/* -*- 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 fdmsimple3dextoujumpsolver.hpp

    \brief solver for simple swing options based on ext OU-Jump (Kluge) Model

*/

#ifndef quantlib_fdm_3d_ext_ou_jump_solver_hpp

#define quantlib_fdm_3d_ext_ou_jump_solver_hpp

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

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

#include <ql/handle.hpp>

#include <ql/methods/finitedifferences/solvers/fdm3dimsolver.hpp>

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

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

#include <ql/patterns/lazyobject.hpp>

#include <ql/termstructures/yieldtermstructure.hpp>

#include <utility>

namespace QuantLib {

    class FdmSimple3dExtOUJumpSolver : public LazyObject {

      public:

        FdmSimple3dExtOUJumpSolver(const Handle<ExtOUWithJumpsProcess>& process,

                                   ext::shared_ptr<YieldTermStructure> rTS,

                                   FdmSolverDesc solverDesc,

                                   const FdmSchemeDesc& schemeDesc = FdmSchemeDesc::Hundsdorfer())

        : process_(process), rTS_(std::move(rTS)), solverDesc_(std::move(solverDesc)),

          schemeDesc_(schemeDesc) {

            registerWith(process);

        }

        Real valueAt(Real x, Real y, Real z) const {

            calculate();

            return solver_->interpolateAt(x, y, z);

        }

      protected:

        void performCalculations() const override {

            ext::shared_ptr<FdmLinearOpComposite>op(

                new FdmExtOUJumpOp(solverDesc_.mesher,

                                   process_.currentLink(),

                                   rTS_, solverDesc_.bcSet, 32));

            solver_ = ext::make_shared<Fdm3DimSolver>(

                          solverDesc_, schemeDesc_, op);

        }

      private:

        const Handle<ExtOUWithJumpsProcess> process_;

        const ext::shared_ptr<YieldTermStructure> rTS_;

        const FdmSolverDesc solverDesc_;

        const FdmSchemeDesc schemeDesc_;

        mutable ext::shared_ptr<Fdm3DimSolver> solver_;

    };

}

#endif