/*

 Copyright (C) 2021 Skandinaviska Enskilda Banken AB (publ)

 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 ql/pricingengines/asian/turnbullwakemanasianengine.hpp

    \brief Turnbull Wakeman moment-matching Asian option Engine

    \ingroup asianengines

*/

#ifndef quantlib_turnbull_wakeman_asian_engine_hpp

#define quantlib_turnbull_wakeman_asian_engine_hpp

#include <ql/instruments/asianoption.hpp>

#include <ql/processes/blackscholesprocess.hpp>

#include <utility>

namespace QuantLib {

    /*! Turnbull Wakeman two moment-matching Asian option Engine

        Analytical pricing based on the two-moment Turnbull-Wakeman

        approximation.

        References: "Commodity Option Pricing", Iain Clark, Wiley, section 2.7.4.

                    "Option Pricing Formulas, Second Edition", E.G. Haug, 2006, pp. 192-202.

                    Some parts of the implementation were modeled after calculations from the

                    CommodityAveragePriceOptionAnalyticalEngine class in Open Source Risk Engine

                    (https://github.com/OpenSourceRisk/Engine).

        \test

        - the correctness of the returned value is tested by reproducing

          results in literature with flat as well as upward and downward

          sloping volatility term structures.

        - the pricing of trades with guaranteed exercise/OTM is also tested.

    */

    class TurnbullWakemanAsianEngine : public DiscreteAveragingAsianOption::engine {

      public:

        explicit TurnbullWakemanAsianEngine(ext::shared_ptr<GeneralizedBlackScholesProcess> process)

        : process_(std::move(process)) {

            registerWith(process_);

        }

        void calculate() const override;

      private:

        ext::shared_ptr<GeneralizedBlackScholesProcess> process_;

    };

}

#endif