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

/*

 Copyright (C) 2016 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/experimental/finitedifferences/fdornsteinuhlenbeckvanillaengine.hpp>

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

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

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

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

#include <ql/methods/finitedifferences/solvers/fdm1dimsolver.hpp>

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

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

#include <ql/processes/ornsteinuhlenbeckprocess.hpp>

#include <ql/termstructures/yieldtermstructure.hpp>

#include <utility>

namespace QuantLib {

    namespace {

        class FdmOUInnerValue : public FdmInnerValueCalculator {

          public:

            FdmOUInnerValue(ext::shared_ptr<Payoff> payoff,

                            ext::shared_ptr<FdmMesher> mesher,

                            Size direction)

            : payoff_(std::move(payoff)), mesher_(std::move(mesher)), direction_(direction) {}

            Real innerValue(const FdmLinearOpIterator& iter, Time) override {

                const Real s = mesher_->location(iter, direction_);

                return (*payoff_)(s);

            }

            Real avgInnerValue(const FdmLinearOpIterator& iter, Time t) override {

                return innerValue(iter, t);

            }

          private:

            const ext::shared_ptr<Payoff> payoff_;

            const ext::shared_ptr<FdmMesher> mesher_;

            const Size direction_;

        };

    }

    FdOrnsteinUhlenbeckVanillaEngine::FdOrnsteinUhlenbeckVanillaEngine(

        ext::shared_ptr<OrnsteinUhlenbeckProcess> process,

        const ext::shared_ptr<YieldTermStructure>& rTS,

        Size tGrid,

        Size xGrid,

        Size dampingSteps,

        Real epsilon,

        const FdmSchemeDesc& schemeDesc)

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

      dampingSteps_(dampingSteps), epsilon_(epsilon), schemeDesc_(schemeDesc) {

        registerWith(process_);

        registerWith(rTS);

    }

    FdOrnsteinUhlenbeckVanillaEngine::FdOrnsteinUhlenbeckVanillaEngine(

        ext::shared_ptr<OrnsteinUhlenbeckProcess> process,

        const ext::shared_ptr<YieldTermStructure>& rTS,

        DividendSchedule dividends,

        Size tGrid,

        Size xGrid,

        Size dampingSteps,

        Real epsilon,

        const FdmSchemeDesc& schemeDesc)

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

      dividends_(std::move(dividends)), tGrid_(tGrid), xGrid_(xGrid),

      dampingSteps_(dampingSteps), epsilon_(epsilon), schemeDesc_(schemeDesc) {

        registerWith(process_);

        registerWith(rTS);

    }

    void FdOrnsteinUhlenbeckVanillaEngine::calculate() const {

        // 1. Mesher

        const ext::shared_ptr<StrikedTypePayoff> payoff =

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

        const DayCounter dc = rTS_->dayCounter();

        const Date referenceDate = rTS_->referenceDate();

        const Time maturity = dc.yearFraction(

            referenceDate, arguments_.exercise->lastDate());

        const ext::shared_ptr<Fdm1dMesher> equityMesher(

            new FdmSimpleProcess1dMesher(

                xGrid_, process_, maturity, 1, epsilon_));

        const ext::shared_ptr<FdmMesher> mesher (

            new FdmMesherComposite(equityMesher));

        // 2. Calculator

        const ext::shared_ptr<FdmInnerValueCalculator> calculator(

            new FdmOUInnerValue(payoff, mesher, 0));

        // 3. Step conditions

        const ext::shared_ptr<FdmStepConditionComposite> conditions =

            FdmStepConditionComposite::vanillaComposite(

                                    dividends_, arguments_.exercise,

                                    mesher, calculator,

                                    referenceDate, dc);

        // 4. Boundary conditions

        const FdmBoundaryConditionSet boundaries;

        // 5. Solver

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

                                     maturity, tGrid_, dampingSteps_ };

        const ext::shared_ptr<FdmOrnsteinUhlenbeckOp> op(

            new FdmOrnsteinUhlenbeckOp(mesher, process_, rTS_, 0));

        const ext::shared_ptr<Fdm1DimSolver> solver(

                new Fdm1DimSolver(solverDesc, schemeDesc_, op));

        const Real spot = process_->x0();

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

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

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

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

    }

}