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

/*

 Copyright (C) 2006 Warren Chou

 Copyright (C) 2007 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.

*/

#include <ql/exercise.hpp>

#include <ql/pricingengines/lookback/analyticcontinuousfixedlookback.hpp>

#include <utility>

namespace QuantLib {

    AnalyticContinuousFixedLookbackEngine::AnalyticContinuousFixedLookbackEngine(

        ext::shared_ptr<GeneralizedBlackScholesProcess> process)

    : process_(std::move(process)) {

        registerWith(process_);

    }

    void AnalyticContinuousFixedLookbackEngine::calculate() const {

        ext::shared_ptr<PlainVanillaPayoff> payoff =

            ext::dynamic_pointer_cast<PlainVanillaPayoff>(arguments_.payoff);

        QL_REQUIRE(payoff, "Non-plain payoff given");

        QL_REQUIRE(process_->x0() > 0.0, "negative or null underlying");

        Real strike = payoff->strike();

        switch (payoff->optionType()) {

          case Option::Call:

            QL_REQUIRE(payoff->strike()>=0.0,

                       "Strike must be positive or null");

            if (strike <= minmax())

                results_.value = A(1) + C(1);

            else

                results_.value = B(1);

            break;

          case Option::Put:

            QL_REQUIRE(payoff->strike()>0.0,

                       "Strike must be positive");

            if (strike >= minmax())

                results_.value = A(-1) + C(-1);

            else

                results_.value = B(-1);

            break;

          default:

            QL_FAIL("Unknown type");

        }

    }

    Real AnalyticContinuousFixedLookbackEngine::underlying() const {

        return process_->x0();

    }

    Real AnalyticContinuousFixedLookbackEngine::strike() const {

        ext::shared_ptr<PlainVanillaPayoff> payoff =

            ext::dynamic_pointer_cast<PlainVanillaPayoff>(arguments_.payoff);

        QL_REQUIRE(payoff, "Non-plain payoff given");

        return payoff->strike();

    }

    Time AnalyticContinuousFixedLookbackEngine::residualTime() const {

        return process_->time(arguments_.exercise->lastDate());

    }

    Volatility AnalyticContinuousFixedLookbackEngine::volatility() const {

        return process_->blackVolatility()->blackVol(residualTime(), strike());

    }

    Real AnalyticContinuousFixedLookbackEngine::stdDeviation() const {

        return volatility() * std::sqrt(residualTime());

    }

    Rate AnalyticContinuousFixedLookbackEngine::riskFreeRate() const {

        return process_->riskFreeRate()->zeroRate(residualTime(), Continuous,

                                                  NoFrequency);

    }

    DiscountFactor AnalyticContinuousFixedLookbackEngine::riskFreeDiscount()

                              const {

        return process_->riskFreeRate()->discount(residualTime());

    }

    Rate AnalyticContinuousFixedLookbackEngine::dividendYield() const {

        return process_->dividendYield()->zeroRate(residualTime(),

                                                   Continuous, NoFrequency);

    }

    DiscountFactor AnalyticContinuousFixedLookbackEngine::dividendDiscount()

                              const {

        return process_->dividendYield()->discount(residualTime());

    }

    Real AnalyticContinuousFixedLookbackEngine::minmax() const {

        return arguments_.minmax;

    }

    Real AnalyticContinuousFixedLookbackEngine::A(Real eta) const {

        Volatility vol = volatility();

        Real lambda = 2.0*(riskFreeRate() - dividendYield())/(vol*vol);

        Real ss = underlying()/minmax();

        Real d1 =

            std::log(ss)/stdDeviation() + 0.5*(lambda+1.0)*stdDeviation();

        Real N1 = f_(eta*d1);

        Real N2 = f_(eta*(d1-stdDeviation()));

        Real N3 = f_(eta*(d1-lambda*stdDeviation()));

        Real N4 = f_(eta*d1);

        Real powss = std::pow(ss, -lambda);

        return eta*(underlying() * dividendDiscount() * N1 -

                    minmax() * riskFreeDiscount() * N2 -

                    underlying() * riskFreeDiscount() *

                    (powss * N3 - dividendDiscount()* N4/riskFreeDiscount())/

            lambda);

    }

    Real AnalyticContinuousFixedLookbackEngine::B(Real eta) const {

        Volatility vol = volatility();

        Real lambda = 2.0*(riskFreeRate() - dividendYield())/(vol*vol);

        Real ss = underlying()/strike();

        Real d1 =

            std::log(ss)/stdDeviation() + 0.5*(lambda+1.0)*stdDeviation();

        Real N1 = f_(eta*d1);

        Real N2 = f_(eta*(d1-stdDeviation()));

        Real N3 = f_(eta*(d1-lambda*stdDeviation()));

        Real N4 = f_(eta*d1);

        Real powss = std::pow(ss, -lambda);

        return eta*(underlying() * dividendDiscount() * N1 -

                    strike() * riskFreeDiscount() * N2 -

                    underlying() * riskFreeDiscount() *

                    (powss * N3 - dividendDiscount()* N4/riskFreeDiscount())/

            lambda);

    }

    Real AnalyticContinuousFixedLookbackEngine::C(Real eta) const {

        return eta*(riskFreeDiscount()*(minmax() - strike()));

    }

}