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

/*

 Copyright (C) 2025 Hiroto Ogawa

 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 discountingperpetualfuturesengine.hpp

    \brief discounting perpetual futures engine

*/

#ifndef quantlib_discounting_perpetual_futures_engine_hpp

#define quantlib_discounting_perpetual_futures_engine_hpp

#include <ql/instruments/perpetualfutures.hpp>

#include <ql/termstructures/yieldtermstructure.hpp>

#include <ql/handle.hpp>

#include <ql/optional.hpp>

#include <ql/math/interpolation.hpp>

namespace QuantLib {

    //! Discounting engine for perpetual futures

    /*! This engine discounts perpetual futures cashflows

        to the reference date.

    */

    class DiscountingPerpetualFuturesEngine : public PerpetualFutures::engine {

      public:

        enum InterpolationType { PiecewiseConstant, Linear, CubicSpline };

        DiscountingPerpetualFuturesEngine(

            const Handle<YieldTermStructure>& domesticDiscountCurve,

            const Handle<YieldTermStructure>& foreignDiscountCurve,

            const Handle<Quote>& assetSpot,

            const std::vector<Time>& fundingTimes,

            const std::vector<Rate>& fundingRates,

            const std::vector<Spread>& interestRateDiffs,

            InterpolationType fundingInterpType = PiecewiseConstant,

            Real maxT = 60.);

        void calculate() const override;

        Handle<YieldTermStructure> domesticDiscountCurve() const { return domesticDiscountCurve_; }

        Handle<YieldTermStructure> foreignDiscountCurve() const { return foreignDiscountCurve_; }

        Handle<Quote> assetSpot() const { return assetSpot_; }

        const std::vector<Time>& fundingTimes() const { return fundingTimes_; }

        const std::vector<Rate>& fundingRates() const { return fundingRates_; }

        const std::vector<Spread>& interestRateDiffs() const { return interestRateDiffs_; }

      private:

        Interpolation selectInterpolation(const std::vector<Time>& times, const std::vector<Real>& values) const;

        Handle<YieldTermStructure> domesticDiscountCurve_, foreignDiscountCurve_;

        Handle<Quote> assetSpot_;

        std::vector<Time> fundingTimes_;

        std::vector<Rate> fundingRates_;

        std::vector<Spread> interestRateDiffs_;

        InterpolationType fundingInterpType_;

        Real maxT_;

    };

}

#endif