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

/*

 Copyright (C) 2001, 2002, 2003 Sadruddin Rejeb

 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/math/solvers1d/brent.hpp>

#include <ql/models/shortrate/onefactormodel.hpp>

#include <ql/stochasticprocess.hpp>

#include <utility>

namespace QuantLib {

    //Private function used by solver to determine time-dependent parameter

    class OneFactorModel::ShortRateTree::Helper {

      public:

        Helper(Size i,

               Real discountBondPrice,

               ext::shared_ptr<TermStructureFittingParameter::NumericalImpl> theta,

               ShortRateTree& tree)

        : size_(tree.size(i)), i_(i), statePrices_(tree.statePrices(i)),

          discountBondPrice_(discountBondPrice), theta_(std::move(theta)), tree_(tree) {

            theta_->set(tree.timeGrid()[i], 0.0);

        }

        Real operator()(Real theta) const {

            Real value = discountBondPrice_;

            theta_->change(theta);

            for (Size j=0; j<size_; j++)

                value -= statePrices_[j]*tree_.discount(i_,j);

            return value;

        }

      private:

        Size size_;

        Size i_;

        const Array& statePrices_;

        Real discountBondPrice_;

        ext::shared_ptr<TermStructureFittingParameter::NumericalImpl> theta_;

        ShortRateTree& tree_;

    };

    OneFactorModel::ShortRateTree::ShortRateTree(

        const ext::shared_ptr<TrinomialTree>& tree,

        ext::shared_ptr<ShortRateDynamics> dynamics,

        const ext::shared_ptr<TermStructureFittingParameter::NumericalImpl>& theta,

        const TimeGrid& timeGrid)

    : TreeLattice1D<OneFactorModel::ShortRateTree>(timeGrid, tree->size(1)), tree_(tree),

      dynamics_(std::move(dynamics)), spread_(0.0) {

        theta->reset();

        Real value = 1.0;

        Real vMin = -100.0;

        Real vMax = 100.0;

        for (Size i=0; i<(timeGrid.size() - 1); i++) {

            Real discountBond = theta->termStructure()->discount(t_[i+1]);

            Helper finder(i, discountBond, theta, *this);

            Brent s1d;

            s1d.setMaxEvaluations(1000);

            value = s1d.solve(finder, 1e-7, value, vMin, vMax);

            // vMin = value - 1.0;

            // vMax = value + 1.0;

            theta->change(value);

        }

    }

    OneFactorModel::ShortRateTree::ShortRateTree(const ext::shared_ptr<TrinomialTree>& tree,

                                                 ext::shared_ptr<ShortRateDynamics> dynamics,

                                                 const TimeGrid& timeGrid)

    : TreeLattice1D<OneFactorModel::ShortRateTree>(timeGrid, tree->size(1)), tree_(tree),

      dynamics_(std::move(dynamics)), spread_(0.0) {}

    OneFactorModel::OneFactorModel(Size nArguments)

    : ShortRateModel(nArguments) {}

    ext::shared_ptr<Lattice>

    OneFactorModel::tree(const TimeGrid& grid) const {

        ext::shared_ptr<TrinomialTree> trinomial(

                              new TrinomialTree(dynamics()->process(), grid));

        return ext::shared_ptr<Lattice>(

                              new ShortRateTree(trinomial, dynamics(), grid));

    }

    DiscountFactor OneFactorAffineModel::discount(Time t) const {

        Real x0 = dynamics()->process()->x0();

        Rate r0 = dynamics()->shortRate(0.0, x0);

        return discountBond(0.0, t, r0);

    }

}