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

/*

 Copyright (C) 2008 Andreas Gaida

 Copyright (C) 2008, 2009 Ralph Schreyer

 Copyright (C) 2008, 2009 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.

*/

#include <ql/exercise.hpp>

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

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

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

#include <ql/methods/finitedifferences/operators/fdmlinearoplayout.hpp>

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

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

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

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

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

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

#include <ql/processes/blackscholesprocess.hpp>

namespace QuantLib {

    FdBlackScholesVanillaEngine::FdBlackScholesVanillaEngine(

        ext::shared_ptr<GeneralizedBlackScholesProcess> process,

        Size tGrid,

        Size xGrid,

        Size dampingSteps,

        const FdmSchemeDesc& schemeDesc,

        bool localVol,

        Real illegalLocalVolOverwrite,

        CashDividendModel cashDividendModel)

    : process_(std::move(process)), tGrid_(tGrid), xGrid_(xGrid),

      dampingSteps_(dampingSteps), schemeDesc_(schemeDesc), localVol_(localVol),

      illegalLocalVolOverwrite_(illegalLocalVolOverwrite), cashDividendModel_(cashDividendModel) {

        registerWith(process_);

    }

    FdBlackScholesVanillaEngine::FdBlackScholesVanillaEngine(

        ext::shared_ptr<GeneralizedBlackScholesProcess> process,

        DividendSchedule dividends,

        Size tGrid,

        Size xGrid,

        Size dampingSteps,

        const FdmSchemeDesc& schemeDesc,

        bool localVol,

        Real illegalLocalVolOverwrite,

        CashDividendModel cashDividendModel)

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

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

      localVol_(localVol), illegalLocalVolOverwrite_(illegalLocalVolOverwrite),

      cashDividendModel_(cashDividendModel) {

        registerWith(process_);

    }

    FdBlackScholesVanillaEngine::FdBlackScholesVanillaEngine(

        ext::shared_ptr<GeneralizedBlackScholesProcess> process,

        ext::shared_ptr<FdmQuantoHelper> quantoHelper,

        Size tGrid,

        Size xGrid,

        Size dampingSteps,

        const FdmSchemeDesc& schemeDesc,

        bool localVol,

        Real illegalLocalVolOverwrite,

        CashDividendModel cashDividendModel)

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

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

      schemeDesc_(schemeDesc), localVol_(localVol),

      illegalLocalVolOverwrite_(illegalLocalVolOverwrite), quantoHelper_(std::move(quantoHelper)),

      cashDividendModel_(cashDividendModel) {

        registerWith(process_);

        registerWith(quantoHelper_);

    }

    FdBlackScholesVanillaEngine::FdBlackScholesVanillaEngine(

        ext::shared_ptr<GeneralizedBlackScholesProcess> process,

        DividendSchedule dividends,

        ext::shared_ptr<FdmQuantoHelper> quantoHelper,

        Size tGrid,

        Size xGrid,

        Size dampingSteps,

        const FdmSchemeDesc& schemeDesc,

        bool localVol,

        Real illegalLocalVolOverwrite,

        CashDividendModel cashDividendModel)

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

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

      schemeDesc_(schemeDesc), localVol_(localVol),

      illegalLocalVolOverwrite_(illegalLocalVolOverwrite), quantoHelper_(std::move(quantoHelper)),

      cashDividendModel_(cashDividendModel) {

        registerWith(process_);

        registerWith(quantoHelper_);

    }

    void FdBlackScholesVanillaEngine::calculate() const {

        // 0. Cash dividend model

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

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

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

        Real spotAdjustment = 0.0;

        DividendSchedule dividendSchedule = DividendSchedule();

        ext::shared_ptr<EscrowedDividendAdjustment> escrowedDivAdj;

        switch (cashDividendModel_) {

          case Spot:

            dividendSchedule = dividends_;

            break;

          case Escrowed:

            if  (arguments_.exercise->type() != Exercise::European)

                // add dividend dates as stopping times

                for (const auto& cf: dividends_)

                    dividendSchedule.push_back(

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

            QL_REQUIRE(quantoHelper_ == nullptr,

                "Escrowed dividend model is not supported for Quanto-Options");

            escrowedDivAdj = ext::make_shared<EscrowedDividendAdjustment>(

                dividends_,

                process_->riskFreeRate(),

                process_->dividendYield(),

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

                maturity

            );

            spotAdjustment =

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

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

                    "spot minus dividends becomes negative");

            break;

          default:

              QL_FAIL("unknwon cash dividend model");

        }

        // 1. Mesher

        const ext::shared_ptr<StrikedTypePayoff> payoff =

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

        const ext::shared_ptr<Fdm1dMesher> equityMesher =

            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),

                    dividendSchedule, quantoHelper_,

                    spotAdjustment);

        const ext::shared_ptr<FdmMesher> mesher =

            ext::make_shared<FdmMesherComposite>(equityMesher);

        // 2. Calculator

        ext::shared_ptr<FdmInnerValueCalculator> calculator;

        switch (cashDividendModel_) {

          case Spot:

              calculator = ext::make_shared<FdmLogInnerValue>(

                  payoff, mesher, 0);

            break;

          case Escrowed:

              calculator = ext::make_shared<FdmEscrowedLogInnerValueCalculator>(

                  escrowedDivAdj, payoff, mesher, 0);

            break;

          default:

              QL_FAIL("unknwon cash dividend model");

        }

        // 3. Step conditions

        const ext::shared_ptr<FdmStepConditionComposite> conditions = 

            FdmStepConditionComposite::vanillaComposite(

                dividendSchedule, arguments_.exercise, mesher, calculator,

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

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

        // 4. Boundary conditions

        const FdmBoundaryConditionSet boundaries;

        // 5. Solver

        FdmSolverDesc solverDesc = { mesher, boundaries, conditions, calculator,

                                     maturity, tGrid_, dampingSteps_ };

        const ext::shared_ptr<FdmBlackScholesSolver> solver(

            ext::make_shared<FdmBlackScholesSolver>(

                Handle<GeneralizedBlackScholesProcess>(process_),

                payoff->strike(), solverDesc, schemeDesc_,

                localVol_, illegalLocalVolOverwrite_,

                Handle<FdmQuantoHelper>(quantoHelper_)));

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

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

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

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

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

    }

    MakeFdBlackScholesVanillaEngine::MakeFdBlackScholesVanillaEngine(

        ext::shared_ptr<GeneralizedBlackScholesProcess> process)

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

      schemeDesc_(ext::make_shared<FdmSchemeDesc>(FdmSchemeDesc::Douglas())),

      illegalLocalVolOverwrite_(-Null<Real>()) {}

    MakeFdBlackScholesVanillaEngine&

    MakeFdBlackScholesVanillaEngine::withQuantoHelper(

        const ext::shared_ptr<FdmQuantoHelper>& quantoHelper) {

        quantoHelper_ = quantoHelper;

        return *this;

    }

    MakeFdBlackScholesVanillaEngine&

    MakeFdBlackScholesVanillaEngine::withTGrid(Size tGrid) {

        tGrid_ = tGrid;

        return *this;

    }

    MakeFdBlackScholesVanillaEngine&

    MakeFdBlackScholesVanillaEngine::withXGrid(Size xGrid) {

        xGrid_ = xGrid;

        return *this;

    }

    MakeFdBlackScholesVanillaEngine&

    MakeFdBlackScholesVanillaEngine::withDampingSteps(Size dampingSteps) {

        dampingSteps_ = dampingSteps;

        return *this;

    }

    MakeFdBlackScholesVanillaEngine&

    MakeFdBlackScholesVanillaEngine::withFdmSchemeDesc(

        const FdmSchemeDesc& schemeDesc) {

        schemeDesc_ = ext::make_shared<FdmSchemeDesc>(schemeDesc);

        return *this;

    }

    MakeFdBlackScholesVanillaEngine&

    MakeFdBlackScholesVanillaEngine::withLocalVol(bool localVol) {

        localVol_ = localVol;

        return *this;

    }

    MakeFdBlackScholesVanillaEngine&

    MakeFdBlackScholesVanillaEngine::withIllegalLocalVolOverwrite(

        Real illegalLocalVolOverwrite) {

        illegalLocalVolOverwrite_ = illegalLocalVolOverwrite;

        return *this;

    }

    MakeFdBlackScholesVanillaEngine&

    MakeFdBlackScholesVanillaEngine::withCashDividends(

            const std::vector<Date>& dividendDates,

            const std::vector<Real>& dividendAmounts) {

        dividends_ = DividendVector(dividendDates, dividendAmounts);

        return *this;

    }

    MakeFdBlackScholesVanillaEngine&

    MakeFdBlackScholesVanillaEngine::withCashDividendModel(

        FdBlackScholesVanillaEngine::CashDividendModel cashDividendModel) {

        cashDividendModel_ = cashDividendModel;

        return *this;

    }

    MakeFdBlackScholesVanillaEngine::operator

    ext::shared_ptr<PricingEngine>() const {

        return ext::make_shared<FdBlackScholesVanillaEngine>(

                process_,

                dividends_,

                quantoHelper_,

                tGrid_, xGrid_, dampingSteps_,

                *schemeDesc_,

                localVol_,

                illegalLocalVolOverwrite_,

                cashDividendModel_);

    }

}