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

/*

 Copyright (C) 2006, 2007 StatPro Italia srl

 Copyright (C) 2006 Cristina Duminuco

 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 capflooredcoupon.hpp

    \brief Floating rate coupon with additional cap/floor

*/

#ifndef quantlib_capped_floored_coupon_hpp

#define quantlib_capped_floored_coupon_hpp

#include <ql/cashflows/iborcoupon.hpp>

#include <ql/cashflows/cmscoupon.hpp>

#include <ql/utilities/null.hpp>

namespace QuantLib {

    class Date;

    //! Capped and/or floored floating-rate coupon

    /*! The payoff \f$ P \f$ of a capped floating-rate coupon is:

        \f[ P = N \times T \times \min(a L + b, C). \f]

        The payoff of a floored floating-rate coupon is:

        \f[ P = N \times T \times \max(a L + b, F). \f]

        The payoff of a collared floating-rate coupon is:

        \f[ P = N \times T \times \min(\max(a L + b, F), C). \f]

        where \f$ N \f$ is the notional, \f$ T \f$ is the accrual

        time, \f$ L \f$ is the floating rate, \f$ a \f$ is its

        gearing, \f$ b \f$ is the spread, and \f$ C \f$ and \f$ F \f$

        the strikes.

        They can be decomposed in the following manner.

        Decomposition of a capped floating rate coupon:

        \f[

        R = \min(a L + b, C) = (a L + b) + \min(C - b - \xi |a| L, 0)

        \f]

        where \f$ \xi = sgn(a) \f$. Then:

        \f[

        R = (a L + b) + |a| \min(\frac{C - b}{|a|} - \xi L, 0)

        \f]

    */

    class CappedFlooredCoupon : public FloatingRateCoupon {

      public:

        CappedFlooredCoupon(

                  const ext::shared_ptr<FloatingRateCoupon>& underlying,

                  Rate cap = Null<Rate>(),

                  Rate floor = Null<Rate>());

        //! \name Observer interface

        //@{

        void deepUpdate() override;

        //@}

        //! \name LazyObject interface

        //@{

        void performCalculations() const override;

        //@}

        //! \name Coupon interface

        //@{

        Rate rate() const override;

        Rate convexityAdjustment() const override;

        //@}

        //! cap

        Rate cap() const;

        //! floor

        Rate floor() const;

        //! effective cap of fixing

        Rate effectiveCap() const;

        //! effective floor of fixing

        Rate effectiveFloor() const;

        //@}

        //! \name Visitability

        //@{

        void accept(AcyclicVisitor&) override;

        bool isCapped() const {return isCapped_;}

        bool isFloored() const {return isFloored_;}

        void setPricer(const ext::shared_ptr<FloatingRateCouponPricer>& pricer) override;

        ext::shared_ptr<FloatingRateCoupon> underlying() { return underlying_; }

      protected:

        // data

        ext::shared_ptr<FloatingRateCoupon> underlying_;

        bool isCapped_ = false, isFloored_ = false;

        Rate cap_, floor_;

    };

    class CappedFlooredIborCoupon : public CappedFlooredCoupon {

      public:

        CappedFlooredIborCoupon(

                  const Date& paymentDate,

                  Real nominal,

                  const Date& startDate,

                  const Date& endDate,

                  Natural fixingDays,

                  const ext::shared_ptr<IborIndex>& index,

                  Real gearing = 1.0,

                  Spread spread = 0.0,

                  Rate cap = Null<Rate>(),

                  Rate floor = Null<Rate>(),

                  const Date& refPeriodStart = Date(),

                  const Date& refPeriodEnd = Date(),

                  const DayCounter& dayCounter = DayCounter(),

                  bool isInArrears = false,

                  const Date& exCouponDate = Date())

        : CappedFlooredCoupon(ext::shared_ptr<FloatingRateCoupon>(new

            IborCoupon(paymentDate, nominal, startDate, endDate, fixingDays,

                       index, gearing, spread, refPeriodStart, refPeriodEnd,

                       dayCounter, isInArrears, exCouponDate)), cap, floor) {}

        void accept(AcyclicVisitor& v) override {

            auto* v1 = dynamic_cast<Visitor<CappedFlooredIborCoupon>*>(&v);

            if (v1 != nullptr)

                v1->visit(*this);

            else

                CappedFlooredCoupon::accept(v);

        }

    };

    class CappedFlooredCmsCoupon : public CappedFlooredCoupon {

      public:

        CappedFlooredCmsCoupon(

                  const Date& paymentDate,

                  Real nominal,

                  const Date& startDate,

                  const Date& endDate,

                  Natural fixingDays,

                  const ext::shared_ptr<SwapIndex>& index,

                  Real gearing = 1.0,

                  Spread spread= 0.0,

                  const Rate cap = Null<Rate>(),

                  const Rate floor = Null<Rate>(),

                  const Date& refPeriodStart = Date(),

                  const Date& refPeriodEnd = Date(),

                  const DayCounter& dayCounter = DayCounter(),

                  bool isInArrears = false,

                  const Date& exCouponDate = Date())

        : CappedFlooredCoupon(ext::shared_ptr<FloatingRateCoupon>(new

            CmsCoupon(paymentDate, nominal, startDate, endDate, fixingDays,

                      index, gearing, spread, refPeriodStart, refPeriodEnd,

                      dayCounter, isInArrears, exCouponDate)), cap, floor) {}

        void accept(AcyclicVisitor& v) override {

            auto* v1 = dynamic_cast<Visitor<CappedFlooredCmsCoupon>*>(&v);

            if (v1 != nullptr)

                v1->visit(*this);

            else

                CappedFlooredCoupon::accept(v);

        }

    };

}

#endif