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

/*

 Copyright (C) 2011 Klaus Spanderen

 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 fdmextoujumpmodelinnervalue.hpp

    \brief inner value calculator for the Ornstein Uhlenbeck

           plus exponential jumps model (Kluge Model)

*/

#ifndef quantlib_fdm_ext_ou_jump_model_inner_value_hpp

#define quantlib_fdm_ext_ou_jump_model_inner_value_hpp

#include <ql/methods/finitedifferences/meshers/fdmmesher.hpp>

#include <ql/methods/finitedifferences/operators/fdmlinearopiterator.hpp>

#include <ql/methods/finitedifferences/utilities/fdminnervaluecalculator.hpp>

#include <ql/payoff.hpp>

#include <utility>

namespace QuantLib {

    class FdmExtOUJumpModelInnerValue : public FdmInnerValueCalculator {

      public:

        typedef std::vector<std::pair<Time, Real> > Shape;

        FdmExtOUJumpModelInnerValue(ext::shared_ptr<Payoff> payoff,

                                    ext::shared_ptr<FdmMesher> mesher,

                                    ext::shared_ptr<Shape> shape = ext::shared_ptr<Shape>())

        : payoff_(std::move(payoff)), mesher_(std::move(mesher)), shape_(std::move(shape)) {}

        Real innerValue(const FdmLinearOpIterator& iter, Time t) override {

            const Real x = mesher_->location(iter, 0);

            const Real y = mesher_->location(iter, 1);

            Real f = 0;

            if (shape_ != nullptr) {

                f = std::lower_bound(shape_->begin(), shape_->end(),

                   std::pair<Time, Real>(t-std::sqrt(QL_EPSILON), 0.0))->second;

            }

            return (*payoff_)(std::exp(f + x + y));

        }

        Real avgInnerValue(const FdmLinearOpIterator& iter, Time t) override {

            return innerValue(iter, t);

        }

      private:

        const ext::shared_ptr<Payoff> payoff_;

        const ext::shared_ptr<FdmMesher> mesher_;

        const ext::shared_ptr<Shape> shape_;

    };

}

#endif