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

/*

 Copyright (C) 2008 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 varianceoption.hpp

    \brief Variance option

*/

#ifndef quantlib_variance_option_hpp

#define quantlib_variance_option_hpp

#include <ql/processes/blackscholesprocess.hpp>

#include <ql/instruments/payoffs.hpp>

#include <ql/option.hpp>

#include <ql/position.hpp>

namespace QuantLib {

    //! Variance option

    /*! \warning This class does not manage seasoned variance options.

        \ingroup instruments

    */

    class VarianceOption : public Instrument {

      public:

        class arguments;

        class results;

        class engine;

        VarianceOption(ext::shared_ptr<Payoff> payoff,

                       Real notional,

                       const Date& startDate,

                       const Date& maturityDate);

        //! \name Instrument interface

        //@{

        bool isExpired() const override;

        //@}

        //! \name Inspectors

        //@{

        Date startDate() const;

        Date maturityDate() const;

        Real notional() const;

        ext::shared_ptr<Payoff> payoff() const;

        //@}

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

      protected:

        // data members

        ext::shared_ptr<Payoff> payoff_;

        Real notional_;

        Date startDate_, maturityDate_;

    };

    //! %Arguments for forward fair-variance calculation

    class VarianceOption::arguments : public virtual PricingEngine::arguments {

      public:

        arguments() : notional(Null<Real>()) {}

        void validate() const override;

        ext::shared_ptr<Payoff> payoff;

        Real notional;

        Date startDate;

        Date maturityDate;

    };

    //! %Results from variance-option calculation

    class VarianceOption::results : public Instrument::results {};

    //! base class for variance-option engines

    class VarianceOption::engine :

        public GenericEngine<VarianceOption::arguments,

                             VarianceOption::results> {};

    // inline definitions

    inline Date VarianceOption::startDate() const {

        return startDate_;

    }

    inline Date VarianceOption::maturityDate() const {

        return maturityDate_;

    }

    inline Real VarianceOption::notional() const {

        return notional_;

    }

    inline ext::shared_ptr<Payoff> VarianceOption::payoff() const {

        return payoff_;

    }

}

#endif