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

/*

 Copyright (C) 2011 Klaus Spanderen

 Copyright (C) 2014 Ralph Schreyer

 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 fdsimpleextoustorageengine.cpp

    \brief Finite Differences extended OU engine for simple storage options

*/

#include <ql/experimental/finitedifferences/fdmexpextouinnervaluecalculator.hpp>

#include <ql/experimental/finitedifferences/fdmsimple2dextousolver.hpp>

#include <ql/experimental/finitedifferences/fdsimpleextoustorageengine.hpp>

#include <ql/experimental/processes/extendedornsteinuhlenbeckprocess.hpp>

#include <ql/math/comparison.hpp>

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

#include <ql/methods/finitedifferences/meshers/fdmsimpleprocess1dmesher.hpp>

#include <ql/methods/finitedifferences/meshers/predefined1dmesher.hpp>

#include <ql/methods/finitedifferences/meshers/uniform1dmesher.hpp>

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

#include <ql/methods/finitedifferences/solvers/fdmbackwardsolver.hpp>

#include <ql/methods/finitedifferences/solvers/fdmsolverdesc.hpp>

#include <ql/methods/finitedifferences/stepconditions/fdmsimplestoragecondition.hpp>

#include <ql/methods/finitedifferences/stepconditions/fdmstepconditioncomposite.hpp>

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

#include <ql/pricingengines/vanilla/fdsimplebsswingengine.hpp>

#include <ql/termstructures/yieldtermstructure.hpp>

#include <utility>

namespace QuantLib {

    namespace {

        class FdmStorageValue : public FdmInnerValueCalculator {

          public:

            explicit FdmStorageValue(ext::shared_ptr<FdmMesher> mesher)

            : mesher_(std::move(mesher)) {}

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

                const Real s = std::exp(mesher_->location(iter, 0));

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

                return s*v;

            }

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

                return innerValue(iter, t);

            }

          private:

            const ext::shared_ptr<FdmMesher> mesher_;

        };

        class LessButNotCloseEnough {

          public:

            bool operator()(Real a, Real b) const {

                return !(close_enough(a, b, 100) || b < a);

            }

        };

    }

    FdSimpleExtOUStorageEngine::FdSimpleExtOUStorageEngine(

        ext::shared_ptr<ExtendedOrnsteinUhlenbeckProcess> process,

        ext::shared_ptr<YieldTermStructure> rTS,

        Size tGrid,

        Size xGrid,

        Size yGrid,

        ext::shared_ptr<Shape> shape,

        const FdmSchemeDesc& schemeDesc)

    : process_(std::move(process)), rTS_(std::move(rTS)), tGrid_(tGrid), xGrid_(xGrid),

      yGrid_(yGrid), shape_(std::move(shape)), schemeDesc_(schemeDesc) {}

    void FdSimpleExtOUStorageEngine::calculate() const {

        // 1. Exercise

        QL_REQUIRE(arguments_.exercise->type() == Exercise::Bermudan,

                   "Bermudan exercise supported only");

        // 2. Mesher

        const Time maturity

            = rTS_->dayCounter().yearFraction(rTS_->referenceDate(),

                                              arguments_.exercise->lastDate());

        const ext::shared_ptr<Fdm1dMesher> xMesher(

                     new FdmSimpleProcess1dMesher(xGrid_, process_, maturity));

        ext::shared_ptr<Fdm1dMesher> storageMesher;

        if(yGrid_ == Null<Size>()){

            //elevator mesher

            std::vector<Real> storageValues(1, arguments_.capacity);

            storageValues.reserve(

                Size(arguments_.capacity/arguments_.changeRate)+1);

            for (Real level=0; level <= arguments_.capacity;

                    level+=arguments_.changeRate) {

                    storageValues.push_back(level);

                    storageValues.push_back(arguments_.capacity - level);

            }

            const std::set<Real, LessButNotCloseEnough>    orderedValues(

                storageValues.begin(), storageValues.end());

            storageValues.assign(orderedValues.begin(), orderedValues.end());

            storageMesher =    ext::shared_ptr<Fdm1dMesher>(

                new Predefined1dMesher(storageValues));

        }

        else {

            // uniform mesher

            storageMesher = ext::shared_ptr<Fdm1dMesher>(

                new Uniform1dMesher(0, arguments_.capacity, yGrid_));

        }

        const ext::shared_ptr<FdmMesher> mesher (

            new FdmMesherComposite(xMesher, storageMesher));

        // 3. Calculator

        ext::shared_ptr<FdmInnerValueCalculator> storageCalculator(

                                                  new FdmStorageValue(mesher));

        // 4. Step conditions

        std::list<ext::shared_ptr<StepCondition<Array> > > stepConditions;

        std::list<std::vector<Time> > stoppingTimes;

        // 4.1 Bermudan step conditions

        std::vector<Time> exerciseTimes;

        for (auto i : arguments_.exercise->dates()) {

            const Time t = rTS_->dayCounter().yearFraction(rTS_->referenceDate(), i);

            QL_REQUIRE(t >= 0, "exercise dates must not contain past date");

            exerciseTimes.push_back(t);

        }

        stoppingTimes.push_back(exerciseTimes);

        ext::shared_ptr<Payoff> payoff(

                                    new PlainVanillaPayoff(Option::Call, 0.0));

        ext::shared_ptr<FdmInnerValueCalculator> underlyingCalculator(

            new FdmExpExtOUInnerValueCalculator(payoff, mesher, shape_));

        stepConditions.push_back(ext::shared_ptr<StepCondition<Array> >(

            new FdmSimpleStorageCondition(exerciseTimes,

                                          mesher, underlyingCalculator,

                                          arguments_.changeRate)));

        ext::shared_ptr<FdmStepConditionComposite> conditions(

                new FdmStepConditionComposite(stoppingTimes, stepConditions));

        // 5. Boundary conditions

        const FdmBoundaryConditionSet boundaries;

        // 6. Solver

        FdmSolverDesc solverDesc = { mesher, boundaries, conditions,

                                     storageCalculator, maturity, tGrid_, 0 };

        ext::shared_ptr<FdmSimple2dExtOUSolver> solver(

                new FdmSimple2dExtOUSolver(

                           Handle<ExtendedOrnsteinUhlenbeckProcess>(process_),

                           rTS_, solverDesc, schemeDesc_));

        const Real x = process_->x0();

        const Real y = arguments_.load;

        results_.value = solver->valueAt(x, y);

    }

}