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

/*

 Copyright (C) 2023 Marcin Rybacki

 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 equityindex.hpp

    \brief base class for equity indexes

*/

#ifndef quantlib_equityindex_hpp

#define quantlib_equityindex_hpp

#include <ql/index.hpp>

#include <ql/time/calendar.hpp>

#include <ql/currency.hpp>

#include <ql/termstructures/yieldtermstructure.hpp>

namespace QuantLib {

    //! Base class for equity indexes

    /*! The equity index object allows to retrieve past fixings,

        as well as project future fixings using either both

        the risk free interest rate term structure and the dividend

        term structure, or just the interest rate term structure

        in which case one can provide a term structure of equity

        forwards implied from, e.g. option prices.

        In case of the first method, the forward is calculated as:

        \f[

        I(t, T) = I(t, t) \frac{P_{D}(t, T)}{P_{R}(t, T)},

        \f]

        where \f$ I(t, t) \f$ is today's value of the index,

        \f$ P_{D}(t, T) \f$ is a discount factor of the dividend

        curve at future time \f$ T \f$, and \f$ P_{R}(t, T) \f$ is

        a discount factor of the risk free curve at future time

        \f$ T \f$.

        In case of the latter method, the forward is calculated as:

        \f[

        I(t, T) = I(t, t) \frac{1}{P_{F}(t, T)},

        \f]

        where \f$ P_{F}(t, T) \f$ is a discount factor of the equity

        forward term structure.

        To forecast future fixings, the user can either provide a

        handle to the current index spot. If spot handle is empty,

        today's fixing will be used, instead.

    */

    class EquityIndex : public Index {

      public:

        EquityIndex(std::string name,

                    Calendar fixingCalendar,

                    Currency currency,

                    Handle<YieldTermStructure> interest = {},

                    Handle<YieldTermStructure> dividend = {},

                    Handle<Quote> spot = {});

        /*! \deprecated Use the constructor taking a currency.

                        Deprecated in version 1.36.

        */

        [[deprecated("Use the constructor taking a currency")]]

        EquityIndex(std::string name,

                    Calendar fixingCalendar,

                    Handle<YieldTermStructure> interest = {},

                    Handle<YieldTermStructure> dividend = {},

                    Handle<Quote> spot = {});

        //! \name Index interface

        //@{

        std::string name() const override { return name_; }

        Calendar fixingCalendar() const override { return fixingCalendar_; }

        bool isValidFixingDate(const Date& fixingDate) const override;

        Real fixing(const Date& fixingDate, bool forecastTodaysFixing = false) const override;

        //@}

        //! \name Inspectors

        //@{

        //! The index currency

        Currency currency() const { return currency_; }

        //! the rate curve used to forecast fixings

        Handle<YieldTermStructure> equityInterestRateCurve() const { return interest_; }

        //! the dividend curve used to forecast fixings

        Handle<YieldTermStructure> equityDividendCurve() const { return dividend_; }

        //! index spot value

        Handle<Quote> spot() const { return spot_; }

        //@}

        //! \name Fixing calculations

        //@{

        //! It can be overridden to implement particular conventions

        virtual Real forecastFixing(const Date& fixingDate) const;

        // @}

        //! \name Other methods

        //@{

        //! returns a copy of itself linked to different interest, dividend curves

        //! or spot quote

        virtual ext::shared_ptr<EquityIndex> clone(const Handle<YieldTermStructure>& interest,

                                                   const Handle<YieldTermStructure>& dividend,

                                                   const Handle<Quote>& spot) const;

        // @}

      private:

        std::string name_;

        Calendar fixingCalendar_;

        Currency currency_;

        Handle<YieldTermStructure> interest_;

        Handle<YieldTermStructure> dividend_;

        Handle<Quote> spot_;

    };

    inline bool EquityIndex::isValidFixingDate(const Date& d) const {

        return fixingCalendar().isBusinessDay(d);

    }

}

#endif