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

/*

 Copyright (C) 2008 Master IMAFA - Polytech'Nice Sophia - Université de Nice Sophia Antipolis

 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/experimental/exoticoptions/mchimalayaengine.hpp>

#include <ql/payoff.hpp>

#include <utility>

namespace QuantLib {

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

                                                     DiscountFactor discount)

    : payoff_(std::move(payoff)), discount_(discount) {}

    Real HimalayaMultiPathPricer::operator()(const MultiPath& multiPath)

                                                                      const {

        Size numAssets = multiPath.assetNumber();

        Size numNodes = multiPath.pathSize();

        QL_REQUIRE(numAssets > 0, "no asset given");

        std::vector<bool> remainingAssets(numAssets, true);

        Real averagePrice = 0.0;

        Size fixings = numNodes-1;

        for (Size i = 1; i < numNodes; i++) {

            Real bestPrice = 0.0;

            Real bestYield = QL_MIN_REAL;

            // dummy assignement to avoid compiler warning

            Size removeAsset = 0;

            for (Size j = 0; j < numAssets; j++) {

                if (remainingAssets[j]) {

                    Real price = multiPath[j][i];

                    Real yield = price/multiPath[j].front();

                    if (yield >= bestYield) {

                        bestPrice = price;

                        bestYield = yield;

                        removeAsset = j;

                    }

                }

            }

            remainingAssets[removeAsset] = false;

            averagePrice += bestPrice;

        }

        averagePrice /= std::min(fixings, numAssets);

        Real payoff = (*payoff_)(averagePrice);

        return payoff * discount_;

    }

}