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

/*

 Copyright (C) 2015 Thema Consulting SA

 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/exercise.hpp>

#include <ql/instruments/doublebarrieroption.hpp>

#include <ql/instruments/impliedvolatility.hpp>

#include <ql/pricingengines/barrier/analyticdoublebarrierengine.hpp>

#include <memory>

namespace QuantLib {

    DoubleBarrierOption::DoubleBarrierOption(

        DoubleBarrier::Type barrierType,

        Real barrier_lo,

        Real barrier_hi,

        Real rebate,

        const ext::shared_ptr<StrikedTypePayoff>& payoff,

        const ext::shared_ptr<Exercise>& exercise)

    : OneAssetOption(payoff, exercise),

      barrierType_(barrierType), barrier_lo_(barrier_lo), 

      barrier_hi_(barrier_hi), rebate_(rebate) {}

Unexecuted instantiation: QuantLib::DoubleBarrierOption::DoubleBarrierOption(QuantLib::DoubleBarrier::Type, double, double, double, boost::shared_ptr<QuantLib::StrikedTypePayoff> const&, boost::shared_ptr<QuantLib::Exercise> const&)

Unexecuted instantiation: QuantLib::DoubleBarrierOption::DoubleBarrierOption(QuantLib::DoubleBarrier::Type, double, double, double, boost::shared_ptr<QuantLib::StrikedTypePayoff> const&, boost::shared_ptr<QuantLib::Exercise> const&)

    void DoubleBarrierOption::setupArguments(PricingEngine::arguments* args) const {

        OneAssetOption::setupArguments(args);

        auto* moreArgs = dynamic_cast<DoubleBarrierOption::arguments*>(args);

        QL_REQUIRE(moreArgs != nullptr, "wrong argument type");

        moreArgs->barrierType = barrierType_;

        moreArgs->barrier_lo = barrier_lo_;

        moreArgs->barrier_hi = barrier_hi_;

        moreArgs->rebate = rebate_;

    }

    Volatility DoubleBarrierOption::impliedVolatility(

             Real targetValue,

             const ext::shared_ptr<GeneralizedBlackScholesProcess>& process,

             Real accuracy,

             Size maxEvaluations,

             Volatility minVol,

             Volatility maxVol) const {

        QL_REQUIRE(!isExpired(), "option expired");

        ext::shared_ptr<SimpleQuote> volQuote(new SimpleQuote);

        ext::shared_ptr<GeneralizedBlackScholesProcess> newProcess =

            detail::ImpliedVolatilityHelper::clone(process, volQuote);

        // engines are built-in for the time being

        std::unique_ptr<PricingEngine> engine;

        switch (exercise_->type()) {

          case Exercise::European:

              engine = std::make_unique<AnalyticDoubleBarrierEngine>(newProcess);

              break;

          case Exercise::American:

          case Exercise::Bermudan:

            QL_FAIL("engine not available for non-European barrier option");

            break;

          default:

            QL_FAIL("unknown exercise type");

        }

        return detail::ImpliedVolatilityHelper::calculate(*this,

                                                          *engine,

                                                          *volQuote,

                                                          targetValue,

                                                          accuracy,

                                                          maxEvaluations,

                                                          minVol, maxVol);

    }

    DoubleBarrierOption::arguments::arguments()

    : barrierType(DoubleBarrier::Type(-1)), barrier_lo(Null<Real>()),

      barrier_hi(Null<Real>()), rebate(Null<Real>()) {}

Unexecuted instantiation: QuantLib::DoubleBarrierOption::arguments::arguments()

Unexecuted instantiation: QuantLib::DoubleBarrierOption::arguments::arguments()

    void DoubleBarrierOption::arguments::validate() const {

        OneAssetOption::arguments::validate();

        QL_REQUIRE(barrierType == DoubleBarrier::KnockIn ||

                   barrierType == DoubleBarrier::KnockOut ||

                   barrierType == DoubleBarrier::KIKO ||

                   barrierType == DoubleBarrier::KOKI,

                   "Invalid barrier type");

        QL_REQUIRE(barrier_lo != Null<Real>(), "no low barrier given");

        QL_REQUIRE(barrier_hi != Null<Real>(), "no high barrier given");

        QL_REQUIRE(rebate != Null<Real>(), "no rebate given");

    }

    bool DoubleBarrierOption::engine::triggered(Real underlying) const {

        return underlying <= arguments_.barrier_lo || underlying >= arguments_.barrier_hi;

    }

}