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

/*

 Copyright (C) 2021 Klaus Spanderen

 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 fdblackscholesshoutengine.cpp

*/

#include <ql/exercise.hpp>

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

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

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

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

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

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

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

#include <ql/processes/blackscholesprocess.hpp>

namespace QuantLib {

    FdBlackScholesShoutEngine::FdBlackScholesShoutEngine(

        ext::shared_ptr<GeneralizedBlackScholesProcess> process,

        Size tGrid,

        Size xGrid,

        Size dampingSteps,

        const FdmSchemeDesc& schemeDesc)

    : process_(std::move(process)),

      tGrid_(tGrid), xGrid_(xGrid), dampingSteps_(dampingSteps),

      schemeDesc_(schemeDesc) {

        registerWith(process_);

    }

    FdBlackScholesShoutEngine::FdBlackScholesShoutEngine(

        ext::shared_ptr<GeneralizedBlackScholesProcess> process,

        DividendSchedule dividends,

        Size tGrid,

        Size xGrid,

        Size dampingSteps,

        const FdmSchemeDesc& schemeDesc)

    : process_(std::move(process)), dividends_(std::move(dividends)),

      tGrid_(tGrid), xGrid_(xGrid), dampingSteps_(dampingSteps),

      schemeDesc_(schemeDesc) {

        registerWith(process_);

    }

    void FdBlackScholesShoutEngine::calculate() const {

        const Date exerciseDate = arguments_.exercise->lastDate();

        const Time maturity = process_->time(exerciseDate);

        const Date settlementDate = process_->riskFreeRate()->referenceDate();

        const auto escrowedDividendAdj =

            ext::make_shared<EscrowedDividendAdjustment>(

                dividends_,

                process_->riskFreeRate(),

                process_->dividendYield(),

                [&](Date d){ return process_->time(d); },

                maturity);

        const Real divAdj = escrowedDividendAdj

            ->dividendAdjustment(process_->time(settlementDate));

        QL_REQUIRE(process_->x0() + divAdj > 0.0,

                            "spot minus dividends becomes negative");

        const auto payoff =

            ext::dynamic_pointer_cast<PlainVanillaPayoff>(arguments_.payoff);

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

        const DividendSchedule emptyDividendSchedule;

        const auto mesher = ext::make_shared<FdmMesherComposite>(

            ext::make_shared<FdmBlackScholesMesher>(

                xGrid_, process_, maturity, payoff->strike(),

                Null<Real>(), Null<Real>(), 0.0001, 1.5,

                std::pair<Real, Real>(payoff->strike(), 0.1),

                emptyDividendSchedule,

                ext::shared_ptr<FdmQuantoHelper>(),

                divAdj));

        const auto innerValuecalculator =

            ext::make_shared<FdmShoutLogInnerValueCalculator>(

                process_->blackVolatility(),

                escrowedDividendAdj, maturity, payoff, mesher, 0);

        DividendSchedule zeroDividendSchedule = DividendSchedule();

        for (const auto& cf: dividends_)

            zeroDividendSchedule.push_back(

                ext::make_shared<FixedDividend>(0.0, cf->date()));

        const auto conditions =

            FdmStepConditionComposite::vanillaComposite(

                zeroDividendSchedule,

                arguments_.exercise, mesher,

                innerValuecalculator,

                process_->riskFreeRate()->referenceDate(),

                process_->riskFreeRate()->dayCounter());

        const FdmSolverDesc solverDesc = {

            mesher, FdmBoundaryConditionSet(),

            conditions, innerValuecalculator,

            maturity, tGrid_, dampingSteps_ };

        const auto solver =

            ext::make_shared<FdmBlackScholesSolver>(

                Handle<GeneralizedBlackScholesProcess>(process_),

                payoff->strike(), solverDesc, schemeDesc_);

        const Real spot = process_->x0() + divAdj;

        results_.value = solver->valueAt(spot);

        results_.delta = solver->deltaAt(spot);

        results_.gamma = solver->gammaAt(spot);

        results_.theta = solver->thetaAt(spot);

    }

}