
                   to quoted smile sections (that is ATM volatilities in sparse cube), the
                   cube ATM volatilities corresponding to not quoted smile sections (that
                   is ATM volatilities in dense cube) are no more exactly the quoted values,
                   but that ones PLUS the linear interpolation of the fit errors on the ATM
                   volatilities in sparse cube whose spreads are used in the calculation.
                   A similar imprecision is introduced to the volatilities in dense cube
                   whith moneyness near to 1.
                   (See below how spreadVols are calculated).
                   The extent of this error depends on the quality of the fit: in case of
                   good fits it is negligibile.
                */
            }
        }

        for (Size k=0; k<nStrikes_; k++){
            const Real strike = std::max(atmForward + strikeSpreads_[k],cutoffStrike_-shift);
            const Real moneyness = (atmForward+shift)/(strike+shift);

            Matrix strikes(2,2,0.);
            Matrix spreadVols(2,2,0.);
            for (Size i=0; i<2; i++){
                for (Size j=0; j<2; j++){
                    strikes[i][j] = (atmForwards[i][j]+atmShifts[i][j])/moneyness - atmShifts[i][j];
                    spreadVols[i][j] =
                        smiles[i][j]->volatility(strikes[i][j]) - atmVols[i][j];
                }
            }
           Cube localInterpolator(optionsDateNodes, swapTenorNodes,
                                  optionsNodes, swapLengthsNodes, 1);
           localInterpolator.setLayer(0, spreadVols);
           localInterpolator.updateInterpolators();

           result.push_back(localInterpolator(atmOptionTime, atmTimeLength)[0]);
        }
        return result;
    }

    template<class Model> boost::shared_ptr<SmileSection>
    SwaptionVolCube1x<Model>::smileSection(Time optionTime, Time swapLength,
                                   const Cube& sabrParametersCube) const {

        calculate();
        const std::vector<Real> sabrParameters =
            sabrParametersCube(optionTime, swapLength);
        Real shiftTmp = atmVol_->shift(optionTime,swapLength);
        return boost::shared_ptr<SmileSection>(new (typename Model::SmileSection)(
                          optionTime, sabrParameters[4], sabrParameters,shiftTmp));
    }

    template<class Model> boost::shared_ptr<SmileSection>
    SwaptionVolCube1x<Model>::smileSectionImpl(Time optionTime,
                                       Time swapLength) const {
        if (isAtmCalibrated_)
            return smileSection(optionTime, swapLength, denseParameters_);
        else
            return smileSection(optionTime, swapLength, sparseParameters_);
    }

    template<class Model> Matrix SwaptionVolCube1x<Model>::sparseSabrParameters() const {
        calculate();
        return sparseParameters_.browse();
    }

    template<class Model> Matrix SwaptionVolCube1x<Model>::denseSabrParameters() const {
        calculate();
        return denseParameters_.browse();
    }

    template<class Model> Matrix SwaptionVolCube1x<Model>::marketVolCube() const {
        calculate();
        return marketVolCube_.browse();
    }

    template<class Model> Matrix SwaptionVolCube1x<Model>::volCubeAtmCalibrated() const {
        calculate();
        return volCubeAtmCalibrated_.browse();
    }

    template<class Model> void SwaptionVolCube1x<Model>::recalibration(Real beta,
                                         const Period& swapTenor) {

        std::vector<Real> betaVector(nOptionTenors_, beta);
        recalibration(betaVector,swapTenor);

    }

    template<class Model> void SwaptionVolCube1x<Model>::recalibration(const std::vector<Real> &beta,
                                         const Period& swapTenor) {

        QL_REQUIRE(beta.size() == nOptionTenors_,
                   "beta size ("
                       << beta.size()
                       << ") must be equal to number of option tenors ("
                       << nOptionTenors_ << ")");

        const std::vector<Period> &swapTenors = marketVolCube_.swapTenors();
        Size k = std::find(swapTenors.begin(), swapTenors.end(), swapTenor) -
                 swapTenors.begin();

        QL_REQUIRE(k != swapTenors.size(), "swap tenor (" << swapTenor
                                                          << ") not found");

        for (Size i = 0; i < nOptionTenors_; ++i) {
            parametersGuess_.setElement(1, i, k, beta[i]);
        }

        parametersGuess_.updateInterpolators();
        sabrCalibrationSection(marketVolCube_, sparseParameters_, swapTenor);

        volCubeAtmCalibrated_ = marketVolCube_;
        if (isAtmCalibrated_) {
            fillVolatilityCube();
            sabrCalibrationSection(volCubeAtmCalibrated_, denseParameters_,
                                   swapTenor);
        }
        notifyObservers();

    }

    template<class Model> void SwaptionVolCube1x<Model>::recalibration(const std::vector<Period> &swapLengths,
                                         const std::vector<Real> &beta,
                                         const Period &swapTenor) {

        QL_REQUIRE(beta.size() == swapLengths.size(),
                   "beta size ("
                       << beta.size()
                       << ") must be equal to number of swap lenghts ("
                       << swapLengths.size() << ")");

        std::vector<Time> betaTimes;
        for (Size i = 0; i < beta.size(); i++)
            betaTimes.push_back(
                timeFromReference(optionDateFromTenor(swapLengths[i])));

        LinearInterpolation betaInterpolation(betaTimes.begin(),
                                              betaTimes.end(), beta.begin());

        std::vector<Real> cubeBeta;
        for (Size i = 0; i < optionTimes().size(); i++) {
            Real t = optionTimes()[i];
            // flat extrapolation ensures admissable values
            if (t < betaTimes.front())
                t = betaTimes.front();
            if (t > betaTimes.back())
                t = betaTimes.back();
            cubeBeta.push_back(betaInterpolation(t));
        }

        recalibration(cubeBeta, swapTenor);

    }

    //======================================================================//
    //                      SwaptionVolCube1x::Cube                         //
    //======================================================================//


    template<class Model> SwaptionVolCube1x<Model>::Cube::Cube(const std::vector<Date>& optionDates,
                                    const std::vector<Period>& swapTenors,
                                    const std::vector<Time>& optionTimes,
                                    const std::vector<Time>& swapLengths,
                                    Size nLayers,
                                    bool extrapolation,
                                    bool backwardFlat)
    : optionTimes_(optionTimes), swapLengths_(swapLengths),
      optionDates_(optionDates), swapTenors_(swapTenors),
        nLayers_(nLayers), extrapolation_(extrapolation),
        backwardFlat_(backwardFlat) {

        QL_REQUIRE(optionTimes.size()>1,"Cube::Cube(...): optionTimes.size()<2");
        QL_REQUIRE(swapLengths.size()>1,"Cube::Cube(...): swapLengths.size()<2");

        QL_REQUIRE(optionTimes.size()==optionDates.size(),
                   "Cube::Cube(...): optionTimes/optionDates mismatch");
        QL_REQUIRE(swapTenors.size()==swapLengths.size(),
                   "Cube::Cube(...): swapTenors/swapLengths mismatch");

        std::vector<Matrix> points(nLayers_, Matrix(optionTimes_.size(),
                                                    swapLengths_.size(), 0.0));
        for (Size k=0;k<nLayers_;k++) {
            boost::shared_ptr<Interpolation2D> interpolation;
            transposedPoints_.push_back(transpose(points[k]));
            if (k <= 4 && backwardFlat_)
                interpolation =
                    boost::make_shared<BackwardflatLinearInterpolation>(
                        optionTimes_.begin(), optionTimes_.end(),
                        swapLengths_.begin(), swapLengths_.end(),
                        transposedPoints_[k]);
            else
                interpolation =
                    boost::make_shared<BilinearInterpolation>(
                        optionTimes_.begin(), optionTimes_.end(),
                        swapLengths_.begin(), swapLengths_.end(),
                        transposedPoints_[k]);
            interpolators_.push_back(boost::shared_ptr<Interpolation2D>(
                new FlatExtrapolator2D(interpolation)));
            interpolators_[k]->enableExtrapolation();
        }
        setPoints(points);
     }

    template<class Model> SwaptionVolCube1x<Model>::Cube::Cube(const Cube& o) {
        optionTimes_ = o.optionTimes_;
        swapLengths_ = o.swapLengths_;
        optionDates_ = o.optionDates_;
        swapTenors_ = o.swapTenors_;
        nLayers_ = o.nLayers_;
        extrapolation_ = o.extrapolation_;
        backwardFlat_ = o.backwardFlat_;
        transposedPoints_ = o.transposedPoints_;
        for (Size k=0; k<nLayers_; ++k) {
            boost::shared_ptr<Interpolation2D> interpolation;
            if (k <= 4 && backwardFlat_)
                interpolation =
                    boost::make_shared<BackwardflatLinearInterpolation>(
                        optionTimes_.begin(), optionTimes_.end(),
                        swapLengths_.begin(), swapLengths_.end(),
                        transposedPoints_[k]);
            else
                interpolation =
                    boost::make_shared<BilinearInterpolation>(
                        optionTimes_.begin(), optionTimes_.end(),
                        swapLengths_.begin(), swapLengths_.end(),
                        transposedPoints_[k]);
            interpolators_.push_back(boost::shared_ptr<Interpolation2D>(
                new FlatExtrapolator2D(interpolation)));
            interpolators_[k]->enableExtrapolation();
        }
        setPoints(o.points_);
    }

    template<class Model> typename SwaptionVolCube1x<Model>::Cube&
    SwaptionVolCube1x<Model>::Cube::operator=(const Cube& o) {
        optionTimes_ = o.optionTimes_;
        swapLengths_ = o.swapLengths_;
        optionDates_ = o.optionDates_;
        swapTenors_ = o.swapTenors_;
        nLayers_ = o.nLayers_;
        extrapolation_ = o.extrapolation_;
        backwardFlat_ = o.backwardFlat_;
        transposedPoints_ = o.transposedPoints_;
        for(Size k=0;k<nLayers_;k++){
            boost::shared_ptr<Interpolation2D> interpolation;
            if (k <= 4 && backwardFlat_)
                interpolation =
                    boost::make_shared<BackwardflatLinearInterpolation>(
                        optionTimes_.begin(), optionTimes_.end(),
                        swapLengths_.begin(), swapLengths_.end(),
                        transposedPoints_[k]);
            else
                interpolation =
                    boost::make_shared<BilinearInterpolation>(
                        optionTimes_.begin(), optionTimes_.end(),
                        swapLengths_.begin(), swapLengths_.end(),
                        transposedPoints_[k]);
            interpolators_.push_back(boost::shared_ptr<Interpolation2D>(
                new FlatExtrapolator2D(interpolation)));
            interpolators_[k]->enableExtrapolation();
        }
        setPoints(o.points_);
        return *this;
    }

    template<class Model> void SwaptionVolCube1x<Model>::Cube::setElement(Size IndexOfLayer,
                                                        Size IndexOfRow,
                                                        Size IndexOfColumn,
                                                        Real x) {
        QL_REQUIRE(IndexOfLayer<nLayers_,
            "Cube::setElement: incompatible IndexOfLayer ");
        QL_REQUIRE(IndexOfRow<optionTimes_.size(),
            "Cube::setElement: incompatible IndexOfRow");
        QL_REQUIRE(IndexOfColumn<swapLengths_.size(),
            "Cube::setElement: incompatible IndexOfColumn");
        points_[IndexOfLayer][IndexOfRow][IndexOfColumn] = x;
    }

    template<class Model> void SwaptionVolCube1x<Model>::Cube::setPoints(
                                               const std::vector<Matrix>& x) {
        QL_REQUIRE(x.size()==nLayers_,
            "Cube::setPoints: incompatible number of layers ");
        QL_REQUIRE(x[0].rows()==optionTimes_.size(),
            "Cube::setPoints: incompatible size 1");
        QL_REQUIRE(x[0].columns()==swapLengths_.size(),
            "Cube::setPoints: incompatible size 2");

        points_ = x;
    }

    template<class Model> void SwaptionVolCube1x<Model>::Cube::setLayer(Size i,
                                                      const Matrix& x) {
        QL_REQUIRE(i<nLayers_,
            "Cube::setLayer: incompatible number of layer ");
        QL_REQUIRE(x.rows()==optionTimes_.size(),
            "Cube::setLayer: incompatible size 1");
        QL_REQUIRE(x.columns()==swapLengths_.size(),
            "Cube::setLayer: incompatible size 2");

        points_[i] = x;
    }

    template<class Model> void SwaptionVolCube1x<Model>::Cube::setPoint(
                            const Date& optionDate, const Period& swapTenor,
                            const Real optionTime, const Time swapLength,
                            const std::vector<Real>& point)
    {
        const bool expandOptionTimes =
            !(std::binary_search(optionTimes_.begin(),optionTimes_.end(),optionTime));
        const bool expandSwapLengths =
            !(std::binary_search(swapLengths_.begin(),swapLengths_.end(),swapLength));

        std::vector<Real>::const_iterator optionTimesPreviousNode,
                                          swapLengthsPreviousNode;

        optionTimesPreviousNode =
            std::lower_bound(optionTimes_.begin(),optionTimes_.end(),optionTime);
        Size optionTimesIndex = optionTimesPreviousNode - optionTimes_.begin();

        swapLengthsPreviousNode =
            std::lower_bound(swapLengths_.begin(),swapLengths_.end(),swapLength);
        Size swapLengthsIndex = swapLengthsPreviousNode - swapLengths_.begin();

        if (expandOptionTimes || expandSwapLengths)
            expandLayers(optionTimesIndex, expandOptionTimes,
                         swapLengthsIndex, expandSwapLengths);

        for (Size k=0; k<nLayers_; ++k)
            points_[k][optionTimesIndex][swapLengthsIndex] = point[k];

        optionTimes_[optionTimesIndex] = optionTime;
        swapLengths_[swapLengthsIndex] = swapLength;
        optionDates_[optionTimesIndex] = optionDate;
        swapTenors_[swapLengthsIndex] = swapTenor;
    }

    template<class Model> void SwaptionVolCube1x<Model>::Cube::expandLayers(Size i, bool expandOptionTimes,
                                              Size j, bool expandSwapLengths) {
        QL_REQUIRE(i<=optionTimes_.size(),"Cube::expandLayers: incompatible size 1");
        QL_REQUIRE(j<=swapLengths_.size(),"Cube::expandLayers: incompatible size 2");

        if (expandOptionTimes) {
            optionTimes_.insert(optionTimes_.begin()+i,0.);
            optionDates_.insert(optionDates_.begin()+i, Date());
        }
        if (expandSwapLengths) {
            swapLengths_.insert(swapLengths_.begin()+j,0.);
            swapTenors_.insert(swapTenors_.begin()+j, Period());
        }

        std::vector<Matrix> newPoints(nLayers_,Matrix(optionTimes_.size(),
                                                      swapLengths_.size(), 0.));

        for (Size k=0; k<nLayers_; ++k) {
            for (Size u=0; u<points_[k].rows(); ++u) {
                 Size indexOfRow = u;
                 if (u>=i && expandOptionTimes) indexOfRow = u+1;
                 for (Size v=0; v<points_[k].columns(); ++v) {
                      Size indexOfCol = v;
                      if (v>=j && expandSwapLengths) indexOfCol = v+1;
                      newPoints[k][indexOfRow][indexOfCol]=points_[k][u][v];
                 }
            }
        }
        setPoints(newPoints);
    }

    template<class Model> const std::vector<Matrix>&
    SwaptionVolCube1x<Model>::Cube::points() const {
        return points_;
    }

    template<class Model> std::vector<Real> SwaptionVolCube1x<Model>::Cube::operator()(
                            const Time optionTime, const Time swapLength) const {
        std::vector<Real> result;
        for (Size k=0; k<nLayers_; ++k)
            result.push_back(interpolators_[k]->operator()(optionTime, swapLength));
        return result;
    }

    template<class Model> const std::vector<Time>&
    SwaptionVolCube1x<Model>::Cube::optionTimes() const {
        return optionTimes_;
    }

    template<class Model> const std::vector<Time>&
    SwaptionVolCube1x<Model>::Cube::swapLengths() const {
        return swapLengths_;
    }

    template<class Model> void SwaptionVolCube1x<Model>::Cube::updateInterpolators() const {
        for (Size k = 0; k < nLayers_; ++k) {
            transposedPoints_[k] = transpose(points_[k]);
            boost::shared_ptr<Interpolation2D> interpolation;
            if (k <= 4 && backwardFlat_)
                interpolation =
                    boost::make_shared<BackwardflatLinearInterpolation>(
                        optionTimes_.begin(), optionTimes_.end(),
                        swapLengths_.begin(), swapLengths_.end(),
                        transposedPoints_[k]);
            else
                interpolation =
                    boost::make_shared<BilinearInterpolation>(
                        optionTimes_.begin(), optionTimes_.end(),
                        swapLengths_.begin(), swapLengths_.end(),
                        transposedPoints_[k]);
            interpolators_[k] = boost::shared_ptr<Interpolation2D>(
                new FlatExtrapolator2D(interpolation));
            interpolators_[k]->enableExtrapolation();
        }
    }

    template<class Model> Matrix SwaptionVolCube1x<Model>::Cube::browse() const {
        Matrix result(swapLengths_.size()*optionTimes_.size(), nLayers_+2, 0.0);
        for (Size i=0; i<swapLengths_.size(); ++i) {
            for (Size j=0; j<optionTimes_.size(); ++j) {
                result[i*optionTimes_.size()+j][0] = swapLengths_[i];
                result[i*optionTimes_.size()+j][1] = optionTimes_[j];
                for (Size k=0; k<nLayers_; ++k)
                    result[i*optionTimes_.size()+j][2+k] = points_[k][j][i];
            }
        }
        return result;
    }

    //======================================================================//
    //                      SwaptionVolCube1 (Sabr)                         //
    //======================================================================//

    struct SwaptionVolCubeSabrModel {
        typedef SABRInterpolation Interpolation;
        typedef SabrSmileSection SmileSection;
    };

    typedef SwaptionVolCube1x<SwaptionVolCubeSabrModel> SwaptionVolCube1;

}

#endif
