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

/*

 Copyright (C) 2011 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 fdsimpleklugeouvppengine.cpp

    \brief Finite Differences engine for simple vpp options

*/

#include <ql/experimental/finitedifferences/fdmexpextouinnervaluecalculator.hpp>

#include <ql/experimental/finitedifferences/fdmklugeextousolver.hpp>

#include <ql/experimental/finitedifferences/fdmvppstepconditionfactory.hpp>

#include <ql/experimental/finitedifferences/fdsimpleklugeextouvppengine.hpp>

#include <ql/experimental/processes/extendedornsteinuhlenbeckprocess.hpp>

#include <ql/experimental/processes/extouwithjumpsprocess.hpp>

#include <ql/experimental/processes/klugeextouprocess.hpp>

#include <ql/instruments/basketoption.hpp>

#include <ql/instruments/vanillaswingoption.hpp>

#include <ql/methods/finitedifferences/meshers/exponentialjump1dmesher.hpp>

#include <ql/methods/finitedifferences/meshers/fdm1dmesher.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/solvers/fdmsolverdesc.hpp>

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

#include <ql/termstructures/yieldtermstructure.hpp>

#include <list>

#include <utility>

namespace QuantLib {

    namespace {

        class FdmSparkSpreadInnerValue : public FdmInnerValueCalculator {

          public:

            FdmSparkSpreadInnerValue(ext::shared_ptr<BasketPayoff> basketPayoff,

                                     ext::shared_ptr<FdmInnerValueCalculator> fuelPrice,

                                     ext::shared_ptr<FdmInnerValueCalculator> powerPrice)

            : basketPayoff_(std::move(basketPayoff)), fuelPrice_(std::move(fuelPrice)),

              powerPrice_(std::move(powerPrice)) {}

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

                Array s(2);

                s[0] = powerPrice_->innerValue(iter, t);

                s[1] = fuelPrice_->innerValue(iter, t);

                return (*basketPayoff_)(s);

            }

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

                return innerValue(iter, t);

            }

          private:

            const ext::shared_ptr<BasketPayoff> basketPayoff_;

            const ext::shared_ptr<FdmInnerValueCalculator> fuelPrice_;

            const ext::shared_ptr<FdmInnerValueCalculator> powerPrice_;

        };

    }

    FdSimpleKlugeExtOUVPPEngine::FdSimpleKlugeExtOUVPPEngine(

        ext::shared_ptr<KlugeExtOUProcess> process,

        ext::shared_ptr<YieldTermStructure> rTS,

        ext::shared_ptr<Shape> fuelShape,

        ext::shared_ptr<Shape> powerShape,

        Real fuelCostAddon,

        Size tGrid,

        Size xGrid,

        Size yGrid,

        Size gGrid,

        const FdmSchemeDesc& schemeDesc)

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

      fuelShape_(std::move(fuelShape)), powerShape_(std::move(powerShape)), tGrid_(tGrid),

      xGrid_(xGrid), yGrid_(yGrid), gGrid_(gGrid), schemeDesc_(schemeDesc) {}

    void FdSimpleKlugeExtOUVPPEngine::calculate() const {

        ext::shared_ptr<SwingExercise> swingExercise(

            ext::dynamic_pointer_cast<SwingExercise>(arguments_.exercise));

        QL_REQUIRE(swingExercise, "Swing exercise supported only");

        const FdmVPPStepConditionFactory stepConditionFactory(arguments_);

        // 1. Exercise definition

        const std::vector<Time> exerciseTimes

            = swingExercise->exerciseTimes(rTS_->dayCounter(),

                                           rTS_->referenceDate());

        // 2. mesher set-up

        const Time maturity = exerciseTimes.back();

        const ext::shared_ptr<ExtOUWithJumpsProcess> klugeProcess

            = process_->getKlugeProcess();

        const ext::shared_ptr<StochasticProcess1D> klugeOUProcess

            = klugeProcess->getExtendedOrnsteinUhlenbeckProcess();

        const ext::shared_ptr<Fdm1dMesher> xMesher(

            new FdmSimpleProcess1dMesher(xGrid_, klugeOUProcess, maturity));

        const ext::shared_ptr<Fdm1dMesher> yMesher(

            new ExponentialJump1dMesher(yGrid_,

                                        klugeProcess->beta(),

                                        klugeProcess->jumpIntensity(),

                                        klugeProcess->eta(), 1e-3));

        const ext::shared_ptr<Fdm1dMesher> gMesher(

            new FdmSimpleProcess1dMesher(gGrid_,

                                         process_->getExtOUProcess(),maturity));

        const ext::shared_ptr<Fdm1dMesher> exerciseMesher(

            stepConditionFactory.stateMesher());

        const ext::shared_ptr<FdmMesher> mesher (

            new FdmMesherComposite(xMesher, yMesher, gMesher, exerciseMesher));

        // 3. Calculator

        const ext::shared_ptr<FdmInnerValueCalculator> zeroInnerValue(

            new FdmZeroInnerValue());

        const ext::shared_ptr<Payoff> zeroStrikeCall(

            new PlainVanillaPayoff(Option::Call, 0.0));

        const ext::shared_ptr<FdmInnerValueCalculator> fuelPrice(

            new FdmExpExtOUInnerValueCalculator(zeroStrikeCall,

                                                mesher, fuelShape_, 2));

        const ext::shared_ptr<FdmInnerValueCalculator> powerPrice(

            new FdmExtOUJumpModelInnerValue(zeroStrikeCall,mesher,powerShape_));

        const ext::shared_ptr<FdmInnerValueCalculator> sparkSpread(

            new FdmSparkSpreadInnerValue(

                ext::dynamic_pointer_cast<BasketPayoff>(arguments_.payoff),

                fuelPrice, powerPrice));

        // 4. Step conditions

        std::list<std::vector<Time> > stoppingTimes;

        std::list<ext::shared_ptr<StepCondition<Array> > > stepConditions;

        // 4.1 Bermudan step conditions

        stoppingTimes.push_back(exerciseTimes);

        const FdmVPPStepConditionMesher mesh = {3U, mesher};

        const ext::shared_ptr<FdmVPPStepCondition> stepCondition(

            stepConditionFactory.build(mesh, fuelCostAddon_,

                                       fuelPrice, sparkSpread));

        stepConditions.push_back(stepCondition);

        const ext::shared_ptr<FdmStepConditionComposite> conditions(

            new FdmStepConditionComposite(stoppingTimes, stepConditions));

        // 5. Boundary conditions

        const FdmBoundaryConditionSet boundaries;

        // 6. set-up solver

        FdmSolverDesc solverDesc = { mesher, boundaries, conditions,

                                     zeroInnerValue, maturity, tGrid_, 0 };

        const ext::shared_ptr<FdmKlugeExtOUSolver<4> > solver(

            new FdmKlugeExtOUSolver<4>(Handle<KlugeExtOUProcess>(process_),

                                       rTS_, solverDesc, schemeDesc_));

        std::vector<Real> x(4);

        x[0] = process_->initialValues()[0];

        x[1] = process_->initialValues()[1];

        x[2] = process_->initialValues()[2];

        const Real tol = 1e-8;

        const Real maxExerciseValue = exerciseMesher->locations().back();

        const Real minExerciseValue = exerciseMesher->locations().front();

        Array results(exerciseMesher->size());

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

            x[3] = std::max(minExerciseValue + tol,

                            std::min(exerciseMesher->location(i),

                                     maxExerciseValue - tol));

            results[i] = solver->valueAt(x);

        }

        results_.value = stepCondition->maxValue(results);

    }

}