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

/*

 Copyright (C) 2004 Ferdinando Ametrano

 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 americanpayoffatexpiry.hpp

    \brief Analytical formulae for american exercise with payoff at expiry

*/

#ifndef quantlib_americanpayoffatexpiry_h

#define quantlib_americanpayoffatexpiry_h

#include <ql/instruments/payoffs.hpp>

namespace QuantLib {

    //! Analytic formula for American exercise payoff at-expiry options

    /*! \todo calculate greeks */

    class AmericanPayoffAtExpiry {

      public:

        AmericanPayoffAtExpiry(

                          Real spot,

                          DiscountFactor discount,

                          DiscountFactor dividendDiscount,

                          Real variance,

                          const ext::shared_ptr<StrikedTypePayoff>& payoff,

                          bool knock_in = true);

        Real value() const;

      private:

        Real spot_;

        DiscountFactor discount_, dividendDiscount_;

        Real variance_;

        Real forward_;

        Volatility stdDev_;

        Real strike_, K_;

        Real mu_, log_H_S_;

        Real D1_, D2_, cum_d1_, cum_d2_, n_d1_, n_d2_;

        bool inTheMoney_;

        Real Y_, X_;

        bool knock_in_;

    };

    // inline definitions

    inline Real AmericanPayoffAtExpiry::value() const {

        return discount_ * K_ * (X_ * cum_d1_ + Y_ * cum_d2_);

    }

}

#endif