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

/*

 Copyright (C) 2006 Banca Profilo S.p.A.

 Copyright (C) 2006 StatPro Italia srl

 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.

*/

#include <ql/pricingengines/capfloor/mchullwhiteengine.hpp>

#include <utility>

namespace QuantLib::detail {

        HullWhiteCapFloorPricer::HullWhiteCapFloorPricer(const CapFloor::arguments& args,

                                                         ext::shared_ptr<HullWhite> model,

                                                         Time forwardMeasureTime)

        : args_(args), model_(std::move(model)), forwardMeasureTime_(forwardMeasureTime) {

            endDiscount_ =

                model_->termStructure()->discount(forwardMeasureTime_);

            Date referenceDate = model_->termStructure()->referenceDate();

            DayCounter dayCounter = model_->termStructure()->dayCounter();

            startTimes_.resize(args.startDates.size());

            for (Size i=0; i<startTimes_.size(); ++i)

                startTimes_[i] = dayCounter.yearFraction(referenceDate,

                                                         args.startDates[i]);

            endTimes_.resize(args.endDates.size());

            for (Size i=0; i<endTimes_.size(); ++i)

                endTimes_[i] = dayCounter.yearFraction(referenceDate,

                                                       args.endDates[i]);

            fixingTimes_.resize(args.fixingDates.size());

            for (Size i=0; i<fixingTimes_.size(); ++i)

                fixingTimes_[i] = dayCounter.yearFraction(referenceDate,

                                                          args.fixingDates[i]);

        }

        Real HullWhiteCapFloorPricer::operator()(const Path& path) const {

            bool isCap = (args_.type == CapFloor::Cap);

            Real npv = 0.0;

            Time Tb = forwardMeasureTime_;

            Size pastFixings = 0;

            for (Size i = 0; i<fixingTimes_.size(); i++) {

                Time tau = args_.accrualTimes[i];

                Time start = startTimes_[i],

                     end = endTimes_[i],

                     fixing = fixingTimes_[i];

                if (end <= 0.0) {

                    // the fixing is in the past...

                    pastFixings++;

                    // ...and the caplet is expired; nothing more to do.

                } else {

                    Rate ri_1, ri_2, currentLibor;

                    if (fixing <= 0.0) {

                        // current caplet. The fixing is in the past...

                        pastFixings++;

                        // ...so it is determined.

                        currentLibor = args_.forwards[i];

                        // However, the short rate at caplet expiry is not.

                        ri_2 = path[i-pastFixings+2];

                    } else {

                        // future caplet. Everything is to be forecast.

                        // The number of past fixings is used as an offset

                        // to index into the path.

                        ri_1 = path[i-pastFixings+1];

                        ri_2 = path[i-pastFixings+2];

                        DiscountFactor d1 =

                            model_->discountBond(fixing, start, ri_1);

                        DiscountFactor d2 =

                            model_->discountBond(fixing, end, ri_1);

                        currentLibor = (d1/d2-1)/tau;

                    }

                    Real accrualFactor =

                        1.0/model_->discountBond(end, Tb, ri_2);

                    Rate strike = isCap?

                        args_.capRates[i] :

                        args_.floorRates[i];

                    Real payoff = isCap?

                        std::max(currentLibor - strike, 0.0) :

                    std::max(strike - currentLibor, 0.0);

                    npv += payoff * tau * args_.gearings[i] *

                           args_.nominals[i] * accrualFactor;

                }

            }

            npv *= endDiscount_;

            return  npv;

        }

    }