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

/*

 Copyright (C) 2008 Toyin Akin

 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/experimental/coupons/quantocouponpricer.hpp>

#include <ql/cashflows/capflooredcoupon.hpp>

#include <ql/cashflows/digitalcoupon.hpp>

#include <ql/cashflows/digitalcmscoupon.hpp>

#include <ql/cashflows/digitaliborcoupon.hpp>

#include <ql/cashflows/rangeaccrual.hpp>

#include <ql/pricingengines/blackformula.hpp>

#include <ql/indexes/interestrateindex.hpp>

namespace QuantLib {

    Rate BlackIborQuantoCouponPricer::adjustedFixing(Real fixing) const {

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

            fixing = coupon_->indexFixing();

        // Here we apply the quanto adjustment first, then delegate to

        // the parent class

        Date d1 = coupon_->fixingDate(),

             referenceDate = capletVolatility()->referenceDate();

        if (d1 > referenceDate) {

            Time t1 =

                capletVolatility()->timeFromReference(d1);

            Volatility fxsigma =

                fxRateBlackVolatility_->blackVol(d1, fixing, true);

            Volatility sigma = capletVolatility()->volatility(d1, fixing);

            Real rho = underlyingFxCorrelation_->value();

            // Apply Quanto Adjustment.

            // Hull 6th Edition, page 642, generalised to

            // shifted lognormal and normal volatilities

            if(capletVolatility()->volatilityType() == ShiftedLognormal) {

                Real dQuantoAdj = std::exp(sigma*fxsigma*rho*t1);

                Real shift = capletVolatility()->displacement();

                fixing = (fixing+shift)*dQuantoAdj-shift;

            }

            else {

                Real dQuantoAdj = sigma*fxsigma*rho*t1;

                fixing += dQuantoAdj;

            }

        }

        return BlackIborCouponPricer::adjustedFixing(fixing);

    }

}