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

/*

 Copyright (C) 2008 Roland Lichters

 Copyright (C) 2009, 2014 Jose Aparicio

 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.

*/

#ifndef quantlib_midpoint_cdo_engine_hpp

#define quantlib_midpoint_cdo_engine_hpp

#include <ql/qldefines.hpp>

#ifndef QL_PATCH_SOLARIS

#include <ql/experimental/credit/syntheticcdo.hpp>

#    include <utility>

namespace QuantLib {

    class YieldTermStructure;

    //! CDO base engine taking schedule steps

    /* The engine obtains the cdo reference basket from its arguments and it 

    is expecting it to have a default model assigned. 

    */

    /* FIX ME: ASSUMES basket->expectedTrancheLoss(endDate) includes past 

    realized losses (between cdo inception and calculation time) .... what if 

    basket inception is not the same as CDO's ?????

    \todo non tested under realized defaults. JTD metrics might be invalid

    */

    class MidPointCDOEngine : public SyntheticCDO::engine {

    public:

      explicit MidPointCDOEngine(Handle<YieldTermStructure> discountCurve)

      : discountCurve_(std::move(discountCurve)) {}

      void calculate() const override;

    protected:

      Handle<YieldTermStructure> discountCurve_;

    };

}

#endif

#endif