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

/*

 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/exercise.hpp>

#include <ql/pricingengines/blackcalculator.hpp>

#include <ql/pricingengines/cliquet/analyticcliquetengine.hpp>

#include <utility>

namespace QuantLib {

    AnalyticCliquetEngine::AnalyticCliquetEngine(

        ext::shared_ptr<GeneralizedBlackScholesProcess> process)

    : process_(std::move(process)) {

        registerWith(process_);

    }

    void AnalyticCliquetEngine::calculate() const {

        QL_REQUIRE(arguments_.accruedCoupon == Null<Real>() &&

                   arguments_.lastFixing == Null<Real>(),

                   "this engine cannot price options already started");

        QL_REQUIRE(arguments_.localCap == Null<Real>() &&

                   arguments_.localFloor == Null<Real>() &&

                   arguments_.globalCap == Null<Real>() &&

                   arguments_.globalFloor == Null<Real>(),

                   "this engine cannot price capped/floored options");

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

                   "not an European option");

        ext::shared_ptr<PercentageStrikePayoff> moneyness =

            ext::dynamic_pointer_cast<PercentageStrikePayoff>(

                                                           arguments_.payoff);

        QL_REQUIRE(moneyness, "wrong payoff given");

        std::vector<Date> resetDates = arguments_.resetDates;

        resetDates.push_back(arguments_.exercise->lastDate());

        Real underlying = process_->stateVariable()->value();

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

        Real strike = underlying * moneyness->strike();

        ext::shared_ptr<StrikedTypePayoff> payoff(

                      new PlainVanillaPayoff(moneyness->optionType(),strike));

        results_.value = 0.0;

        results_.delta = results_.gamma = 0.0;

        results_.theta = 0.0;

        results_.rho = results_.dividendRho = 0.0;

        results_.vega = 0.0;

        for (Size i = 1; i < resetDates.size(); i++) {

            Real weight =

                process_->dividendYield()->discount(resetDates[i-1]);

            DiscountFactor discount =

                process_->riskFreeRate()->discount(resetDates[i]) /

                process_->riskFreeRate()->discount(resetDates[i-1]);

            DiscountFactor qDiscount =

                process_->dividendYield()->discount(resetDates[i]) /

                process_->dividendYield()->discount(resetDates[i-1]);

            Real forward = underlying*qDiscount/discount;

            Real variance =

                process_->blackVolatility()->blackForwardVariance(

                                        resetDates[i-1],resetDates[i],strike);

            BlackCalculator black(payoff, forward, std::sqrt(variance), discount);

            DayCounter rfdc  = process_->riskFreeRate()->dayCounter();

            DayCounter divdc = process_->dividendYield()->dayCounter();

            DayCounter voldc = process_->blackVolatility()->dayCounter();

            results_.value += weight * black.value();

            results_.delta += weight * (black.delta(underlying) +

                                        moneyness->strike() * discount *

                                        black.beta());

            results_.gamma += 0.0;

            results_.theta += process_->dividendYield()->forwardRate(

                resetDates[i-1], resetDates[i], rfdc, Continuous, NoFrequency) *

                weight * black.value();

            Time dt = rfdc.yearFraction(resetDates[i-1],resetDates[i]);

            results_.rho += weight * black.rho(dt);

            Time t = divdc.yearFraction(

                                    process_->dividendYield()->referenceDate(),

                                    resetDates[i-1]);

            dt = divdc.yearFraction(resetDates[i-1],resetDates[i]);

            results_.dividendRho += weight * (black.dividendRho(dt) -

                                              t * black.value());

            dt = voldc.yearFraction(resetDates[i-1], resetDates[i]);

            results_.vega += weight * black.vega(dt);

        }

    }

}