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

/*

 Copyright (C) 2006 Klaus Spanderen

 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 mcamericanengine.cpp

    \brief Monte Carlo engine for vanilla american options

*/

#include <ql/errors.hpp>

#include <ql/instruments/payoffs.hpp>

#include <ql/pricingengines/vanilla/mcamericanengine.hpp>

#include <utility>

namespace QuantLib {

    AmericanPathPricer::AmericanPathPricer(ext::shared_ptr<Payoff> payoff,

                                           Size polynomialOrder,

                                           LsmBasisSystem::PolynomialType polynomialType)

    : payoff_(std::move(payoff)),

      v_(LsmBasisSystem::pathBasisSystem(polynomialOrder, polynomialType)) {

        QL_REQUIRE(   polynomialType == LsmBasisSystem::Monomial

                   || polynomialType == LsmBasisSystem::Laguerre

                   || polynomialType == LsmBasisSystem::Hermite

                   || polynomialType == LsmBasisSystem::Hyperbolic

                   || polynomialType == LsmBasisSystem::Chebyshev2nd,

                   "insufficient polynomial type");

        // the payoff gives an additional value

        v_.emplace_back([&](Real state){ return this->payoff(state); });

        const ext::shared_ptr<StrikedTypePayoff> strikePayoff

            = ext::dynamic_pointer_cast<StrikedTypePayoff>(payoff_);

        if (strikePayoff != nullptr) {

            scalingValue_/=strikePayoff->strike();

        }

    }

    Real AmericanPathPricer::payoff(Real state) const {

        return (*payoff_)(state/scalingValue_);

    }

    Real AmericanPathPricer::operator()(const Path& path, Size t) const {

        return payoff(state(path, t));

    }

    Real AmericanPathPricer::state(const Path& path, Size t) const {

        // scale values of the underlying

        // to increase numerical stability

        return path[t]*scalingValue_;

    }

    std::vector<std::function<Real(Real)> >

    AmericanPathPricer::basisSystem() const {

        return v_;

    }

}