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

/*

 Copyright (C) 2021 StatPro Italia srl

 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 basisswapratehelpers.hpp

    \brief ibor-ibor and ois-ibor basis swap rate helpers

*/

#ifndef quantlib_basisswapratehelpers_hpp

#define quantlib_basisswapratehelpers_hpp

#include <ql/termstructures/yield/ratehelpers.hpp>

namespace QuantLib {

    //! Rate helper for bootstrapping over ibor-ibor basis swaps

    /*! The swap is assumed to pay baseIndex + basis and receive

        otherIndex.  The helper can be used to bootstrap the forecast

        curve for baseIndex (in which case you'll have to pass

        bootstrapBaseCurve = true and provide otherIndex with a

        forecast curve) or the forecast curve for otherIndex (in which

        case bootstrapBaseCurve = false and baseIndex will need a

        forecast curve).

        In both cases, an exogenous discount curve is required.

    */

    class IborIborBasisSwapRateHelper : public RelativeDateRateHelper {

      public:

        IborIborBasisSwapRateHelper(const Handle<Quote>& basis,

                                    const Period& tenor,

                                    Natural settlementDays,

                                    Calendar calendar,

                                    BusinessDayConvention convention,

                                    bool endOfMonth,

                                    const ext::shared_ptr<IborIndex>& baseIndex,

                                    const ext::shared_ptr<IborIndex>& otherIndex,

                                    Handle<YieldTermStructure> discountHandle,

                                    bool bootstrapBaseCurve);

        Real impliedQuote() const override;

        void accept(AcyclicVisitor&) override;

        // NOLINTNEXTLINE(cppcoreguidelines-noexcept-swap,performance-noexcept-swap)

        ext::shared_ptr<Swap> swap() const { return swap_; }

      private:

        void initializeDates() override;

        void setTermStructure(YieldTermStructure*) override;

        Period tenor_;

        Natural settlementDays_;

        Calendar calendar_;

        BusinessDayConvention convention_;

        bool endOfMonth_;

        ext::shared_ptr<IborIndex> baseIndex_;

        ext::shared_ptr<IborIndex> otherIndex_;

        Handle<YieldTermStructure> discountHandle_;

        bool bootstrapBaseCurve_;

        ext::shared_ptr<Swap> swap_;

        RelinkableHandle<YieldTermStructure> termStructureHandle_;

    };

    //! Rate helper for bootstrapping over overnight-ibor basis swaps

    /*! The swap is assumed to pay baseIndex + basis and receive

        otherIndex.  This helper can be used to bootstrap the forecast

        curve for otherIndex; baseIndex will need an existing forecast

        curve.  An exogenous discount curve can be passed; if not,

        the overnight-index curve will be used.

    */

    class OvernightIborBasisSwapRateHelper : public RelativeDateRateHelper {

      public:

        OvernightIborBasisSwapRateHelper(const Handle<Quote>& basis,

                                         const Period& tenor,

                                         Natural settlementDays,

                                         Calendar calendar,

                                         BusinessDayConvention convention,

                                         bool endOfMonth,

                                         const ext::shared_ptr<OvernightIndex>& baseIndex,

                                         const ext::shared_ptr<IborIndex>& otherIndex,

                                         Handle<YieldTermStructure> discountHandle = Handle<YieldTermStructure>());

        Real impliedQuote() const override;

        void accept(AcyclicVisitor&) override;

        // NOLINTNEXTLINE(cppcoreguidelines-noexcept-swap,performance-noexcept-swap)

        ext::shared_ptr<Swap> swap() const { return swap_; }

      private:

        void initializeDates() override;

        void setTermStructure(YieldTermStructure*) override;

        Period tenor_;

        Natural settlementDays_;

        Calendar calendar_;

        BusinessDayConvention convention_;

        bool endOfMonth_;

        ext::shared_ptr<OvernightIndex> baseIndex_;

        ext::shared_ptr<IborIndex> otherIndex_;

        Handle<YieldTermStructure> discountHandle_;

        ext::shared_ptr<Swap> swap_;

        RelinkableHandle<YieldTermStructure> termStructureHandle_;

    };

}

#endif