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

/*

Copyright (C) 2018 Sebastian Schlenkrich

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

<https://www.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 swaptioncfs.hpp

    \brief translate swaption into deterministic fixed and float cash flows

*/

#ifndef quantlib_swaptioncfs_hpp

#define quantlib_swaptioncfs_hpp

#include <ql/instruments/swaption.hpp>

#include <ql/option.hpp>

#include <ql/termstructures/yieldtermstructure.hpp>

#include <ql/time/date.hpp>

namespace QuantLib {

    class IborLegCashFlows {

      protected:

        Date refDate_; // today, base for time calculations w.r.t. Act/365 (Fixed)

        Leg floatLeg_;

        std::vector<Real> floatTimes_;

        std::vector<Real> floatWeights_;

      public:

        const Leg& floatLeg() const { return floatLeg_; }

        const std::vector<Real>& floatTimes() const { return floatTimes_; }

        const std::vector<Real>& floatWeights() const { return floatWeights_; }

        IborLegCashFlows(const Leg& iborLeg,

                         const Handle<YieldTermStructure>& discountCurve,

                         bool contTenorSpread = true);

        IborLegCashFlows() = default;

        ; // allow default constructor which does nothing

    };

    class SwapCashFlows : public IborLegCashFlows {

      protected:

        // resulting cash flows as leg

        Leg fixedLeg_;

        std::vector<Real> fixedTimes_;

        std::vector<Real> fixedWeights_;

        std::vector<Real> annuityWeights_;

      public:

        SwapCashFlows(const ext::shared_ptr<FixedVsFloatingSwap>& swap,

                      const Handle<YieldTermStructure>& discountCurve,

                      bool contTenorSpread = true);

        SwapCashFlows() = default;

        ; // allow default constructor which does nothing

          // inspectors

        const Leg& fixedLeg() const { return fixedLeg_; }

        const std::vector<Real>& fixedTimes() const { return fixedTimes_; }

        const std::vector<Real>& fixedWeights() const { return fixedWeights_; }

        const std::vector<Real>& annuityWeights() const { return annuityWeights_; }

    };

    class SwaptionCashFlows : public SwapCashFlows {

      protected:

        ext::shared_ptr<Swaption> swaption_;

        std::vector<Real> exerciseTimes_;

      public:

        SwaptionCashFlows(const ext::shared_ptr<Swaption>& swaption,

                          const Handle<YieldTermStructure>& discountCurve,

                          bool contTenorSpread = true);

        SwaptionCashFlows() = default;

        ; // allow default constructor which does nothing

        // inspectors

        ext::shared_ptr<Swaption> swaption() const { return swaption_; }

        const std::vector<Real>& exerciseTimes() const { return exerciseTimes_; }

    };

}

#endif