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

/*

 Copyright (C) 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/methods/finitedifferences/meshers/fdmblackscholesmesher.hpp>

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

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

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

#include <ql/methods/finitedifferences/meshers/fdmsimpleprocess1dmesher.hpp>

#include <ql/methods/finitedifferences/meshers/uniform1dmesher.hpp>

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

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

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

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

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

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

#include <utility>

namespace QuantLib {

    FdHestonHullWhiteVanillaEngine::FdHestonHullWhiteVanillaEngine(

        const ext::shared_ptr<HestonModel>& hestonModel,

        ext::shared_ptr<HullWhiteProcess> hwProcess,

        Real corrEquityShortRate,

        Size tGrid,

        Size xGrid,

        Size vGrid,

        Size rGrid,

        Size dampingSteps,

        bool controlVariate,

        const FdmSchemeDesc& schemeDesc)

    : GenericModelEngine<HestonModel,

                         VanillaOption::arguments,

                         VanillaOption::results>(hestonModel),

      hwProcess_(std::move(hwProcess)),

      corrEquityShortRate_(corrEquityShortRate), tGrid_(tGrid),

      xGrid_(xGrid), vGrid_(vGrid), rGrid_(rGrid), dampingSteps_(dampingSteps),

      schemeDesc_(schemeDesc), controlVariate_(controlVariate) {}

    FdHestonHullWhiteVanillaEngine::FdHestonHullWhiteVanillaEngine(

        const ext::shared_ptr<HestonModel>& hestonModel,

        ext::shared_ptr<HullWhiteProcess> hwProcess,

        DividendSchedule dividends,

        Real corrEquityShortRate,

        Size tGrid,

        Size xGrid,

        Size vGrid,

        Size rGrid,

        Size dampingSteps,

        bool controlVariate,

        const FdmSchemeDesc& schemeDesc)

    : GenericModelEngine<HestonModel,

                         VanillaOption::arguments,

                         VanillaOption::results>(hestonModel),

      hwProcess_(std::move(hwProcess)), dividends_(std::move(dividends)),

      corrEquityShortRate_(corrEquityShortRate), tGrid_(tGrid),

      xGrid_(xGrid), vGrid_(vGrid), rGrid_(rGrid), dampingSteps_(dampingSteps),

      schemeDesc_(schemeDesc), controlVariate_(controlVariate) {}

    void FdHestonHullWhiteVanillaEngine::calculate() const {

        // 1. cache lookup for precalculated results

        for (auto& cachedArgs2result : cachedArgs2results_) {

            if (cachedArgs2result.first.exercise->type() == arguments_.exercise->type() &&

                cachedArgs2result.first.exercise->dates() == arguments_.exercise->dates()) {

                ext::shared_ptr<PlainVanillaPayoff> p1 =

                    ext::dynamic_pointer_cast<PlainVanillaPayoff>(

                                                            arguments_.payoff);

                ext::shared_ptr<PlainVanillaPayoff> p2 =

                    ext::dynamic_pointer_cast<PlainVanillaPayoff>(cachedArgs2result.first.payoff);

                if ((p1 != nullptr) && p1->strike() == p2->strike() &&

                    p1->optionType() == p2->optionType()) {

                    QL_REQUIRE(dividends_.empty(),

                               "multiple strikes engine does not work with discrete dividends");

                    results_ = cachedArgs2result.second;

                    return;

                }

            }

        }

        // 2. Mesher

        const ext::shared_ptr<HestonProcess> hestonProcess=model_->process();

        const Time maturity=hestonProcess->time(arguments_.exercise->lastDate());

        // 2.1 The variance mesher

        const Size tGridMin = 5;

        const ext::shared_ptr<FdmHestonVarianceMesher> varianceMesher(

            new FdmHestonVarianceMesher(vGrid_, hestonProcess,

                                        maturity,std::max(tGridMin,tGrid_/50)));

        // 2.2 The equity mesher

        const ext::shared_ptr<StrikedTypePayoff> payoff =

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

        QL_REQUIRE(payoff, "wrong payoff type given");

        ext::shared_ptr<Fdm1dMesher> equityMesher;

        if (strikes_.empty()) {

            equityMesher = ext::shared_ptr<Fdm1dMesher>(

                new FdmBlackScholesMesher(

                    xGrid_, 

                    FdmBlackScholesMesher::processHelper(

                      hestonProcess->s0(), hestonProcess->dividendYield(), 

                      hestonProcess->riskFreeRate(), 

                      varianceMesher->volaEstimate()),

                      maturity, payoff->strike(),

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

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

                      dividends_));

        }

        else {

            QL_REQUIRE(dividends_.empty(),

                       "multiple strikes engine does not work with discrete dividends");

            equityMesher = ext::shared_ptr<Fdm1dMesher>(

                new FdmBlackScholesMultiStrikeMesher(

                    xGrid_,

                    FdmBlackScholesMesher::processHelper(

                      hestonProcess->s0(), hestonProcess->dividendYield(), 

                      hestonProcess->riskFreeRate(), 

                      varianceMesher->volaEstimate()),

                    maturity, strikes_, 0.0001, 1.5,

                    std::pair<Real, Real>(payoff->strike(), 0.075)));            

        }

        //2.3 The short rate mesher        

        const ext::shared_ptr<OrnsteinUhlenbeckProcess> ouProcess(

            new OrnsteinUhlenbeckProcess(hwProcess_->a(),hwProcess_->sigma()));

        const ext::shared_ptr<Fdm1dMesher> shortRateMesher(

                   new FdmSimpleProcess1dMesher(rGrid_, ouProcess, maturity));

        const ext::shared_ptr<FdmMesher> mesher(

            new FdmMesherComposite(equityMesher, varianceMesher,

                                   shortRateMesher));

        // 3. Calculator

        const ext::shared_ptr<FdmInnerValueCalculator> calculator(

                            new FdmLogInnerValue(arguments_.payoff, mesher, 0));

        // 4. Step conditions

        const ext::shared_ptr<FdmStepConditionComposite> conditions = 

            FdmStepConditionComposite::vanillaComposite(

                                dividends_, arguments_.exercise, 

                                mesher, calculator, 

                                hestonProcess->riskFreeRate()->referenceDate(),

                                hestonProcess->riskFreeRate()->dayCounter());

        // 5. Boundary conditions

        const FdmBoundaryConditionSet boundaries;

        // 6. Solver

        const FdmSolverDesc solverDesc = { mesher, boundaries, conditions,

                                           calculator, maturity,

                                           tGrid_, dampingSteps_ };

        const ext::shared_ptr<FdmHestonHullWhiteSolver> solver(

            new FdmHestonHullWhiteSolver(Handle<HestonProcess>(hestonProcess),

                                         Handle<HullWhiteProcess>(hwProcess_),

                                         corrEquityShortRate_,

                                         solverDesc, schemeDesc_));

        const Real spot = hestonProcess->s0()->value();

        const Real v0   = hestonProcess->v0();

        results_.value = solver->valueAt(spot, v0, 0);

        results_.delta = solver->deltaAt(spot, v0, 0, spot*0.01);

        results_.gamma = solver->gammaAt(spot, v0, 0, spot*0.01);

        results_.theta = solver->thetaAt(spot, v0, 0);

        cachedArgs2results_.resize(strikes_.size());        

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

            cachedArgs2results_[i].first.exercise = arguments_.exercise;

            cachedArgs2results_[i].first.payoff = 

                ext::make_shared<PlainVanillaPayoff>(

                    payoff->optionType(), strikes_[i]);

            const Real d = payoff->strike()/strikes_[i];

            VanillaOption::results& results = cachedArgs2results_[i].second;

            results.value = solver->valueAt(spot*d, v0, 0)/d;

            results.delta = solver->deltaAt(spot*d, v0, 0, spot*d*0.01);

            results.gamma = solver->gammaAt(spot*d, v0, 0, spot*d*0.01)*d;

            results.theta = solver->thetaAt(spot*d, v0, 0)/d;

        }

        if (controlVariate_) {

            ext::shared_ptr<PricingEngine> analyticEngine(

                                       new AnalyticHestonEngine(*model_, 164));

            ext::shared_ptr<Exercise> exercise(

                        new EuropeanExercise(arguments_.exercise->lastDate()));

            VanillaOption option(payoff, exercise);

            option.setPricingEngine(analyticEngine);

            Real analyticNPV = option.NPV();

            ext::shared_ptr<FdHestonVanillaEngine> fdEngine(

                    new FdHestonVanillaEngine(*model_, tGrid_, xGrid_,

                                              vGrid_, dampingSteps_, 

                                              schemeDesc_));

            fdEngine->enableMultipleStrikesCaching(strikes_);

            option.setPricingEngine(fdEngine);

            Real fdNPV = option.NPV();

            results_.value += analyticNPV - fdNPV;

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

                VanillaOption controlVariateOption(

                    ext::shared_ptr<StrikedTypePayoff>(

                        new PlainVanillaPayoff(payoff->optionType(), 

                                               strikes_[i])), exercise);

                controlVariateOption.setPricingEngine(analyticEngine);

                analyticNPV = controlVariateOption.NPV();

                controlVariateOption.setPricingEngine(fdEngine);

                fdNPV = controlVariateOption.NPV();

                cachedArgs2results_[i].second.value += analyticNPV - fdNPV;

            }

        }

    }

    void FdHestonHullWhiteVanillaEngine::update() {

        cachedArgs2results_.clear();

        GenericModelEngine<HestonModel,

                           VanillaOption::arguments,

                           VanillaOption::results>::update();

    }

    void FdHestonHullWhiteVanillaEngine::enableMultipleStrikesCaching(

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

        strikes_ = strikes;

        update();

    }

}