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

/*

 Copyright (C) 2009 Ralph Schreyer

 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/exercise.hpp>

#include <ql/math/distributions/normaldistribution.hpp>

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

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

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

#include <ql/methods/finitedifferences/solvers/fdmsimple2dbssolver.hpp>

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

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

#include <ql/methods/finitedifferences/utilities/fdminnervaluecalculator.hpp>

#include <ql/pricingengines/asian/fdblackscholesasianengine.hpp>

#include <ql/processes/blackscholesprocess.hpp>

#include <utility>

namespace QuantLib {

    FdBlackScholesAsianEngine::FdBlackScholesAsianEngine(

        ext::shared_ptr<GeneralizedBlackScholesProcess> process,

        Size tGrid,

        Size xGrid,

        Size aGrid,

        const FdmSchemeDesc& schemeDesc)

    : process_(std::move(process)), tGrid_(tGrid), xGrid_(xGrid), aGrid_(aGrid),

      schemeDesc_(schemeDesc) {}

    void FdBlackScholesAsianEngine::calculate() const {

        QL_REQUIRE(arguments_.exercise->type() == Exercise::European,

                   "European exercise supported only");

        QL_REQUIRE(arguments_.averageType == Average::Arithmetic,

                   "Arithmetic averaging supported only");

        QL_REQUIRE(   arguments_.runningAccumulator == 0

                   || arguments_.pastFixings > 0,

                   "Running average requires at least one past fixing");

        // 1. Mesher

        const ext::shared_ptr<StrikedTypePayoff> payoff =

            ext::dynamic_pointer_cast<StrikedTypePayoff>(arguments_.payoff);

        const Time maturity = process_->time(arguments_.exercise->lastDate());

        const ext::shared_ptr<Fdm1dMesher> equityMesher(

            new FdmBlackScholesMesher(xGrid_, process_, maturity,

                                      payoff->strike()));

        const Real spot = process_->x0();

        QL_REQUIRE(spot > 0.0, "negative or null underlying given");

        const Real avg = (arguments_.runningAccumulator == 0)

                 ? spot : arguments_.runningAccumulator/arguments_.pastFixings;

        const Real normInvEps = InverseCumulativeNormal()(1-0.0001);

        const Real sigmaSqrtT 

            = process_->blackVolatility()->blackVol(maturity, payoff->strike())

                                                        *std::sqrt(maturity);

        const Real r = sigmaSqrtT*normInvEps;

        Real xMin = std::min(std::log(avg)  - 0.25*r, std::log(spot) - 1.5*r);

        Real xMax = std::max(std::log(avg)  + 0.25*r, std::log(spot) + 1.5*r);

        const ext::shared_ptr<Fdm1dMesher> averageMesher(

            new FdmBlackScholesMesher(aGrid_, process_, maturity,

                                      payoff->strike(), xMin, xMax));

        const ext::shared_ptr<FdmMesher> mesher (

            new FdmMesherComposite(equityMesher, averageMesher));

        // 2. Calculator

        ext::shared_ptr<FdmInnerValueCalculator> calculator(

                                new FdmLogInnerValue(payoff, mesher, 1));

        // 3. Step conditions

        std::list<ext::shared_ptr<StepCondition<Array> > > stepConditions;

        std::list<std::vector<Time> > stoppingTimes;

        // 3.1 Arithmetic average step conditions

        std::vector<Time> averageTimes;

        for (auto& fixingDate : arguments_.fixingDates) {

            Time t = process_->time(fixingDate);

            QL_REQUIRE(t >= 0, "Fixing dates must not contain past date");

            averageTimes.push_back(t);

        }

        stoppingTimes.emplace_back(averageTimes);

        stepConditions.push_back(ext::shared_ptr<StepCondition<Array> >(

                new FdmArithmeticAverageCondition(

                        averageTimes, arguments_.runningAccumulator,

                        arguments_.pastFixings, mesher, 0)));

        ext::shared_ptr<FdmStepConditionComposite> conditions(

                new FdmStepConditionComposite(stoppingTimes, stepConditions));

        // 4. Boundary conditions

        const FdmBoundaryConditionSet boundaries;

        // 5. Solver

        FdmSolverDesc solverDesc = { mesher, boundaries, conditions,

                                     calculator, maturity, tGrid_, 0 };

        ext::shared_ptr<FdmSimple2dBSSolver> solver(

              new FdmSimple2dBSSolver(

                              Handle<GeneralizedBlackScholesProcess>(process_),

                              payoff->strike(), solverDesc, schemeDesc_));

        results_.value = solver->valueAt(spot, avg);

        results_.delta = solver->deltaAt(spot, avg, spot*0.01);

        results_.gamma = solver->gammaAt(spot, avg, spot*0.01);

    }

}