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

/*

 Copyright (C) 2008 Andrea Odetti

 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 pathmultiassetoption.hpp

    \brief Option on multiple assets

*/

#ifndef quantlib_path_multiasset_option_hpp

#define quantlib_path_multiasset_option_hpp

#include <ql/instrument.hpp>

#include <ql/stochasticprocess.hpp>

#include <ql/math/matrix.hpp>

#include <ql/experimental/mcbasket/pathpayoff.hpp>

namespace QuantLib {

    //! Base class for path-dependent options on multiple assets

    class PathMultiAssetOption : public Instrument {

      public:

        explicit PathMultiAssetOption(

                        const ext::shared_ptr<PricingEngine>& engine

                                        = ext::shared_ptr<PricingEngine>());

        //! \name Instrument interface

        //@{

        class arguments;

        class results;

        class engine;

        bool isExpired() const override;

        void setupArguments(PricingEngine::arguments*) const override;

        virtual ext::shared_ptr<PathPayoff> pathPayoff()  const = 0;

        virtual std::vector<Date>             fixingDates() const = 0;

      protected:

        void setupExpired() const override;

    };

    //! %Arguments for multi-asset option calculation

    class PathMultiAssetOption::arguments

        : public virtual PricingEngine::arguments {

      public:

        arguments() = default;

        void validate() const override;

        ext::shared_ptr<PathPayoff>        payoff;

        std::vector<Date>                    fixingDates;

    };

    //! %Results from multi-asset option calculation

    class PathMultiAssetOption::results : public Instrument::results {

      public:

        void reset() override { Instrument::results::reset(); }

    };

    class PathMultiAssetOption::engine

        : public GenericEngine<PathMultiAssetOption::arguments,

                               PathMultiAssetOption::results> {};

}

#endif