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

/*

 Copyright (C) 2012, 2013 Grzegorz Andruszkiewicz

 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.

*/

#include <ql/experimental/catbonds/catbond.hpp>

#include <ql/settings.hpp>

#include <ql/experimental/credit/loss.hpp>

#include <ql/time/daycounters/actualactual.hpp>

#include <ql/cashflows/cashflowvectors.hpp>

#include <ql/cashflows/iborcoupon.hpp>

#include <ql/cashflows/couponpricer.hpp>

#include <ql/cashflows/simplecashflow.hpp>

using namespace std;

namespace QuantLib {

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

        Bond::arguments::validate();

        QL_REQUIRE(notionalRisk, "null notionalRisk");

    }

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

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

        QL_REQUIRE(arguments != nullptr, "wrong arguments type");

        Bond::setupArguments(args);

        arguments->notionalRisk = notionalRisk_;

        arguments->startDate = issueDate();

    }

    void CatBond::fetchResults(const PricingEngine::results* r) const {

        Bond::fetchResults(r);

        const auto* results = dynamic_cast<const CatBond::results*>(r);

        QL_ENSURE(results != nullptr, "wrong result type");

        lossProbability_ = results->lossProbability;

        expectedLoss_ = results->expectedLoss;

        exhaustionProbability_ = results->exhaustionProbability;

    }

    FloatingCatBond::FloatingCatBond(Natural settlementDays,

                                     Real faceAmount,

                                     Schedule schedule,

                                     const ext::shared_ptr<IborIndex>& iborIndex,

                                     const DayCounter& paymentDayCounter,

                                     const ext::shared_ptr<NotionalRisk>& notionalRisk,

                                     BusinessDayConvention paymentConvention,

                                     Natural fixingDays,

                                     const std::vector<Real>& gearings,

                                     const std::vector<Spread>& spreads,

                                     const std::vector<Rate>& caps,

                                     const std::vector<Rate>& floors,

                                     bool inArrears,

                                     Real redemption,

                                     const Date& issueDate)

    : CatBond(settlementDays, schedule.calendar(), issueDate, notionalRisk) {

        maturityDate_ = schedule.endDate();

        cashflows_ = IborLeg(std::move(schedule), iborIndex)

            .withNotionals(faceAmount)

            .withPaymentDayCounter(paymentDayCounter)

            .withPaymentAdjustment(paymentConvention)

            .withFixingDays(fixingDays)

            .withGearings(gearings)

            .withSpreads(spreads)

            .withCaps(caps)

            .withFloors(floors)

            .inArrears(inArrears);

        addRedemptionsToCashflows(std::vector<Real>(1, redemption));

        QL_ENSURE(!cashflows().empty(), "bond with no cashflows!");

        QL_ENSURE(redemptions_.size() == 1, "multiple redemptions created");

        registerWith(iborIndex);

    }

Unexecuted instantiation: QuantLib::FloatingCatBond::FloatingCatBond(unsigned int, double, QuantLib::Schedule, boost::shared_ptr<QuantLib::IborIndex> const&, QuantLib::DayCounter const&, boost::shared_ptr<QuantLib::NotionalRisk> const&, QuantLib::BusinessDayConvention, unsigned int, std::__1::vector<double, std::__1::allocator<double> > const&, std::__1::vector<double, std::__1::allocator<double> > const&, std::__1::vector<double, std::__1::allocator<double> > const&, std::__1::vector<double, std::__1::allocator<double> > const&, bool, double, QuantLib::Date const&)

Unexecuted instantiation: QuantLib::FloatingCatBond::FloatingCatBond(unsigned int, double, QuantLib::Schedule, boost::shared_ptr<QuantLib::IborIndex> const&, QuantLib::DayCounter const&, boost::shared_ptr<QuantLib::NotionalRisk> const&, QuantLib::BusinessDayConvention, unsigned int, std::__1::vector<double, std::__1::allocator<double> > const&, std::__1::vector<double, std::__1::allocator<double> > const&, std::__1::vector<double, std::__1::allocator<double> > const&, std::__1::vector<double, std::__1::allocator<double> > const&, bool, double, QuantLib::Date const&)

    FloatingCatBond::FloatingCatBond(Natural settlementDays,

                                     Real faceAmount,

                                     const Date& startDate,

                                     const Date& maturityDate,

                                     Frequency couponFrequency,

                                     const Calendar& calendar,

                                     const ext::shared_ptr<IborIndex>& iborIndex,

                                     const DayCounter& accrualDayCounter,

                                     const ext::shared_ptr<NotionalRisk>& notionalRisk,

                                     BusinessDayConvention accrualConvention,

                                     BusinessDayConvention paymentConvention,

                                     Natural fixingDays,

                                     const std::vector<Real>& gearings,

                                     const std::vector<Spread>& spreads,

                                     const std::vector<Rate>& caps,

                                     const std::vector<Rate>& floors,

                                     bool inArrears,

                                     Real redemption,

                                     const Date& issueDate,

                                     const Date& stubDate,

                                     DateGeneration::Rule rule,

                                     bool endOfMonth)

    : CatBond(settlementDays, calendar, issueDate, notionalRisk) {

        maturityDate_ = maturityDate;

        Date firstDate, nextToLastDate;

        switch (rule) {

          case DateGeneration::Backward:

            firstDate = Date();

            nextToLastDate = stubDate;

            break;

          case DateGeneration::Forward:

            firstDate = stubDate;

            nextToLastDate = Date();

            break;

          case DateGeneration::Zero:

          case DateGeneration::ThirdWednesday:

          case DateGeneration::Twentieth:

          case DateGeneration::TwentiethIMM:

            QL_FAIL("stub date (" << stubDate << ") not allowed with " <<

                    rule << " DateGeneration::Rule");

          default:

            QL_FAIL("unknown DateGeneration::Rule (" << Integer(rule) << ")");

        }

        Schedule schedule(startDate, maturityDate_, Period(couponFrequency),

                          calendar_, accrualConvention, accrualConvention,

                          rule, endOfMonth,

                          firstDate, nextToLastDate);

        cashflows_ = IborLeg(schedule, iborIndex)

            .withNotionals(faceAmount)

            .withPaymentDayCounter(accrualDayCounter)

            .withPaymentAdjustment(paymentConvention)

            .withFixingDays(fixingDays)

            .withGearings(gearings)

            .withSpreads(spreads)

            .withCaps(caps)

            .withFloors(floors)

            .inArrears(inArrears);

        addRedemptionsToCashflows(std::vector<Real>(1, redemption));

        QL_ENSURE(!cashflows().empty(), "bond with no cashflows!");

        QL_ENSURE(redemptions_.size() == 1, "multiple redemptions created");

        registerWith(iborIndex);

    }

Unexecuted instantiation: QuantLib::FloatingCatBond::FloatingCatBond(unsigned int, double, QuantLib::Date const&, QuantLib::Date const&, QuantLib::Frequency, QuantLib::Calendar const&, boost::shared_ptr<QuantLib::IborIndex> const&, QuantLib::DayCounter const&, boost::shared_ptr<QuantLib::NotionalRisk> const&, QuantLib::BusinessDayConvention, QuantLib::BusinessDayConvention, unsigned int, std::__1::vector<double, std::__1::allocator<double> > const&, std::__1::vector<double, std::__1::allocator<double> > const&, std::__1::vector<double, std::__1::allocator<double> > const&, std::__1::vector<double, std::__1::allocator<double> > const&, bool, double, QuantLib::Date const&, QuantLib::Date const&, QuantLib::DateGeneration::Rule, bool)

Unexecuted instantiation: QuantLib::FloatingCatBond::FloatingCatBond(unsigned int, double, QuantLib::Date const&, QuantLib::Date const&, QuantLib::Frequency, QuantLib::Calendar const&, boost::shared_ptr<QuantLib::IborIndex> const&, QuantLib::DayCounter const&, boost::shared_ptr<QuantLib::NotionalRisk> const&, QuantLib::BusinessDayConvention, QuantLib::BusinessDayConvention, unsigned int, std::__1::vector<double, std::__1::allocator<double> > const&, std::__1::vector<double, std::__1::allocator<double> > const&, std::__1::vector<double, std::__1::allocator<double> > const&, std::__1::vector<double, std::__1::allocator<double> > const&, bool, double, QuantLib::Date const&, QuantLib::Date const&, QuantLib::DateGeneration::Rule, bool)

}