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

/*

 Copyright (C) 2011 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/indexes/iborindex.hpp>

#include <ql/processes/ornsteinuhlenbeckprocess.hpp>

#include <ql/pricingengines/swaption/fdhullwhiteswaptionengine.hpp>

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

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

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

#include <ql/methods/finitedifferences/meshers/fdmsimpleprocess1dmesher.hpp>

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

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

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

namespace QuantLib {

    FdHullWhiteSwaptionEngine::FdHullWhiteSwaptionEngine(

        const ext::shared_ptr<HullWhite>& model,

        Size tGrid, Size xGrid, 

        Size dampingSteps, Real invEps,

        const FdmSchemeDesc& schemeDesc)

    : GenericModelEngine<HullWhite, 

                         Swaption::arguments, Swaption::results>(model),

      tGrid_(tGrid),

      xGrid_(xGrid),

      dampingSteps_(dampingSteps),

      invEps_(invEps),

      schemeDesc_(schemeDesc) {

    }

    void FdHullWhiteSwaptionEngine::calculate() const {

        QL_REQUIRE(!model_.empty(), "no model specified");

        // 1. Term structure

        const Handle<YieldTermStructure> ts = model_->termStructure();

        // 2. Mesher

        const DayCounter dc = ts->dayCounter();

        const Date referenceDate = ts->referenceDate();

        const Time maturity = dc.yearFraction(referenceDate,

                                              arguments_.exercise->lastDate());

        auto process = ext::make_shared<OrnsteinUhlenbeckProcess>(model_->a(), model_->sigma());

        auto shortRateMesher = ext::make_shared<FdmSimpleProcess1dMesher>(xGrid_, process, maturity, 1, invEps_);

        auto mesher = ext::make_shared<FdmMesherComposite>(shortRateMesher);

        // 3. Inner Value Calculator

        const std::vector<Date>& exerciseDates = arguments_.exercise->dates();

        std::map<Time, Date> t2d;

        for (auto exerciseDate : exerciseDates) {

            const Time t = dc.yearFraction(referenceDate, exerciseDate);

            QL_REQUIRE(t >= 0, "exercise dates must not contain past date");

            t2d[t] = exerciseDate;

        }

        const Handle<YieldTermStructure> disTs = model_->termStructure();

        const Handle<YieldTermStructure> fwdTs

            = arguments_.swap->iborIndex()->forwardingTermStructure();

        QL_REQUIRE(fwdTs->dayCounter() == disTs->dayCounter(),

                   "day counter of forward and discount curve must match");

        QL_REQUIRE(fwdTs->referenceDate() == disTs->referenceDate(),

                   "reference date of forward and discount curve must match");

        auto fwdModel = ext::make_shared<HullWhite>(fwdTs, model_->a(), model_->sigma());

        auto calculator = ext::make_shared<FdmAffineModelSwapInnerValue<HullWhite>>(

                 model_.currentLink(), fwdModel,

                 arguments_.swap, t2d, mesher, 0);

        // 4. Step conditions

        auto conditions =

             FdmStepConditionComposite::vanillaComposite(

                 DividendSchedule(), arguments_.exercise,

                 mesher, calculator, referenceDate, dc);

        // 5. Boundary conditions

        const FdmBoundaryConditionSet boundaries;

        // 6. Solver

        FdmSolverDesc solverDesc = { mesher, boundaries, conditions,

                                     calculator, maturity,

                                     tGrid_, dampingSteps_ };

        FdmHullWhiteSolver solver(model_, solverDesc, schemeDesc_);

        results_.value = solver.valueAt(0.0);

    }

}