/* -*- 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.

*/

/*! \file fdoujumpvanillaengine.cpp

    \brief Finite Differences Ornstein Uhlenbeck plus exponential jumps engine 

           for simple swing options

*/

#include <ql/exercise.hpp>

#include <ql/experimental/finitedifferences/fdextoujumpvanillaengine.hpp>

#include <ql/experimental/finitedifferences/fdmextoujumpmodelinnervalue.hpp>

#include <ql/experimental/finitedifferences/fdmextoujumpsolver.hpp>

#include <ql/experimental/processes/extendedornsteinuhlenbeckprocess.hpp>

#include <ql/experimental/processes/extouwithjumpsprocess.hpp>

#include <ql/methods/finitedifferences/meshers/exponentialjump1dmesher.hpp>

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

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

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

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

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

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

#include <ql/termstructures/yieldtermstructure.hpp>

#include <utility>

namespace QuantLib {

    FdExtOUJumpVanillaEngine::FdExtOUJumpVanillaEngine(

        ext::shared_ptr<ExtOUWithJumpsProcess> process,

        ext::shared_ptr<YieldTermStructure> rTS,

        Size tGrid,

        Size xGrid,

        Size yGrid,

        ext::shared_ptr<Shape> shape,

        const FdmSchemeDesc& schemeDesc)

    : process_(std::move(process)), rTS_(std::move(rTS)), shape_(std::move(shape)), tGrid_(tGrid),

      xGrid_(xGrid), yGrid_(yGrid), schemeDesc_(schemeDesc) {}

    void FdExtOUJumpVanillaEngine::calculate() const {

        // 1. Mesher

        const Time maturity 

            = rTS_->dayCounter().yearFraction(rTS_->referenceDate(),

                                              arguments_.exercise->lastDate());

        const ext::shared_ptr<StochasticProcess1D> ouProcess(

            process_->getExtendedOrnsteinUhlenbeckProcess());

        const ext::shared_ptr<Fdm1dMesher> xMesher(

            new FdmSimpleProcess1dMesher(xGrid_, ouProcess,maturity));

        const ext::shared_ptr<Fdm1dMesher> yMesher(

            new ExponentialJump1dMesher(yGrid_, 

                                        process_->beta(), 

                                        process_->jumpIntensity(),

                                        process_->eta()));

        const ext::shared_ptr<FdmMesher> mesher(

            new FdmMesherComposite(xMesher, yMesher));

        // 2. Calculator

        const ext::shared_ptr<FdmInnerValueCalculator> calculator(

            new FdmExtOUJumpModelInnerValue(arguments_.payoff, mesher, shape_));

        // 3. Step conditions

        const ext::shared_ptr<FdmStepConditionComposite> conditions =

            FdmStepConditionComposite::vanillaComposite(

                                DividendSchedule(), arguments_.exercise, 

                                mesher, calculator, 

                                rTS_->referenceDate(), rTS_->dayCounter());

        // 4. Boundary conditions

        const FdmBoundaryConditionSet boundaries;

        // 5. set-up solver

        FdmSolverDesc solverDesc = { mesher, boundaries, conditions,

                                    calculator, maturity, tGrid_, 0 };

        const ext::shared_ptr<FdmExtOUJumpSolver> solver(

            new FdmExtOUJumpSolver(Handle<ExtOUWithJumpsProcess>(process_), 

                                   rTS_, solverDesc, schemeDesc_));

        const Real x = process_->initialValues()[0];

        const Real y = process_->initialValues()[1];

        results_.value = solver->valueAt(x, y);      

    }

}