/* -*- 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/methods/finitedifferences/meshers/fdmblackscholesmesher.hpp>

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

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

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

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

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

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

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

#include <ql/pricingengines/barrier/fdhestonrebateengine.hpp>

#include <ql/pricingengines/barrier/fdhestondoublebarrierengine.hpp>

#include <ql/pricingengines/vanilla/fdhestonvanillaengine.hpp>

#include <utility>

namespace QuantLib {

    FdHestonDoubleBarrierEngine::FdHestonDoubleBarrierEngine(

        const ext::shared_ptr<HestonModel>& model,

        Size tGrid,

        Size xGrid,

        Size vGrid,

        Size dampingSteps,

        const FdmSchemeDesc& schemeDesc,

        ext::shared_ptr<LocalVolTermStructure> leverageFct,

        const Real mixingFactor)

    : GenericModelEngine<HestonModel, DoubleBarrierOption::arguments, DoubleBarrierOption::results>(

          model),

      tGrid_(tGrid), xGrid_(xGrid), vGrid_(vGrid), dampingSteps_(dampingSteps),

      schemeDesc_(schemeDesc), leverageFct_(std::move(leverageFct)), mixingFactor_(mixingFactor) {}

    void FdHestonDoubleBarrierEngine::calculate() const {

        QL_REQUIRE(arguments_.barrierType == DoubleBarrier::KnockOut,

                "only Knock-Out double barrier options are supported");

        // 1. Mesher

        const ext::shared_ptr<HestonProcess>& process = model_->process();

        const Time maturity = process->time(arguments_.exercise->lastDate());

        // 1.1 The variance mesher

        const Size tGridMin = 5;

        const Size tGridAvgSteps = std::max(tGridMin, tGrid_/50);

        const ext::shared_ptr<FdmHestonLocalVolatilityVarianceMesher> vMesher

            = ext::make_shared<FdmHestonLocalVolatilityVarianceMesher>(

                  vGrid_, process, leverageFct_, maturity, tGridAvgSteps, 0.0001, mixingFactor_);

        // 1.2 The equity mesher

        const ext::shared_ptr<StrikedTypePayoff> payoff =

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

        Real xMin = std::log(arguments_.barrier_lo);

        Real xMax = std::log(arguments_.barrier_hi);

        const ext::shared_ptr<Fdm1dMesher> equityMesher(

            new FdmBlackScholesMesher(

                xGrid_,

                FdmBlackScholesMesher::processHelper(

                    process->s0(), process->dividendYield(),

                    process->riskFreeRate(), vMesher->volaEstimate()),

                maturity, payoff->strike(), xMin, xMax));

        const ext::shared_ptr<FdmMesher> mesher (

            new FdmMesherComposite(equityMesher, vMesher));

        // 2. Calculator

        const ext::shared_ptr<FdmInnerValueCalculator> calculator(

                                new FdmLogInnerValue(payoff, mesher, 0));

        // 3. Step conditions

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

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

        QL_REQUIRE(arguments_.exercise->type() == Exercise::European,

                   "only european style option are supported");

        ext::shared_ptr<FdmStepConditionComposite> conditions(

                new FdmStepConditionComposite(stoppingTimes, stepConditions));

        // 4. Boundary conditions

        FdmBoundaryConditionSet boundaries;

        boundaries.push_back(FdmBoundaryConditionSet::value_type(

            new FdmDirichletBoundary(mesher, arguments_.rebate, 0,

                                     FdmDirichletBoundary::Lower)));

        boundaries.push_back(FdmBoundaryConditionSet::value_type(

            new FdmDirichletBoundary(mesher, arguments_.rebate, 0,

                                     FdmDirichletBoundary::Upper)));

        // 5. Solver

        FdmSolverDesc solverDesc = { mesher, boundaries, conditions,

                                     calculator, maturity,

                                     tGrid_, dampingSteps_ };

        ext::shared_ptr<FdmHestonSolver> solver(new FdmHestonSolver(

                    Handle<HestonProcess>(process), solverDesc, schemeDesc_,

                    Handle<FdmQuantoHelper>(), leverageFct_, mixingFactor_));

        const Real spot = process->s0()->value();

        results_.value = solver->valueAt(spot, process->v0());

        results_.delta = solver->deltaAt(spot, process->v0());

        results_.gamma = solver->gammaAt(spot, process->v0());

        results_.theta = solver->thetaAt(spot, process->v0());

    }

}