/* -*- 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.

 */

/*! \file inflationcapfloorengines.hpp

    \brief Inflation cap/floor engines

 */

#ifndef quantlib_pricers_inflation_capfloor_hpp

#define quantlib_pricers_inflation_capfloor_hpp

#include <ql/instruments/inflationcapfloor.hpp>

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

#include <ql/option.hpp>

namespace QuantLib {

    class Quote;

    class YoYOptionletVolatilitySurface;

    class YoYInflationIndex;

    //! Base YoY inflation cap/floor engine

    /*! This class doesn't know yet what sort of vol it is.  The

        inflation index must be linked to a yoy inflation term

        structure.

        \ingroup inflationcapfloorengines

    */

    class YoYInflationCapFloorEngine : public YoYInflationCapFloor::engine {

      public:

        YoYInflationCapFloorEngine(ext::shared_ptr<YoYInflationIndex>,

                                   Handle<YoYOptionletVolatilitySurface> vol,

                                   Handle<YieldTermStructure> nominalTermStructure);

        ext::shared_ptr<YoYInflationIndex> index() const { return index_;}

        Handle<YoYOptionletVolatilitySurface> volatility() const { return volatility_; }

        Handle<YieldTermStructure> nominalTermStructure() const { return nominalTermStructure_; }

        void setVolatility(const Handle<YoYOptionletVolatilitySurface>& vol);

        void calculate() const override;

      protected:

        //! descendents only need to implement this

        virtual Real optionletImpl(Option::Type type, Rate strike,

                                   Rate forward, Real stdDev,

                                   Real d) const = 0;

        ext::shared_ptr<YoYInflationIndex> index_;

        Handle<YoYOptionletVolatilitySurface> volatility_;

        Handle<YieldTermStructure> nominalTermStructure_;

    };

    //! Black-formula inflation cap/floor engine (standalone, i.e. no coupon pricer)

    class YoYInflationBlackCapFloorEngine

    : public YoYInflationCapFloorEngine {

      public:

        YoYInflationBlackCapFloorEngine(const ext::shared_ptr<YoYInflationIndex>&,

                                        const Handle<YoYOptionletVolatilitySurface>& vol,

                                        const Handle<YieldTermStructure>& nominalTermStructure);

      protected:

        Real

        optionletImpl(Option::Type, Real strike, Real forward, Real stdDev, Real d) const override;

    };

    //! Unit Displaced Black-formula inflation cap/floor engine (standalone, i.e. no coupon pricer)

    class YoYInflationUnitDisplacedBlackCapFloorEngine

    : public YoYInflationCapFloorEngine {

      public:

        YoYInflationUnitDisplacedBlackCapFloorEngine(

                    const ext::shared_ptr<YoYInflationIndex>&,

                    const Handle<YoYOptionletVolatilitySurface>& vol,

                    const Handle<YieldTermStructure>& nominalTermStructure);

      protected:

        Real

        optionletImpl(Option::Type, Real strike, Real forward, Real stdDev, Real d) const override;

    };

    //! Unit Displaced Black-formula inflation cap/floor engine (standalone, i.e. no coupon pricer)

    class YoYInflationBachelierCapFloorEngine

    : public YoYInflationCapFloorEngine {

      public:

        YoYInflationBachelierCapFloorEngine(

                    const ext::shared_ptr<YoYInflationIndex>&,

                    const Handle<YoYOptionletVolatilitySurface>& vol,

                    const Handle<YieldTermStructure>& nominalTermStructure);

      protected:

        Real

        optionletImpl(Option::Type, Real strike, Real forward, Real stdDev, Real d) const override;

    };

}

#endif