/*

 Copyright (C) 2014 Peter Caspers

 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 cmsspreadcoupon.hpp

    \brief CMS spread coupon

*/

#ifndef quantlib_cmsspread_coupon_hpp

#define quantlib_cmsspread_coupon_hpp

#include <ql/cashflows/capflooredcoupon.hpp>

#include <ql/cashflows/couponpricer.hpp>

#include <ql/cashflows/floatingratecoupon.hpp>

#include <ql/experimental/coupons/swapspreadindex.hpp>

#include <ql/time/schedule.hpp>

#include <utility>

namespace QuantLib {

    class SwapIndex;

    //! CMS spread coupon class

    /*! \warning This class does not perform any date adjustment,

                 i.e., the start and end date passed upon construction

                 should be already rolled to a business day.

    */

    class CmsSpreadCoupon : public FloatingRateCoupon {

      public:

        CmsSpreadCoupon(const Date& paymentDate,

                  Real nominal,

                  const Date& startDate,

                  const Date& endDate,

                  Natural fixingDays,

                  const ext::shared_ptr<SwapSpreadIndex>& index,

                  Real gearing = 1.0,

                  Spread spread = 0.0,

                  const Date& refPeriodStart = Date(),

                  const Date& refPeriodEnd = Date(),

                  const DayCounter& dayCounter = DayCounter(),

                  bool isInArrears = false,

                  const Date& exCouponDate = Date());

        //! \name Inspectors

        //@{

        const ext::shared_ptr<SwapSpreadIndex>& swapSpreadIndex() const {

            return index_;

        }

        //@}

        //! \name Visitability

        //@{

        void accept(AcyclicVisitor&) override;

        //@}

      private:

        ext::shared_ptr<SwapSpreadIndex> index_;

    };

    class CappedFlooredCmsSpreadCoupon : public CappedFlooredCoupon {

      public:

        CappedFlooredCmsSpreadCoupon(

                  const Date& paymentDate,

                  Real nominal,

                  const Date& startDate,

                  const Date& endDate,

                  Natural fixingDays,

                  const ext::shared_ptr<SwapSpreadIndex>& index,

                  Real gearing = 1.0,

                  Spread spread= 0.0,

                  const Rate cap = Null<Rate>(),

                  const Rate floor = Null<Rate>(),

                  const Date& refPeriodStart = Date(),

                  const Date& refPeriodEnd = Date(),

                  const DayCounter& dayCounter = DayCounter(),

                  bool isInArrears = false,

                  const Date& exCouponDate = Date())

        : CappedFlooredCoupon(ext::shared_ptr<FloatingRateCoupon>(new

            CmsSpreadCoupon(paymentDate, nominal, startDate, endDate, fixingDays,

                      index, gearing, spread, refPeriodStart, refPeriodEnd,

                      dayCounter, isInArrears, exCouponDate)), cap, floor) {}

        void accept(AcyclicVisitor& v) override {

            auto* v1 = dynamic_cast<Visitor<CappedFlooredCmsSpreadCoupon>*>(&v);

            if (v1 != nullptr)

                v1->visit(*this);

            else

                CappedFlooredCoupon::accept(v);

        }

    };

    //! helper class building a sequence of capped/floored cms-spread-rate coupons

    class CmsSpreadLeg {

      public:

        CmsSpreadLeg(Schedule schedule, ext::shared_ptr<SwapSpreadIndex> swapSpreadIndex);

        CmsSpreadLeg& withNotionals(Real notional);

        CmsSpreadLeg& withNotionals(const std::vector<Real>& notionals);

        CmsSpreadLeg& withPaymentDayCounter(const DayCounter&);

        CmsSpreadLeg& withPaymentAdjustment(BusinessDayConvention);

        CmsSpreadLeg& withFixingDays(Natural fixingDays);

        CmsSpreadLeg& withFixingDays(const std::vector<Natural>& fixingDays);

        CmsSpreadLeg& withGearings(Real gearing);

        CmsSpreadLeg& withGearings(const std::vector<Real>& gearings);

        CmsSpreadLeg& withSpreads(Spread spread);

        CmsSpreadLeg& withSpreads(const std::vector<Spread>& spreads);

        CmsSpreadLeg& withCaps(Rate cap);

        CmsSpreadLeg& withCaps(const std::vector<Rate>& caps);

        CmsSpreadLeg& withFloors(Rate floor);

        CmsSpreadLeg& withFloors(const std::vector<Rate>& floors);

        CmsSpreadLeg& inArrears(bool flag = true);

        CmsSpreadLeg& withZeroPayments(bool flag = true);

        operator Leg() const;

      private:

        Schedule schedule_;

        ext::shared_ptr<SwapSpreadIndex> swapSpreadIndex_;

        std::vector<Real> notionals_;

        DayCounter paymentDayCounter_;

        BusinessDayConvention paymentAdjustment_ = Following;

        std::vector<Natural> fixingDays_;

        std::vector<Real> gearings_;

        std::vector<Spread> spreads_;

        std::vector<Rate> caps_, floors_;

        bool inArrears_ = false, zeroPayments_ = false;

    };

    //! base pricer for vanilla CMS spread coupons

    class CmsSpreadCouponPricer : public FloatingRateCouponPricer {

      public:

        explicit CmsSpreadCouponPricer(Handle<Quote> correlation = Handle<Quote>())

        : correlation_(std::move(correlation)) {

            registerWith(correlation_);

        }

        Handle<Quote> correlation() const{

            return correlation_;

        }

        void setCorrelation(

                         const Handle<Quote> &correlation = Handle<Quote>()) {

            unregisterWith(correlation_);

            correlation_ = correlation;

            registerWith(correlation_);

            update();

        }

      private:

        Handle<Quote> correlation_;

    };

}

#endif