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

/*

 Copyright (C) 2010 Master IMAFA - Polytech'Nice Sophia - Université de Nice Sophia Antipolis

 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/exercise.hpp>

#include <ql/pricingengines/exotic/analyticsimplechooserengine.hpp>

#include <ql/instruments/payoffs.hpp>

#include <ql/math/distributions/normaldistribution.hpp>

#include <utility>

namespace QuantLib {

    AnalyticSimpleChooserEngine::AnalyticSimpleChooserEngine(

        ext::shared_ptr<GeneralizedBlackScholesProcess> process)

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

        registerWith(process_);

    }

    void AnalyticSimpleChooserEngine::calculate() const {

        Date today = Settings::instance().evaluationDate();

        DayCounter rfdc  = process_->riskFreeRate()->dayCounter();

        DayCounter divdc = process_->dividendYield()->dayCounter();

        DayCounter voldc = process_->blackVolatility()->dayCounter();

        QL_REQUIRE(rfdc==divdc,

                   "Risk-free rate and dividend yield must"

                   "have the same day counter");

        QL_REQUIRE(rfdc==voldc,

                   "Risk-free rate and volatility must"

                   "have the same day counter");

        Real spot = process_->stateVariable()->value();

        auto payoff = ext::dynamic_pointer_cast<StrikedTypePayoff>(arguments_.payoff);

        QL_REQUIRE(payoff, "non-plain payoff given");

        Real strike = payoff->strike();

        Volatility volatility = process_->blackVolatility()->blackVol(

                                                arguments_.exercise->lastDate(),

                                                strike);

        Date maturity = arguments_.exercise->lastDate();

        Real timeToMaturity = rfdc.yearFraction(today,maturity);

        Real timeToChoosing = rfdc.yearFraction(today,arguments_.choosingDate);

        Rate dividendRate =

            process_->dividendYield()->zeroRate(maturity, divdc,

                                                Continuous, NoFrequency);

        Rate riskFreeRate =

            process_->riskFreeRate()->zeroRate(maturity, rfdc,

                                               Continuous, NoFrequency);

        QL_REQUIRE(spot > 0.0, "negative or null spot value");

        QL_REQUIRE(strike > 0.0, "negative or null strike value");

        QL_REQUIRE(volatility > 0.0,

                   "negative or null volatility");

        QL_REQUIRE(timeToChoosing > 0.0,

                   "choosing date earlier than or equal to evaluation date");

        Real d = (std::log(spot/strike)

            + ((riskFreeRate-dividendRate) + volatility*volatility*0.5)*timeToMaturity)

            /(volatility*std::sqrt(timeToMaturity));

        Real y = (std::log(spot/strike) + (riskFreeRate-dividendRate)*timeToMaturity

            + (volatility*volatility*timeToChoosing/2))

            /(volatility*std::sqrt(timeToChoosing));

        CumulativeNormalDistribution f;

        results_.value = spot*std::exp(-dividendRate*timeToMaturity)*f(d)

            - strike*std::exp(-riskFreeRate*timeToMaturity)

            *f(d-volatility*std::sqrt(timeToMaturity))

            -spot*std::exp(-dividendRate*timeToMaturity)*f(-y)

            +strike*std::exp(-riskFreeRate*timeToMaturity)

            *f(-y+volatility*std::sqrt(timeToChoosing));

     }

}