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

/*

 Copyright (C) 2009 Chris Kenyon

 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.

 */

#include <ql/cashflows/inflationcouponpricer.hpp>

#include <ql/pricingengines/blackformula.hpp>

#include <ql/termstructures/volatility/inflation/yoyinflationoptionletvolatilitystructure.hpp>

#include <utility>

namespace QuantLib {

    void setCouponPricer(const Leg& leg,

                         const ext::shared_ptr<InflationCouponPricer>& p) {

        for (const auto& i : leg) {

            ext::shared_ptr<InflationCoupon> c = ext::dynamic_pointer_cast<InflationCoupon>(i);

            if (c != nullptr)

                c->setPricer(p);

        }

    }

    YoYInflationCouponPricer::YoYInflationCouponPricer(

        Handle<YieldTermStructure> nominalTermStructure)

    : nominalTermStructure_(std::move(nominalTermStructure)) {

        registerWith(nominalTermStructure_);

    }

Unexecuted instantiation: QuantLib::YoYInflationCouponPricer::YoYInflationCouponPricer(QuantLib::Handle<QuantLib::YieldTermStructure>)

Unexecuted instantiation: QuantLib::YoYInflationCouponPricer::YoYInflationCouponPricer(QuantLib::Handle<QuantLib::YieldTermStructure>)

    YoYInflationCouponPricer::YoYInflationCouponPricer(

        Handle<YoYOptionletVolatilitySurface> capletVol,

        Handle<YieldTermStructure> nominalTermStructure)

    : capletVol_(std::move(capletVol)), nominalTermStructure_(std::move(nominalTermStructure)) {

        registerWith(capletVol_);

        registerWith(nominalTermStructure_);

    }

Unexecuted instantiation: QuantLib::YoYInflationCouponPricer::YoYInflationCouponPricer(QuantLib::Handle<QuantLib::YoYOptionletVolatilitySurface>, QuantLib::Handle<QuantLib::YieldTermStructure>)

Unexecuted instantiation: QuantLib::YoYInflationCouponPricer::YoYInflationCouponPricer(QuantLib::Handle<QuantLib::YoYOptionletVolatilitySurface>, QuantLib::Handle<QuantLib::YieldTermStructure>)

    void YoYInflationCouponPricer::setCapletVolatility(

       const Handle<YoYOptionletVolatilitySurface>& capletVol) {

        QL_REQUIRE(!capletVol.empty(),"empty capletVol handle");

        capletVol_ = capletVol;

        registerWith(capletVol_);

    }

    Real YoYInflationCouponPricer::floorletPrice(Rate effectiveFloor) const{

        Real floorletPrice = optionletPrice(Option::Put, effectiveFloor);

        return gearing_ * floorletPrice;

    }

    Real YoYInflationCouponPricer::capletPrice(Rate effectiveCap) const{

        Real capletPrice = optionletPrice(Option::Call, effectiveCap);

        return gearing_ * capletPrice;

    }

    Rate YoYInflationCouponPricer::floorletRate(Rate effectiveFloor) const{

        return gearing_ * optionletRate(Option::Put, effectiveFloor);

    }

    Rate YoYInflationCouponPricer::capletRate(Rate effectiveCap) const{

        return gearing_ * optionletRate(Option::Call, effectiveCap);

    }

    Real YoYInflationCouponPricer::optionletPriceImp(

                                                    Option::Type,

                                                    Real,

                                                    Real,

                                                    Real) const {

        QL_FAIL("you must implement this to get a vol-dependent price");

    }

    Real YoYInflationCouponPricer::optionletPrice(Option::Type optionType,

                                                  Real effStrike) const {

        QL_REQUIRE(discount_ != Null<Real>(), "no nominal term structure provided");

        return optionletRate(optionType, effStrike) * coupon_->accrualPeriod() * discount_;

    }

    Real YoYInflationCouponPricer::optionletRate(Option::Type optionType,

                                                 Real effStrike) const {

        Date fixingDate = coupon_->fixingDate();

        if (fixingDate <= capletVolatility()->baseDate()) {

            // the amount is determined

            Real a, b;

            if (optionType==Option::Call) {

                a = coupon_->indexFixing();

                b = effStrike;

            } else {

                a = effStrike;

                b = coupon_->indexFixing();

            }

            return std::max(a - b, 0.0);

        } else {

            // not yet determined, use Black/DD1/Bachelier/whatever from Impl

            QL_REQUIRE(!capletVolatility().empty(), "missing optionlet volatility");

            Real stdDev =

                std::sqrt(capletVolatility()->totalVariance(fixingDate,

                                                            effStrike,

                                                            Period(0, Days)));

            return optionletPriceImp(optionType,

                                     effStrike,

                                     adjustedFixing(),

                                     stdDev);

        }

    }

    Rate YoYInflationCouponPricer::adjustedFixing(Rate fixing) const {

        if (fixing == Null<Rate>())

            fixing = coupon_->indexFixing();

        // no adjustment

        return fixing;

    }

    void YoYInflationCouponPricer::initialize(const InflationCoupon& coupon) {

        coupon_ = dynamic_cast<const YoYInflationCoupon*>(&coupon);

        QL_REQUIRE(coupon_, "year-on-year inflation coupon needed");

        gearing_ = coupon_->gearing();

        spread_ = coupon_->spread();

        paymentDate_ = coupon_->date();

        // past or future fixing is managed in YoYInflationIndex::fixing()

        // use yield curve from index (which sets discount)

        discount_ = 1.0;

        if (nominalTermStructure_.empty()) {

            // allow to extract rates, but mark the discount as invalid for prices

            discount_ = Null<Real>();

        } else {

            if (paymentDate_ > nominalTermStructure_->referenceDate())

                discount_ = nominalTermStructure_->discount(paymentDate_);

        }

    }

    Real YoYInflationCouponPricer::swapletPrice() const {

        QL_REQUIRE(discount_ != Null<Real>(), "no nominal term structure provided");

        return swapletRate() * coupon_->accrualPeriod() * discount_;

    }

    Rate YoYInflationCouponPricer::swapletRate() const {

        // This way we do not require the index to have

        // a yield curve, i.e. we do not get the problem

        // that a discounting-instrument-pricer is used

        // with a different yield curve

        return gearing_ * adjustedFixing() + spread_;

    }

    //=========================================================================

    // vol-dependent pricers, note that these do not discount

    //=========================================================================

    Real BlackYoYInflationCouponPricer::optionletPriceImp(Option::Type optionType,

                                                     Real  effStrike,

                                                     Real  forward,

                                                     Real stdDev

                                                     ) const {

        return blackFormula(optionType,

                            effStrike,

                            forward,

                            stdDev);

    }

    Real UnitDisplacedBlackYoYInflationCouponPricer::optionletPriceImp(Option::Type optionType,

                                                                  Real  effStrike,

                                                                  Real  forward,

                                                                  Real stdDev

                                                          ) const {

        return blackFormula(optionType,

                            effStrike + 1.0,

                            forward + 1.0,

                            stdDev);

    }

    Real BachelierYoYInflationCouponPricer::optionletPriceImp(Option::Type optionType,

                                                              Real  effStrike,

                                                              Real  forward,

                                                              Real stdDev

                                                          ) const {

        return bachelierBlackFormula(optionType,

                                     effStrike,

                                     forward,

                                     stdDev);

    }

}