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

/*

 Copyright (C) 2008 Roland Stamm

 Copyright (C) 2009 Jose Aparicio

 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/experimental/credit/blackcdsoptionengine.hpp>

#include <ql/pricingengines/blackformula.hpp>

#include <ql/quote.hpp>

#include <ql/termstructures/yieldtermstructure.hpp>

#include <utility>

namespace QuantLib {

    BlackCdsOptionEngine::BlackCdsOptionEngine(Handle<DefaultProbabilityTermStructure> probability,

                                               Real recoveryRate,

                                               Handle<YieldTermStructure> termStructure,

                                               Handle<Quote> volatility)

    : probability_(std::move(probability)), recoveryRate_(recoveryRate),

      termStructure_(std::move(termStructure)), volatility_(std::move(volatility)) {

        registerWith(probability_);

        registerWith(termStructure_);

        registerWith(volatility_);

    }

    void BlackCdsOptionEngine::calculate() const {

        Date maturityDate = arguments_.swap->coupons().front()->date();

        Date exerciseDate = arguments_.exercise->date(0);

        QL_REQUIRE(maturityDate > exerciseDate,

                   "Underlying CDS should start after option maturity");

        Date settlement   = termStructure_->referenceDate();

        Rate spotFwdSpread = arguments_.swap->fairSpread();

        Rate swapSpread    = arguments_.swap->runningSpread();

        DayCounter tSDc = termStructure_->dayCounter();

        // The sense of the underlying/option has to be sent this way

        // to the Black formula, no sign.

        Real riskyAnnuity =

            std::fabs(arguments_.swap->couponLegNPV() / swapSpread);

        results_.riskyAnnuity = riskyAnnuity;

        Time T = tSDc.yearFraction(settlement, exerciseDate);

        Real stdDev = volatility_->value()  * std::sqrt(T);

        Option::Type callPut = (arguments_.side == Protection::Buyer) ?

                                                   Option::Call : Option::Put;

        results_.value =

            blackFormula(callPut, swapSpread, spotFwdSpread,

                         stdDev, riskyAnnuity);

        // if a non knock-out payer option, add front end protection value

        if (arguments_.side == Protection::Buyer && !arguments_.knocksOut) {

            Real frontEndProtection =

                Integer(callPut) * arguments_.swap->notional()

                * (1.-recoveryRate_)

                * probability_->defaultProbability(exerciseDate)

                * termStructure_->discount(exerciseDate);

            results_.value += frontEndProtection;

        }

    }

    Handle<YieldTermStructure> BlackCdsOptionEngine::termStructure() {

        return termStructure_;

    }

    Handle<Quote> BlackCdsOptionEngine::volatility() {

        return volatility_;

    }

}