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

/*

 Copyright (C) 2008 Roland Stamm

 Copyright (C) 2009 Jose Aparicio

 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 cdsoption.hpp

    \brief CDS option

*/

#ifndef quantlib_cds_option_hpp

#define quantlib_cds_option_hpp

#include <ql/option.hpp>

#include <ql/instruments/creditdefaultswap.hpp>

namespace QuantLib {

    class Quote;

    class YieldTermStructure;

    //! CDS option

    /*! The side of the swaption is set by choosing the side of the CDS.

        A receiver CDS option is a right to buy an underlying CDS

        selling protection and receiving a coupon. A payer CDS option

        is a right to buy an underlying CDS buying protection and

        paying coupon.

    */

    class CdsOption : public Option {

      public:

        class arguments;

        class results;

        class engine;

        CdsOption(const ext::shared_ptr<CreditDefaultSwap>& swap,

                  const ext::shared_ptr<Exercise>& exercise,

                  bool knocksOut = true);

        //! \name Instrument interface

        //@{

        bool isExpired() const override;

        void setupArguments(PricingEngine::arguments*) const override;

        //@}

        //! \name Inspectors

        //@{

        const ext::shared_ptr<CreditDefaultSwap>& underlyingSwap() const {

            return swap_;

        }

        //@}

        //! \name Calculations

        //@{

        Rate atmRate() const;

        Real riskyAnnuity() const;

        Volatility impliedVolatility(

                              Real price,

                              const Handle<YieldTermStructure>& termStructure,

                              const Handle<DefaultProbabilityTermStructure>&,

                              Real recoveryRate,

                              Real accuracy = 1.e-4,

                              Size maxEvaluations = 100,

                              Volatility minVol = 1.0e-7,

                              Volatility maxVol = 4.0) const;

        //@}

    private:

        ext::shared_ptr<CreditDefaultSwap> swap_;

        bool knocksOut_;

        mutable Real riskyAnnuity_;

        void setupExpired() const override;

        void fetchResults(const PricingEngine::results*) const override;

    };

    //! %Arguments for CDS-option calculation

    class CdsOption::arguments : public CreditDefaultSwap::arguments,

                                 public Option::arguments {

      public:

        arguments() = default;

        ext::shared_ptr<CreditDefaultSwap> swap;

        bool knocksOut;

        void validate() const override;

    };

    //! %Results from CDS-option calculation

    class CdsOption::results : public Option::results {

      public:

        Real riskyAnnuity;

        void reset() override;

    };

    //! base class for swaption engines

    class CdsOption::engine

        : public GenericEngine<CdsOption::arguments, CdsOption::results> {};

}

#endif