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

/*

 Copyright (C) 2008 Roland Lichters

 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 randomdefaultmodel.hpp

    \brief Random default-time scenarios for a pool of credit names

*/

#ifndef quantlib_random_default_model_hpp

#define quantlib_random_default_model_hpp

#include <ql/math/randomnumbers/rngtraits.hpp>

#include <ql/experimental/credit/pool.hpp>

#include <ql/experimental/credit/onefactorcopula.hpp>

#include <ql/experimental/credit/defaultprobabilitykey.hpp>

namespace QuantLib {

    //! Base class for random default models

    /*! Provides sequences of random default times for each name in the pool. */

    class RandomDefaultModel : public Observer, public Observable {

    public:

      RandomDefaultModel(const ext::shared_ptr<Pool>& pool,

                         const std::vector<DefaultProbKey>& defaultKeys)

      : pool_(pool), defaultKeys_(defaultKeys) {

          // assuming none defaulted this is true.

          QL_REQUIRE(defaultKeys.size() == pool->size(), "Incompatible pool and keys sizes.");

        }

        ~RandomDefaultModel() override = default;

        void update() override { notifyObservers(); }

        /*!

          Generate a sequence of random default times, one for each name in the

          pool, and store the result in the Pool using method setTime(name).

          tmax denotes the maximum relevant time- default times > tmax are not

          computed but set to tmax + 1 instead to save coputation time.

         */

        virtual void nextSequence(Real tmax = QL_MAX_REAL) = 0;

        virtual void reset() = 0;

    protected:

        ext::shared_ptr<Pool> pool_;

        std::vector<DefaultProbKey> defaultKeys_;

    };

    /*!

      Random default times using a one-factor Gaussian copula.

    */

    class GaussianRandomDefaultModel : public RandomDefaultModel {

    public:

      GaussianRandomDefaultModel(const ext::shared_ptr<Pool>& pool,

                                 const std::vector<DefaultProbKey>& defaultKeys,

                                 const Handle<OneFactorCopula>& copula,

                                 Real accuracy,

                                 long seed);

      void nextSequence(Real tmax = QL_MAX_REAL) override;

      void reset() override;

    private:

        Handle<OneFactorCopula> copula_;

        Real accuracy_;

        long seed_;

        PseudoRandom::rsg_type rsg_;

    };

}

#endif