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

/*

 Copyright (C) 2012 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 dynprogvppintrinsicvalueengine.cpp

*/

#include <ql/experimental/finitedifferences/dynprogvppintrinsicvalueengine.hpp>

#include <ql/experimental/finitedifferences/fdmvppstepconditionfactory.hpp>

#include <ql/methods/finitedifferences/meshers/fdmmeshercomposite.hpp>

#include <ql/methods/finitedifferences/meshers/uniform1dmesher.hpp>

#include <ql/methods/finitedifferences/operators/fdmlinearoplayout.hpp>

#include <ql/methods/finitedifferences/utilities/fdminnervaluecalculator.hpp>

#include <ql/termstructures/yieldtermstructure.hpp>

#include <utility>

namespace QuantLib {

    namespace {

        class SparkSpreadPrice : public FdmInnerValueCalculator {

          public:

            SparkSpreadPrice(Real heatRate,

                             const std::vector<Real>& fuelPrices,

                             const std::vector<Real>& powerPrices)

            : heatRate_(heatRate),

              fuelPrices_(fuelPrices),

              powerPrices_(powerPrices) {}

            Real innerValue(const FdmLinearOpIterator&, Time t) override {

                Size i = (Size) t;

                QL_REQUIRE(i < powerPrices_.size(), "invalid time");

                return powerPrices_[i] - heatRate_*fuelPrices_[i];

            }

            Real avgInnerValue(const FdmLinearOpIterator& iter, Time t) override {

                return innerValue(iter, t);

            }

          private:

            const Real heatRate_;

            const std::vector<Real>& fuelPrices_;

            const std::vector<Real>& powerPrices_;

        };

        class FuelPrice : public FdmInnerValueCalculator {

          public:

            explicit FuelPrice(const std::vector<Real>& fuelPrices)

            : fuelPrices_(fuelPrices) {}

            Real innerValue(const FdmLinearOpIterator&, Time t) override {

                Size i = (Size) t;

                QL_REQUIRE(i < fuelPrices_.size(), "invalid time");

                return fuelPrices_[(Size) t];

            }

            Real avgInnerValue(const FdmLinearOpIterator& iter, Time t) override {

                return innerValue(iter, t);

            }

          private:

            const std::vector<Real>& fuelPrices_;

        };

    }

    DynProgVPPIntrinsicValueEngine::DynProgVPPIntrinsicValueEngine(

        std::vector<Real> fuelPrices,

        std::vector<Real> powerPrices,

        Real fuelCostAddon,

        ext::shared_ptr<YieldTermStructure> rTS)

    : fuelPrices_(std::move(fuelPrices)), powerPrices_(std::move(powerPrices)),

      fuelCostAddon_(fuelCostAddon), rTS_(std::move(rTS)) {}

    void DynProgVPPIntrinsicValueEngine::calculate() const {

        const ext::shared_ptr<FdmInnerValueCalculator> fuelPrice(

            new FuelPrice(fuelPrices_));

        const ext::shared_ptr<FdmInnerValueCalculator> sparkSpreadPrice(

            new SparkSpreadPrice(arguments_.heatRate,fuelPrices_,powerPrices_));

        const FdmVPPStepConditionFactory stepConditionFactory(arguments_);

        const ext::shared_ptr<FdmMesher> mesher(

            new FdmMesherComposite(stepConditionFactory.stateMesher()));

        const FdmVPPStepConditionMesher mesh = { 0, mesher };

        const ext::shared_ptr<FdmVPPStepCondition> stepCondition(

            stepConditionFactory.build(mesh, fuelCostAddon_,

                                       fuelPrice, sparkSpreadPrice));

        Array state(mesher->layout()->dim()[0], 0.0);

        for (Size j=powerPrices_.size(); j > 0; --j) {

            stepCondition->applyTo(state, (Time) j-1);

        }

        results_.value = stepCondition->maxValue(state);

    }

}