/* -*- 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/experimental/barrieroption/mcdoublebarrierengine.hpp>

#include <utility>

namespace QuantLib {

    DoubleBarrierPathPricer::DoubleBarrierPathPricer(DoubleBarrier::Type barrierType,

                                                     Real barrierLow,

                                                     Real barrierHigh,

                                                     Real rebate,

                                                     Option::Type type,

                                                     Real strike,

                                                     std::vector<DiscountFactor> discounts)

    : barrierType_(barrierType), barrierLow_(barrierLow), barrierHigh_(barrierHigh),

      rebate_(rebate), payoff_(type, strike), discounts_(std::move(discounts)) {

        QL_REQUIRE(strike>=0.0,

                   "strike less than zero not allowed");

        QL_REQUIRE(barrierLow>0.0,

                   "low barrier less/equal zero not allowed");

        QL_REQUIRE(barrierHigh>0.0,

                   "high barrier less/equal zero not allowed");

    }

    Real DoubleBarrierPathPricer::operator()(const Path& path) const {

        static Size null = Null<Size>();

        Size n = path.length();

        QL_REQUIRE(n>1, "the path cannot be empty");

        bool isOptionActive = false;

        Size knockNode = null;

        Real terminal_price = path.back();

        Real new_asset_price;

        Size i;

        switch (barrierType_) {

            case DoubleBarrier::KnockOut:

                isOptionActive = true;

                for (i = 0; i < n-1; i++) {

                    new_asset_price = path[i + 1];

                    if (new_asset_price >= barrierHigh_ || new_asset_price <= barrierLow_){

                        isOptionActive = false;

                        if (knockNode == null)

                            knockNode = i+1;

                        break;

                    }

                }

                break;

            case DoubleBarrier::KnockIn:

                isOptionActive = false;

                for (i = 0; i < n-1; i++) {

                    new_asset_price = path[i + 1];

                    if (new_asset_price >= barrierHigh_ || new_asset_price <= barrierLow_){

                        isOptionActive = true;

                        if (knockNode == null)

                            knockNode = i+1;

                        break;

                    }

                }

                break;

            default:

                QL_FAIL("unknown barrier type");

        }

        if (isOptionActive) {

            return payoff_(terminal_price) * discounts_.back();

        } else {

            switch (barrierType_) {

                case DoubleBarrier::KnockOut:

                    return rebate_*discounts_[knockNode];

                case DoubleBarrier::KnockIn:

                    return rebate_*discounts_.back();

                default:

                    QL_FAIL("unknown barrier type");

            }

        }

    }

}