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

/*

 Copyright (C) 2007 Ferdinando Ametrano

 Copyright (C) 2007 Giorgio Facchinetti

 Copyright (C) 2015 Peter Caspers

 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/indexes/iborindex.hpp>

#include <ql/termstructures/volatility/optionlet/optionletstripper.hpp>

#include <utility>

using std::vector;

namespace QuantLib {

    OptionletStripper::OptionletStripper(

        const ext::shared_ptr<CapFloorTermVolSurface>& termVolSurface,

        ext::shared_ptr<IborIndex> iborIndex,

        Handle<YieldTermStructure> discount,

        const VolatilityType type,

        const Real displacement,

        ext::optional<Period> optionletFrequency

    )

    : termVolSurface_(termVolSurface), iborIndex_(std::move(iborIndex)),

      discount_(std::move(discount)), nStrikes_(termVolSurface->strikes().size()),

      volatilityType_(type), displacement_(displacement), 

      optionletFrequency_(optionletFrequency) {

        if (volatilityType_ == Normal) {

            QL_REQUIRE(displacement_ == 0.0,

                       "non-null displacement is not allowed with Normal model");

        }

        if (ext::dynamic_pointer_cast<OvernightIndex>(iborIndex_)) {

            QL_REQUIRE(optionletFrequency_, 

                       "an optionlet frequency is required when using an overnight index");

        }

        registerWith(termVolSurface);

        registerWith(iborIndex_);

        registerWith(discount_);

        registerWith(Settings::instance().evaluationDate());

        Period indexTenor = optionletFrequency_ ? *optionletFrequency_ : iborIndex_->tenor();

        Period maxCapFloorTenor = termVolSurface->optionTenors().back();

        // optionlet tenors and capFloor lengths

        optionletTenors_.push_back(indexTenor);

        capFloorLengths_.push_back(optionletTenors_.back()+indexTenor);

        QL_REQUIRE(maxCapFloorTenor>=capFloorLengths_.back(),

                   "too short (" << maxCapFloorTenor <<

                   ") capfloor term vol termVolSurface");

        Period nextCapFloorLength = capFloorLengths_.back()+indexTenor;

        while (nextCapFloorLength<=maxCapFloorTenor) {

            optionletTenors_.push_back(capFloorLengths_.back());

            capFloorLengths_.push_back(nextCapFloorLength);

            nextCapFloorLength += indexTenor;

        }

        nOptionletTenors_ = optionletTenors_.size();

        optionletVolatilities_ =

            vector<vector<Volatility> >(nOptionletTenors_, 

                                        vector<Volatility>(nStrikes_));

        optionletStrikes_ = vector<vector<Rate> >(nOptionletTenors_,

                                                  termVolSurface->strikes());

        optionletDates_ = vector<Date>(nOptionletTenors_);

        optionletTimes_ = vector<Time>(nOptionletTenors_);

        atmOptionletRate_ = vector<Rate>(nOptionletTenors_);

        optionletPaymentDates_ = vector<Date>(nOptionletTenors_);

        optionletAccrualPeriods_ = vector<Time>(nOptionletTenors_);

    }

    const vector<Rate>& OptionletStripper::optionletStrikes(Size i) const {

        calculate();

        QL_REQUIRE(i<optionletStrikes_.size(),

                   "index (" << i <<

                   ") must be less than optionletStrikes size (" <<

                   optionletStrikes_.size() << ")");

        return optionletStrikes_[i];

    }   

    const vector<Volatility>&

    OptionletStripper::optionletVolatilities(Size i) const {

        calculate();

        QL_REQUIRE(i<optionletVolatilities_.size(),

                   "index (" << i <<

                   ") must be less than optionletVolatilities size (" <<

                   optionletVolatilities_.size() << ")");

        return optionletVolatilities_[i];

    }   

    const vector<Period>& OptionletStripper::optionletFixingTenors() const {

        return optionletTenors_;

    }

    const vector<Date>& OptionletStripper::optionletFixingDates() const {

        calculate();

        return optionletDates_;

    }

    const vector<Time>& OptionletStripper::optionletFixingTimes() const {

        calculate();

        return optionletTimes_;

    }

    Size OptionletStripper::optionletMaturities() const {

        return optionletTenors_.size();

    }

    const vector<Date>& OptionletStripper::optionletPaymentDates() const {

        calculate();

        return optionletPaymentDates_;

    }  

    const vector<Time>& OptionletStripper::optionletAccrualPeriods() const {

        calculate();

        return optionletAccrualPeriods_;

    }

    const vector<Rate>& OptionletStripper::atmOptionletRates() const {

        calculate();

        return atmOptionletRate_;

    }

    DayCounter OptionletStripper::dayCounter() const {

        return termVolSurface_->dayCounter();

    }

    Calendar OptionletStripper::calendar() const {

        return termVolSurface_->calendar();

    }

    Natural OptionletStripper::settlementDays() const {

        return termVolSurface_->settlementDays();

    }

    BusinessDayConvention OptionletStripper::businessDayConvention() const {

        return termVolSurface_->businessDayConvention();

    }

    ext::shared_ptr<CapFloorTermVolSurface>

    OptionletStripper::termVolSurface() const {

        return termVolSurface_;

    }

    ext::shared_ptr<IborIndex> OptionletStripper::iborIndex() const {

        return iborIndex_;

    }

    Real OptionletStripper::displacement() const {

        return displacement_;

    }

    VolatilityType OptionletStripper::volatilityType() const {

        return volatilityType_;

    }

    ext::optional<Period> OptionletStripper::optionletFrequency() const {

        return optionletFrequency_;

    }

}