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

/*

 Copyright (C) 2008 Andreas Gaida

 Copyright (C) 2008, 2009 Ralph Schreyer

 Copyright (C) 2008 Klaus Spanderen

 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/exercise.hpp>

#include <ql/instruments/vanillaoption.hpp>

#include <ql/math/distributions/normaldistribution.hpp>

#include <ql/methods/finitedifferences/meshers/fdmblackscholesmesher.hpp>

#include <ql/methods/finitedifferences/meshers/fdmmeshercomposite.hpp>

#include <ql/methods/finitedifferences/operators/fdmlinearoplayout.hpp>

#include <ql/methods/finitedifferences/solvers/fdmblackscholessolver.hpp>

#include <ql/methods/finitedifferences/stepconditions/fdmstepconditioncomposite.hpp>

#include <ql/methods/finitedifferences/utilities/fdmdirichletboundary.hpp>

#include <ql/methods/finitedifferences/utilities/fdmdividendhandler.hpp>

#include <ql/methods/finitedifferences/utilities/fdminnervaluecalculator.hpp>

#include <ql/pricingengines/barrier/fdblackscholesbarrierengine.hpp>

#include <ql/pricingengines/barrier/fdblackscholesrebateengine.hpp>

#include <ql/pricingengines/vanilla/fdblackscholesvanillaengine.hpp>

#include <utility>

namespace QuantLib {

    FdBlackScholesBarrierEngine::FdBlackScholesBarrierEngine(

        ext::shared_ptr<GeneralizedBlackScholesProcess> process,

        Size tGrid,

        Size xGrid,

        Size dampingSteps,

        const FdmSchemeDesc& schemeDesc,

        bool localVol,

        Real illegalLocalVolOverwrite)

    : process_(std::move(process)),

      tGrid_(tGrid), xGrid_(xGrid), dampingSteps_(dampingSteps),

      schemeDesc_(schemeDesc), localVol_(localVol),

      illegalLocalVolOverwrite_(illegalLocalVolOverwrite) {

        registerWith(process_);

    }

    FdBlackScholesBarrierEngine::FdBlackScholesBarrierEngine(

        ext::shared_ptr<GeneralizedBlackScholesProcess> process,

        DividendSchedule dividends,

        Size tGrid,

        Size xGrid,

        Size dampingSteps,

        const FdmSchemeDesc& schemeDesc,

        bool localVol,

        Real illegalLocalVolOverwrite)

    : process_(std::move(process)), dividends_(std::move(dividends)),

      tGrid_(tGrid), xGrid_(xGrid), dampingSteps_(dampingSteps),

      schemeDesc_(schemeDesc), localVol_(localVol),

      illegalLocalVolOverwrite_(illegalLocalVolOverwrite) {

        registerWith(process_);

    }

    void FdBlackScholesBarrierEngine::calculate() const {

        // 1. Mesher

        const ext::shared_ptr<StrikedTypePayoff> payoff =

            ext::dynamic_pointer_cast<StrikedTypePayoff>(arguments_.payoff);

        QL_REQUIRE(payoff, "non-striked type payoff given");

        QL_REQUIRE(payoff->strike() > 0.0, "strike must be positive");

        QL_REQUIRE(arguments_.exercise->type() == Exercise::European,

                   "only european style option are supported");

        const auto spot = process_->x0();

        QL_REQUIRE(spot > 0.0, "negative or null underlying given");

        QL_REQUIRE(!triggered(spot), "barrier touched");

        const Time maturity = process_->time(arguments_.exercise->lastDate());

        Real xMin=Null<Real>();

        Real xMax=Null<Real>();

        if (   arguments_.barrierType == Barrier::DownIn

            || arguments_.barrierType == Barrier::DownOut) {

            xMin = std::log(arguments_.barrier);

        }

        if (   arguments_.barrierType == Barrier::UpIn

            || arguments_.barrierType == Barrier::UpOut) {

            xMax = std::log(arguments_.barrier);

        }

        const ext::shared_ptr<Fdm1dMesher> equityMesher(

            new FdmBlackScholesMesher(

                xGrid_, process_, maturity, payoff->strike(),

                xMin, xMax, 0.0001, 1.5,

                std::make_pair(Null<Real>(), Null<Real>()),

                dividends_));

        const ext::shared_ptr<FdmMesher> mesher (

            ext::make_shared<FdmMesherComposite>(equityMesher));

        // 2. Calculator

        ext::shared_ptr<FdmInnerValueCalculator> calculator(

            ext::make_shared<FdmLogInnerValue>(payoff, mesher, 0));

        // 3. Step conditions

        std::list<ext::shared_ptr<StepCondition<Array> > > stepConditions;

        std::list<std::vector<Time> > stoppingTimes;

        // 3.1 Step condition if discrete dividends

        ext::shared_ptr<FdmDividendHandler> dividendCondition(

            ext::make_shared<FdmDividendHandler>(dividends_, mesher,

                                   process_->riskFreeRate()->referenceDate(),

                                   process_->riskFreeRate()->dayCounter(), 0));

        if (!dividends_.empty()) {

            stepConditions.push_back(dividendCondition);

            std::vector<Time> dividendTimes = dividendCondition->dividendTimes();

            // this effectively excludes times after maturity

            for (auto& t: dividendTimes)

                t = std::min(maturity, t);

            stoppingTimes.push_back(dividendTimes);

        }

        ext::shared_ptr<FdmStepConditionComposite> conditions(

            ext::make_shared<FdmStepConditionComposite>(stoppingTimes, stepConditions));

        // 4. Boundary conditions

        FdmBoundaryConditionSet boundaries;

        if (   arguments_.barrierType == Barrier::DownIn

            || arguments_.barrierType == Barrier::DownOut) {

            boundaries.push_back(

                ext::make_shared<FdmDirichletBoundary>(mesher, arguments_.rebate, 0,

                                         FdmDirichletBoundary::Lower));

        }

        if (   arguments_.barrierType == Barrier::UpIn

            || arguments_.barrierType == Barrier::UpOut) {

            boundaries.push_back(

                ext::make_shared<FdmDirichletBoundary>(mesher, arguments_.rebate, 0,

                                         FdmDirichletBoundary::Upper));

        }

        // 5. Solver

        FdmSolverDesc solverDesc = { mesher, boundaries, conditions, calculator,

                                     maturity, tGrid_, dampingSteps_ };

        ext::shared_ptr<FdmBlackScholesSolver> solver(

            ext::make_shared<FdmBlackScholesSolver>(

                               Handle<GeneralizedBlackScholesProcess>(process_),

                               payoff->strike(), solverDesc, schemeDesc_,

                               localVol_, illegalLocalVolOverwrite_));

        results_.value = solver->valueAt(spot);

        results_.delta = solver->deltaAt(spot);

        results_.gamma = solver->gammaAt(spot);

        results_.theta = solver->thetaAt(spot);

        // 6. Calculate vanilla option and rebate for in-barriers

        if (   arguments_.barrierType == Barrier::DownIn

            || arguments_.barrierType == Barrier::UpIn) {

            // Cast the payoff

            ext::shared_ptr<StrikedTypePayoff> payoff =

                    ext::dynamic_pointer_cast<StrikedTypePayoff>(

                                                            arguments_.payoff);

            // Calculate the vanilla option

            VanillaOption vanillaOption(payoff, arguments_.exercise);

            vanillaOption.setPricingEngine(

                ext::make_shared<FdBlackScholesVanillaEngine>(

                        process_, dividends_, tGrid_, xGrid_,

                        0, // dampingSteps

                        schemeDesc_, localVol_, illegalLocalVolOverwrite_));

            // Calculate the rebate value

            BarrierOption rebateOption(arguments_.barrierType,

                                       arguments_.barrier,

                                       arguments_.rebate,

                                       payoff, arguments_.exercise);

            const Size min_grid_size = 50;

            const Size rebateDampingSteps 

                = (dampingSteps_ > 0) ? std::min(Size(1), dampingSteps_/2) : 0; 

            rebateOption.setPricingEngine(ext::make_shared<FdBlackScholesRebateEngine>(

                            process_, dividends_, tGrid_, std::max(min_grid_size, xGrid_/5), 

                            rebateDampingSteps, schemeDesc_, localVol_, 

                            illegalLocalVolOverwrite_));

            results_.value = vanillaOption.NPV()   + rebateOption.NPV()   - results_.value;

            results_.delta = vanillaOption.delta() + rebateOption.delta() - results_.delta;

            results_.gamma = vanillaOption.gamma() + rebateOption.gamma() - results_.gamma;

            results_.theta = vanillaOption.theta() + rebateOption.theta() - results_.theta;

        }

    }

}