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

/*

 Copyright (C) 2001, 2002, 2003 Sadruddin Rejeb

 Copyright (C) 2004, 2007 StatPro Italia srl

 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/pricingengines/capfloor/discretizedcapfloor.hpp>

namespace QuantLib {

    DiscretizedCapFloor::DiscretizedCapFloor(const CapFloor::arguments& args,

                                             const Date& referenceDate,

                                             const DayCounter& dayCounter)

    : arguments_(args) {

        startTimes_.resize(args.startDates.size());

        for (Size i=0; i<startTimes_.size(); ++i)

            startTimes_[i] = dayCounter.yearFraction(referenceDate,

                                                     args.startDates[i]);

        endTimes_.resize(args.endDates.size());

        for (Size i=0; i<endTimes_.size(); ++i)

            endTimes_[i] = dayCounter.yearFraction(referenceDate,

                                                   args.endDates[i]);

    }

    void DiscretizedCapFloor::reset(Size size) {

        values_ = Array(size, 0.0);

        adjustValues();

    }

    std::vector<Time> DiscretizedCapFloor::mandatoryTimes() const {

        std::vector<Time> times = startTimes_;

        std::copy(endTimes_.begin(), endTimes_.end(),

                  std::back_inserter(times));

        return times;

    }

    void DiscretizedCapFloor::preAdjustValuesImpl() {

        for (Size i=0; i<startTimes_.size(); i++) {

            if (isOnTime(startTimes_[i])) {

                Time end = endTimes_[i];

                Time tenor = arguments_.accrualTimes[i];

                DiscretizedDiscountBond bond;

                bond.initialize(method(), end);

                bond.rollback(time_);

                CapFloor::Type type = arguments_.type;

                Real gearing = arguments_.gearings[i];

                Real nominal = arguments_.nominals[i];

                if ( (type == CapFloor::Cap) ||

                     (type == CapFloor::Collar)) {

                    Real accrual = 1.0 + arguments_.capRates[i]*tenor;

                    Real strike = 1.0/accrual;

                    for (Size j=0; j<values_.size(); j++)

                        values_[j] += nominal*accrual*gearing*

                            std::max<Real>(strike - bond.values()[j], 0.0);

                }

                if ( (type == CapFloor::Floor) ||

                     (type == CapFloor::Collar)) {

                    Real accrual = 1.0 + arguments_.floorRates[i]*tenor;

                    Real strike = 1.0/accrual;

                    Real mult = (type == CapFloor::Floor)?1.0:-1.0;

                    for (Size j=0; j<values_.size(); j++)

                        values_[j] += nominal*accrual*mult*gearing*

                            std::max<Real>(bond.values()[j] - strike, 0.0);

                }

            }

        }

    }

    void DiscretizedCapFloor::postAdjustValuesImpl() {

        for (Size i=0; i<endTimes_.size(); i++) {

            if (isOnTime(endTimes_[i])) {

                if (startTimes_[i] < 0.0) {

                    Real nominal = arguments_.nominals[i];

                    Time accrual = arguments_.accrualTimes[i];

                    Rate fixing = arguments_.forwards[i];

                    Real gearing = arguments_.gearings[i];

                    CapFloor::Type type = arguments_.type;

                    if (type == CapFloor::Cap || type == CapFloor::Collar) {

                        Rate cap = arguments_.capRates[i];

                        Rate capletRate = std::max(fixing-cap, 0.0);

                        values_ += capletRate*accrual*nominal*gearing;

                    }

                    if (type == CapFloor::Floor || type == CapFloor::Collar) {

                        Rate floor = arguments_.floorRates[i];

                        Rate floorletRate = std::max(floor-fixing, 0.0);

                        if (type == CapFloor::Floor)

                            values_ += floorletRate*accrual*nominal*gearing;

                        else

                            values_ -= floorletRate*accrual*nominal*gearing;

                    }

                }

            }

        }

    }

}