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

/*

 Copyright (C) 2003, 2004 Ferdinando Ametrano

 Copyright (C) 2007 StatPro Italia srl

 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/exercise.hpp>

#include <ql/math/integrals/segmentintegral.hpp>

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

#include <utility>

namespace QuantLib {

    namespace {

        class Integrand {

          public:

            Integrand(ext::shared_ptr<Payoff> payoff, Real s0, Rate drift, Real variance)

            : payoff_(std::move(payoff)), s0_(s0), drift_(drift), variance_(variance) {}

            Real operator()(Real x) const {

                Real temp = s0_ * std::exp(x);

                Real result = (*payoff_)(temp);

                return result *

                    std::exp(-(x - drift_)*(x -drift_)/(2.0*variance_)) ;

            }

          private:

            ext::shared_ptr<Payoff> payoff_;

            Real s0_;

            Rate drift_;

            Real variance_;

        };

    }

    IntegralEngine::IntegralEngine(ext::shared_ptr<GeneralizedBlackScholesProcess> process)

    : process_(std::move(process)) {

        registerWith(process_);

    }

    void IntegralEngine::calculate() const {

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

                   "not an European Option");

        ext::shared_ptr<StrikedTypePayoff> payoff =

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

        QL_REQUIRE(payoff, "non-striked payoff given");

        Real variance =

            process_->blackVolatility()->blackVariance(

                           arguments_.exercise->lastDate(), payoff->strike());

        DiscountFactor dividendDiscount =

            process_->dividendYield()->discount(

                                             arguments_.exercise->lastDate());

        DiscountFactor riskFreeDiscount =

            process_->riskFreeRate()->discount(arguments_.exercise->lastDate());

        Rate drift = std::log(dividendDiscount/riskFreeDiscount)-0.5*variance;

        Integrand f(arguments_.payoff,

                    process_->stateVariable()->value(),

                    drift, variance);

        SegmentIntegral integrator(5000);

        Real infinity = 10.0*std::sqrt(variance);

        results_.value =

            process_->riskFreeRate()->discount(

                                            arguments_.exercise->lastDate()) /

            std::sqrt(2.0*M_PI*variance) *

            integrator(f, drift-infinity, drift+infinity);

    }

}