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

/*

 Copyright (C) 2010 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.

*/

/*! \file fdsimplebsswingengine.cpp

    \brief Finite Differences Black-Scholes engine for simple swing options

*/

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

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

#include <ql/methods/finitedifferences/meshers/uniform1dmesher.hpp>

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

#include <ql/methods/finitedifferences/solvers/fdmsimple2dbssolver.hpp>

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

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

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

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

#include <ql/processes/blackscholesprocess.hpp>

#include <utility>

namespace QuantLib {

    FdSimpleBSSwingEngine::FdSimpleBSSwingEngine(

        ext::shared_ptr<GeneralizedBlackScholesProcess> process,

        Size tGrid,

        Size xGrid,

        const FdmSchemeDesc& schemeDesc)

    : process_(std::move(process)), tGrid_(tGrid), xGrid_(xGrid), schemeDesc_(schemeDesc) {}

    void FdSimpleBSSwingEngine::calculate() const {

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

                   "Bermudan exercise supported only");

        // 1. Mesher

        const ext::shared_ptr<StrikedTypePayoff> payoff =

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

        QL_REQUIRE(payoff, "Strike type payoff expected");

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

        const ext::shared_ptr<Fdm1dMesher> equityMesher(

            new FdmBlackScholesMesher(xGrid_, process_,

                                      maturity, payoff->strike()));

        const ext::shared_ptr<Fdm1dMesher> exerciseMesher(

                 new Uniform1dMesher(

                           0, static_cast<Real>(arguments_.maxExerciseRights),

                           arguments_.maxExerciseRights+1));

        const ext::shared_ptr<FdmMesher> mesher (

            new FdmMesherComposite(equityMesher, exerciseMesher));

        // 2. Calculator

        ext::shared_ptr<FdmInnerValueCalculator> calculator(

                                                    new FdmZeroInnerValue());

        // 3. Step conditions

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

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

        // 3.1 Bermudan step conditions

        std::vector<Time> exerciseTimes;

        for (auto i : arguments_.exercise->dates()) {

            Time t = process_->time(i);

            QL_REQUIRE(t >= 0, "exercise dates must not contain past date");

            exerciseTimes.push_back(t);

        }

        stoppingTimes.push_back(exerciseTimes);

        ext::shared_ptr<FdmInnerValueCalculator> exerciseCalculator(

                                    new FdmLogInnerValue(payoff, mesher, 0));

        stepConditions.push_back(ext::shared_ptr<StepCondition<Array> >(

            new FdmSimpleSwingCondition(

                exerciseTimes, mesher, exerciseCalculator,

                1, arguments_.minExerciseRights)));

        ext::shared_ptr<FdmStepConditionComposite> conditions(

                new FdmStepConditionComposite(stoppingTimes, stepConditions));

        // 4. Boundary conditions

        const FdmBoundaryConditionSet boundaries;

        // 5. Solver

        FdmSolverDesc solverDesc = { mesher, boundaries, conditions,

                                     calculator, maturity, tGrid_, 0 };

        ext::shared_ptr<FdmSimple2dBSSolver> solver(

                new FdmSimple2dBSSolver(

                               Handle<GeneralizedBlackScholesProcess>(process_),

                               payoff->strike(), solverDesc, schemeDesc_));

        const Real spot = process_->x0();

        results_.value = solver->valueAt(spot, 1);

        results_.delta = solver->deltaAt(spot, 1, spot*0.01);

        results_.gamma = solver->gammaAt(spot, 1, spot*0.01);

        results_.theta = solver->thetaAt(spot, 1);

    }

}