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

/*

 Copyright (C) 2007 Marco Bianchetti

 Copyright (C) 2007 Giorgio Facchinetti

 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/instruments/stickyratchet.hpp>

namespace QuantLib {

    // Double Sticky/Ratchet payoffs

    Real DoubleStickyRatchetPayoff::operator()(Real forward) const {

        QL_REQUIRE((std::fabs(type1_)==1.0 || type1_==0.0),

            "unknown/illegal type1 value (only 0.0 and +/-1,0 are allowed))");

        QL_REQUIRE((std::fabs(type2_)==1.0 || type2_==0.0),

            "unknown/illegal type2 value(only 0.0 and +/-1,0 are allowed)");

        Real swaplet = gearing3_ * forward + spread3_;

        Real effStrike1 = gearing1_ * initialValue1_ + spread1_;

        Real effStrike2 = gearing2_ * initialValue2_ + spread2_;

        Real effStrike3 = type1_*type2_*std::max<Real>(type2_*(swaplet-effStrike2),0.0);

        Real price = accrualFactor_ * (swaplet -

                    type1_*std::max<Real>(type1_*(swaplet-effStrike1),effStrike3));

        return price;

    }

    std::string DoubleStickyRatchetPayoff::name() const {

        return "DoubleStickyRatchetPayoff";

    }

    std::string DoubleStickyRatchetPayoff::description() const {

        std::ostringstream result;

        result << name();

        return result.str();

    }

    void DoubleStickyRatchetPayoff::accept(AcyclicVisitor& v) {

        auto* v1 = dynamic_cast<Visitor<DoubleStickyRatchetPayoff>*>(&v);

        if (v1 != nullptr)

            v1->visit(*this);

        else

            Payoff::accept(v);

    }

/*---------------------------------------------------------------------------

    // Old code for single sticky/ratchet payoffs,

    // superated by DoubleStickyRatchetPayoff class above

    // Single Sticky/Ratchet payoffs

    Real StickyRatchetPayoff::operator()(Real forward) const {

        QL_REQUIRE(abs(type_)==1.0, "unknown/illegal option type");

        Real swaplet = gearing2_ * forward + spread2_;

        Real effStrike = gearing2_ * initialValue_ + spread2_;

        Real price = accrualFactor_ * (swaplet -

                    type_*std::max<Real>(type_*(swaplet-effStrike),0.0));

        return price;

    }

    std::string StickyRatchetPayoff::description() const {

        std::ostringstream result;

        result << name();

        return result.str();

    }

    void StickyRatchetPayoff::accept(AcyclicVisitor& v) {

        Visitor<StickyRatchetPayoff>* v1 =

            dynamic_cast<Visitor<StickyRatchetPayoff>*>(&v);

        if (v1 != 0)

            v1->visit(*this);

        else

            Payoff::accept(v);

    }

-----------------------------------------------------------------------------*/

}