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

/*

 Copyright (C) 2010 Chris Kenyon

 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/experimental/inflation/cpicapfloortermpricesurface.hpp>

#include <utility>

namespace QuantLib {

    CPICapFloorTermPriceSurface::CPICapFloorTermPriceSurface(

        Real nominal,

        Real baseRate, // avoids an uncontrolled crash if index has no TS

        const Period& observationLag,

        const Calendar& cal, // calendar in index may not be useful

        const BusinessDayConvention& bdc,

        const DayCounter& dc,

        ext::shared_ptr<ZeroInflationIndex>  zii,

        CPI::InterpolationType interpolationType,

        Handle<YieldTermStructure> yts,

        const std::vector<Rate>& cStrikes,

        const std::vector<Rate>& fStrikes,

        const std::vector<Period>& cfMaturities,

        const Matrix& cPrice,

        const Matrix& fPrice)

    : TermStructure(0, cal, dc),

      zii_(std::move(zii)), interpolationType_(interpolationType), nominalTS_(std::move(yts)),

      cStrikes_(cStrikes), fStrikes_(fStrikes), cfMaturities_(cfMaturities),

      cPrice_(cPrice), fPrice_(fPrice), nominal_(nominal), bdc_(bdc),

      observationLag_(observationLag), baseRate_(baseRate) {

        // does the index have a TS?

        QL_REQUIRE(!zii_->zeroInflationTermStructure().empty(), "ZITS missing from index");

        QL_REQUIRE(!nominalTS_.empty(), "nominal TS missing");

        // data consistency checking, enough data?

        QL_REQUIRE(fStrikes_.size() > 1, "not enough floor strikes");

        QL_REQUIRE(cStrikes_.size() > 1, "not enough cap strikes");

        QL_REQUIRE(cfMaturities_.size() > 1, "not enough maturities");

        QL_REQUIRE(fStrikes_.size() == fPrice.rows(),

                   "floor strikes vs floor price rows not equal");

        QL_REQUIRE(cStrikes_.size() == cPrice.rows(),

                   "cap strikes vs cap price rows not equal");

        QL_REQUIRE(cfMaturities_.size() == fPrice.columns(),

                   "maturities vs floor price columns not equal");

        QL_REQUIRE(cfMaturities_.size() == cPrice.columns(),

                   "maturities vs cap price columns not equal");

        // data has correct properties (positive, monotonic)?

        for(Size j = 0; j <cfMaturities_.size(); j++) {

            QL_REQUIRE( cfMaturities[j] > Period(0,Days), "non-positive maturities");

            if(j>0) {

                QL_REQUIRE( cfMaturities[j] > cfMaturities[j-1],

                            "non-increasing maturities");

            }

            for(Size i = 0; i <fPrice_.rows(); i++) {

                QL_REQUIRE( fPrice_[i][j] > 0.0,

                            "non-positive floor price: " << fPrice_[i][j] );

                if(i>0) {

                    QL_REQUIRE( fPrice_[i][j] >= fPrice_[i-1][j],

                                "non-increasing floor prices");

                }

            }

            for(Size i = 0; i <cPrice_.rows(); i++) {

                QL_REQUIRE( cPrice_[i][j] > 0.0,

                            "non-positive cap price: " << cPrice_[i][j] );

                if(i>0) {

                    QL_REQUIRE( cPrice_[i][j] <= cPrice_[i-1][j],

                                "non-decreasing cap prices: " 

                               << cPrice_[i][j] << " then " << cPrice_[i-1][j]);

                }

            }

        }

        // Get the set of strikes, noting that repeats, overlaps are

        // expected between caps and floors but that no overlap in the

        // output is allowed so no repeats or overlaps are used

        cfStrikes_ = std::vector<Rate>();

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

            cfStrikes_.push_back( fStrikes[i] );

        Real eps = 0.0000001;

        Rate maxFstrike = fStrikes_.back();

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

            Rate k = cStrikes[i];

            if (k > maxFstrike + eps) cfStrikes_.push_back(k);

        }

        // final consistency checking

        QL_REQUIRE(cfStrikes_.size() > 2, "overall not enough strikes");

        for (Size i = 1; i < cfStrikes_.size(); i++)

            QL_REQUIRE( cfStrikes_[i] > cfStrikes_[i-1],

                        "cfStrikes not increasing");

    }

    Rate CPICapFloorTermPriceSurface::atmRate(Date maturity) const {

        Real F0 = CPI::laggedFixing(zii_, referenceDate(), observationLag_, interpolationType_);

        Real F1 = CPI::laggedFixing(zii_, maturity, observationLag_, interpolationType_);

        Time T = inflationYearFraction(

            zii_->frequency(),

            detail::CPI::isInterpolated(interpolationType_), dayCounter(),

            referenceDate() - observationLag_, maturity - observationLag_);

        return T > 0.0 ? std::pow(F1 / F0, 1 / T) - 1.0 : baseRate();

    }

    Date CPICapFloorTermPriceSurface::cpiOptionDateFromTenor(const Period& p) const

    {

        return calendar().adjust(referenceDate() + p, businessDayConvention());

    }

    Real CPICapFloorTermPriceSurface::price(const Period &d, Rate k) const {

        return this->price(cpiOptionDateFromTenor(d), k);

    }

    Real CPICapFloorTermPriceSurface::capPrice(const Period &d, Rate k) const {

        return this->capPrice(cpiOptionDateFromTenor(d), k);

    }

    Real CPICapFloorTermPriceSurface::floorPrice(const Period &d, Rate k) const {

        return this->floorPrice(cpiOptionDateFromTenor(d), k);

    }

}