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

/*

 Copyright (C) 2020 Lew Wei Hao

 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/fdmmeshercomposite.hpp>

#include <ql/methods/finitedifferences/meshers/fdmsimpleprocess1dmesher.hpp>

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

#include <ql/methods/finitedifferences/solvers/fdmcirsolver.hpp>

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

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

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

#include <ql/processes/blackscholesprocess.hpp>

#include <ql/processes/coxingersollrossprocess.hpp>

#include <utility>

namespace QuantLib {

    FdCIRVanillaEngine::FdCIRVanillaEngine(

        ext::shared_ptr<CoxIngersollRossProcess> cirProcess,

        ext::shared_ptr<GeneralizedBlackScholesProcess> bsProcess,

        Size tGrid,

        Size xGrid,

        Size rGrid,

        Size dampingSteps,

        const Real rho,

        const FdmSchemeDesc& schemeDesc,

        ext::shared_ptr<FdmQuantoHelper> quantoHelper)

    :  bsProcess_(std::move(bsProcess)), cirProcess_(std::move(cirProcess)),

       quantoHelper_(std::move(quantoHelper)),

       tGrid_(tGrid), xGrid_(xGrid), rGrid_(rGrid), dampingSteps_(dampingSteps),

       rho_(rho), schemeDesc_(schemeDesc) {}

    FdCIRVanillaEngine::FdCIRVanillaEngine(

        ext::shared_ptr<CoxIngersollRossProcess> cirProcess,

        ext::shared_ptr<GeneralizedBlackScholesProcess> bsProcess,

        DividendSchedule dividends,

        Size tGrid,

        Size xGrid,

        Size rGrid,

        Size dampingSteps,

        const Real rho,

        const FdmSchemeDesc& schemeDesc,

        ext::shared_ptr<FdmQuantoHelper> quantoHelper)

    : bsProcess_(std::move(bsProcess)), cirProcess_(std::move(cirProcess)),

      quantoHelper_(std::move(quantoHelper)), dividends_(std::move(dividends)),

      tGrid_(tGrid), xGrid_(xGrid), rGrid_(rGrid), dampingSteps_(dampingSteps), rho_(rho),

      schemeDesc_(schemeDesc) {}

    FdmSolverDesc FdCIRVanillaEngine::getSolverDesc(Real) const {

        const ext::shared_ptr<StrikedTypePayoff> payoff =

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

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

        // The short rate mesher

        const ext::shared_ptr<Fdm1dMesher> shortRateMesher(

            new FdmSimpleProcess1dMesher(rGrid_, cirProcess_, maturity, tGrid_));

        // The equity mesher

        const ext::shared_ptr<Fdm1dMesher> equityMesher(

            new FdmBlackScholesMesher(

                xGrid_, bsProcess_, maturity, payoff->strike(),

                Null<Real>(), Null<Real>(), 0.0001, 1.5,

                std::pair<Real, Real>(payoff->strike(), 0.1),

                dividends_, quantoHelper_,

                0.0));

        const ext::shared_ptr<FdmMesher> mesher(

            new FdmMesherComposite(equityMesher, shortRateMesher));

        // Calculator

        const ext::shared_ptr<FdmInnerValueCalculator> calculator(

                          new FdmLogInnerValue(arguments_.payoff, mesher, 0));

        // Step conditions

        const ext::shared_ptr<FdmStepConditionComposite> conditions = 

             FdmStepConditionComposite::vanillaComposite(

                                 dividends_, arguments_.exercise, 

                                 mesher, calculator,

                                 bsProcess_->riskFreeRate()->referenceDate(),

                                 bsProcess_->riskFreeRate()->dayCounter());

        // Boundary conditions

        const FdmBoundaryConditionSet boundaries;

        // Solver

        FdmSolverDesc solverDesc = { mesher, boundaries, conditions,

                                     calculator, maturity,

                                     tGrid_, dampingSteps_ };

        return solverDesc;

    }

    void FdCIRVanillaEngine::calculate() const {

        const ext::shared_ptr<StrikedTypePayoff> payoff =

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

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

                    Handle<CoxIngersollRossProcess>(cirProcess_),

                    Handle<GeneralizedBlackScholesProcess>(bsProcess_),

                    getSolverDesc(1.5), schemeDesc_,

                    rho_, payoff->strike()));

        const Real r0   = cirProcess_->x0();

        const Real spot = bsProcess_->x0();

        results_.value = solver->valueAt(spot, r0);

        results_.delta = solver->deltaAt(spot, r0);

        results_.gamma = solver->gammaAt(spot, r0);

        results_.theta = solver->thetaAt(spot, r0);

    }

    MakeFdCIRVanillaEngine::MakeFdCIRVanillaEngine(

        ext::shared_ptr<CoxIngersollRossProcess> cirProcess,

        ext::shared_ptr<GeneralizedBlackScholesProcess> bsProcess,

        const Real rho)

    : cirProcess_(std::move(cirProcess)), bsProcess_(std::move(bsProcess)), rho_(rho),

      schemeDesc_(ext::make_shared<FdmSchemeDesc>(FdmSchemeDesc::ModifiedHundsdorfer())) {}

    MakeFdCIRVanillaEngine& MakeFdCIRVanillaEngine::withQuantoHelper(

        const ext::shared_ptr<FdmQuantoHelper>& quantoHelper) {

        quantoHelper_ = quantoHelper;

        return *this;

    }

    MakeFdCIRVanillaEngine&

    MakeFdCIRVanillaEngine::withTGrid(Size tGrid) {

        tGrid_ = tGrid;

        return *this;

    }

    MakeFdCIRVanillaEngine&

    MakeFdCIRVanillaEngine::withXGrid(Size xGrid) {

        xGrid_ = xGrid;

        return *this;

    }

    MakeFdCIRVanillaEngine&

    MakeFdCIRVanillaEngine::withRGrid(Size rGrid) {

        rGrid_ = rGrid;

        return *this;

    }

    MakeFdCIRVanillaEngine&

    MakeFdCIRVanillaEngine::withDampingSteps(Size dampingSteps) {

        dampingSteps_ = dampingSteps;

        return *this;

    }

    MakeFdCIRVanillaEngine&

    MakeFdCIRVanillaEngine::withFdmSchemeDesc(

        const FdmSchemeDesc& schemeDesc) {

        schemeDesc_ = ext::make_shared<FdmSchemeDesc>(schemeDesc);

        return *this;

    }

    MakeFdCIRVanillaEngine&

    MakeFdCIRVanillaEngine::withCashDividends(

            const std::vector<Date>& dividendDates,

            const std::vector<Real>& dividendAmounts) {

        dividends_ = DividendVector(dividendDates, dividendAmounts);

        return *this;

    }

    MakeFdCIRVanillaEngine::operator

    ext::shared_ptr<PricingEngine>() const {

        return ext::make_shared<FdCIRVanillaEngine>(

                cirProcess_,

                bsProcess_,

                dividends_,

                tGrid_, xGrid_, rGrid_, dampingSteps_,

                rho_,

                *schemeDesc_,

                quantoHelper_);

    }

}