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

/*

 Copyright (C) 2008 Roland Lichters

 Copyright (C) 2009, 2014 Jose Aparicio

 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/credit/integralcdoengine.hpp>

#ifndef QL_PATCH_SOLARIS

#include <ql/cashflows/fixedratecoupon.hpp>

#include <ql/termstructures/yieldtermstructure.hpp>

namespace QuantLib {

    void IntegralCDOEngine::calculate() const {

        Date today = Settings::instance().evaluationDate();

        results_.protectionValue = 0.0;

        results_.premiumValue = 0.0;

        results_.upfrontPremiumValue = 0.0;

        results_.error = 0;

        results_.expectedTrancheLoss.clear();

        // todo Should be remaining when considering realized loses

        results_.xMin = arguments_.basket->attachmentAmount();

        results_.xMax = arguments_.basket->detachmentAmount();

        results_.remainingNotional = results_.xMax - results_.xMin;

        const Real inceptionTrancheNotional = 

            arguments_.basket->trancheNotional();

        // compute expected loss at the beginning of first relevant period

        Real e1 = 0;

        // todo add includeSettlement date flows variable to engine.

        if (!arguments_.normalizedLeg[0]->hasOccurred(today)) 

             // cast to fixed rate coupon?

            e1 = arguments_.basket->expectedTrancheLoss(

                ext::dynamic_pointer_cast<Coupon>(

                    arguments_.normalizedLeg[0])->accrualStartDate()); 

        results_.expectedTrancheLoss.push_back(e1);// zero or realized losses?

        for (auto& i : arguments_.normalizedLeg) {

            if (i->hasOccurred(today)) {

                // add includeSettlement date flows variable to engine.

                results_.expectedTrancheLoss.push_back(0.);

                continue;

            }

            const ext::shared_ptr<Coupon> coupon = ext::dynamic_pointer_cast<Coupon>(i);

            Date d1 = coupon->accrualStartDate();

            Date d2 = coupon->date();

            Date d, d0 = d1;

            Real e2;

            do {

                d = NullCalendar().advance(d0 > today ? d0 : today,

                                           stepSize_);

                if (d > d2) d = d2;

                e2 = arguments_.basket->expectedTrancheLoss(d);

                results_.premiumValue

                    // ..check for e2 including past/realized losses

                    += (inceptionTrancheNotional - e2)

                    * arguments_.runningRate

                    * arguments_.dayCounter.yearFraction(d0, d)

                    * discountCurve_->discount(d);

                // TO DO: Addd default coupon accrual value here-----

                if (e2 < e1) results_.error ++;

                results_.protectionValue

                    += (e2 - e1) * discountCurve_->discount(d);

                d0 = d;

                e1 = e2;

            }

            while (d < d2);

            results_.expectedTrancheLoss.push_back(e2);

        }

        // add includeSettlement date flows variable to engine.

        if (!arguments_.normalizedLeg[0]->hasOccurred(today))

            results_.upfrontPremiumValue

                = inceptionTrancheNotional * arguments_.upfrontRate

                    * discountCurve_->discount(

                        ext::dynamic_pointer_cast<Coupon>(

                            arguments_.normalizedLeg[0])->accrualStartDate());

        if (arguments_.side == Protection::Buyer) {

            results_.protectionValue *= -1;

            results_.premiumValue *= -1;

            results_.upfrontPremiumValue *= -1;

        }

        results_.value = results_.premiumValue - results_.protectionValue

            + results_.upfrontPremiumValue;

        results_.errorEstimate = Null<Real>();

        // Fair spread GIVEN the upfront

        Real fairSpread = 0.;

        if (results_.premiumValue != 0.0) {

            fairSpread =

                -(results_.protectionValue + results_.upfrontPremiumValue)

                  *arguments_.runningRate/results_.premiumValue;

        }

        results_.additionalResults["fairPremium"] = fairSpread;

        results_.additionalResults["premiumLegNPV"] = 

            Real(results_.premiumValue + results_.upfrontPremiumValue);

        results_.additionalResults["protectionLegNPV"] = 

            results_.protectionValue;

    }

}

#endif