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

/*

 Copyright (C) 2002, 2003 Sadruddin Rejeb

 Copyright (C) 2004 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/pricingengines/vanilla/discretizedvanillaoption.hpp>

#include <vector>

namespace QuantLib {

    DiscretizedVanillaOption::DiscretizedVanillaOption(

                                         const VanillaOption::arguments& args,

                                         const StochasticProcess& process,

                                         const TimeGrid& grid)

    : arguments_(args) {

        stoppingTimes_.resize(args.exercise->dates().size());

        for (Size i=0; i<stoppingTimes_.size(); ++i) {

            stoppingTimes_[i] =

                process.time(args.exercise->date(i));

            if (!grid.empty()) {

                // adjust to the given grid

                stoppingTimes_[i] = grid.closestTime(stoppingTimes_[i]);

            }

        }

    }

    void DiscretizedVanillaOption::reset(Size size) {

        values_ = Array(size, 0.0);

        adjustValues();

    }

    void DiscretizedVanillaOption::postAdjustValuesImpl() {

        Time now = time();

        switch (arguments_.exercise->type()) {

          case Exercise::American:

            if (now <= stoppingTimes_[1] &&

                now >= stoppingTimes_[0])

                applySpecificCondition();

            break;

          case Exercise::European:

            if (isOnTime(stoppingTimes_[0]))

                applySpecificCondition();

            break;

          case Exercise::Bermudan:

              for (Real stoppingTime : stoppingTimes_) {

                  if (isOnTime(stoppingTime))

                      applySpecificCondition();

              }

            break;

          default:

            QL_FAIL("invalid option type");

        }

    }

    void DiscretizedVanillaOption::applySpecificCondition() {

        Array grid = method()->grid(time());

        for (Size j=0; j<values_.size(); j++) {

            values_[j] = std::max(values_[j],

                                  (*arguments_.payoff)(grid[j]));

        }

    }

}