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

/*

 Copyright (C) 2018 Roy Zywina

 Copyright (C) 2019 Eisuke Tani

 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 overnightindexfuture.hpp

    \brief Overnight Index Future

*/

#ifndef quantlib_overnightindexfuture_hpp

#define quantlib_overnightindexfuture_hpp

#include <ql/indexes/iborindex.hpp>

#include <ql/instruments/forward.hpp>

#include <ql/cashflows/rateaveraging.hpp>

namespace QuantLib {

    /*! Future on a compounded overnight index investment.

        Compatible with SOFR futures and Sonia futures available on

        CME and ICE exchanges.

    */

    class OvernightIndexFuture : public Instrument {

      public:

        OvernightIndexFuture(

            ext::shared_ptr<OvernightIndex> overnightIndex,

            const Date& valueDate,

            const Date& maturityDate,

            Handle<Quote> convexityAdjustment = Handle<Quote>(),

            RateAveraging::Type averagingMethod = RateAveraging::Compound);

        Real convexityAdjustment() const;

        bool isExpired() const override;

        const ext::shared_ptr<OvernightIndex>& overnightIndex() const { return overnightIndex_; }

        Date valueDate() const { return valueDate_; }

        Date maturityDate() const { return maturityDate_; }

      private:

        void performCalculations() const override;

        Real rate() const;

        Real averagedRate() const;

        Real compoundedRate() const;

        ext::shared_ptr<OvernightIndex> overnightIndex_;

        Date valueDate_, maturityDate_;

        Handle<Quote> convexityAdjustment_;

        RateAveraging::Type averagingMethod_;

    };

}

#endif