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

/*

 Copyright (C) 2013 Peter Caspers

 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 gaussian1dcapfloorengine.hpp

    \brief

*/

#ifndef quantlib_pricers_gaussian1d_capfloor_hpp

#define quantlib_pricers_gaussian1d_capfloor_hpp

#include <ql/instruments/capfloor.hpp>

#include <ql/models/shortrate/onefactormodels/gaussian1dmodel.hpp>

#include <ql/pricingengines/genericmodelengine.hpp>

#include <utility>

namespace QuantLib {

    //! Gaussian1d cap/floor engine

    /*! \ingroup capfloorengines

    */

    class Gaussian1dCapFloorEngine

        : public GenericModelEngine<Gaussian1dModel, CapFloor::arguments,

                                    CapFloor::results> {

      public:

        Gaussian1dCapFloorEngine(

            const ext::shared_ptr<Gaussian1dModel>& model,

            const int integrationPoints = 64,

            const Real stddevs = 7.0,

            const bool extrapolatePayoff = true,

            const bool flatPayoffExtrapolation = false,

            Handle<YieldTermStructure> discountCurve = Handle<YieldTermStructure>())

        : GenericModelEngine<Gaussian1dModel, CapFloor::arguments, CapFloor::results>(model),

          integrationPoints_(integrationPoints), stddevs_(stddevs),

          extrapolatePayoff_(extrapolatePayoff), flatPayoffExtrapolation_(flatPayoffExtrapolation),

          discountCurve_(std::move(discountCurve)) {}

        void calculate() const override;

      private:

        const int integrationPoints_;

        const Real stddevs_;

        const bool extrapolatePayoff_, flatPayoffExtrapolation_;

        const Handle<YieldTermStructure> discountCurve_;

    };

}

#endif