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

/*

 Copyright (C) 2011 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 vanillavppoption.cpp

*/

#include <ql/event.hpp>

#include <ql/instruments/basketoption.hpp>

#include <ql/instruments/vanillaswingoption.hpp>

#include <ql/experimental/finitedifferences/vanillavppoption.hpp>

namespace QuantLib {

    namespace {

        class IdenticalPayoff : public Payoff {

          public:

            std::string name() const override { return "IdenticalPayoff"; }

            std::string description() const override { return name(); }

            Real operator()(Real price) const override { return price; }

        };

    }

    VanillaVPPOption::VanillaVPPOption(

        Real heatRate,

        Real pMin, Real pMax,

        Size tMinUp, Size tMinDown,

        Real startUpFuel, Real startUpFixCost,

        const ext::shared_ptr<SwingExercise>& exercise,

        Size nStarts, Size nRunningHours)

    : MultiAssetOption(ext::shared_ptr<Payoff>(), exercise),

      heatRate_(heatRate),

      pMin_(pMin), pMax_(pMax),

      tMinUp_(tMinUp), tMinDown_(tMinDown),

      startUpFuel_(startUpFuel),

      startUpFixCost_(startUpFixCost),

      nStarts_(nStarts),

      nRunningHours_(nRunningHours) {

        Array weigths(2);

        weigths[0] = 1.0; weigths[1] = -heatRate;

        payoff_ = ext::shared_ptr<Payoff>(new AverageBasketPayoff(

            ext::shared_ptr<Payoff>(new IdenticalPayoff()), weigths));

    }

Unexecuted instantiation: QuantLib::VanillaVPPOption::VanillaVPPOption(double, double, double, unsigned long, unsigned long, double, double, boost::shared_ptr<QuantLib::SwingExercise> const&, unsigned long, unsigned long)

Unexecuted instantiation: QuantLib::VanillaVPPOption::VanillaVPPOption(double, double, double, unsigned long, unsigned long, double, double, boost::shared_ptr<QuantLib::SwingExercise> const&, unsigned long, unsigned long)

    void VanillaVPPOption::arguments::validate() const {

        QL_REQUIRE(exercise, "no exercise given");

        QL_REQUIRE(nStarts == Null<Size>() || nRunningHours == Null<Size>(),

                "either a start limit or fuel limit is supported");

    }

    void VanillaVPPOption::setupArguments(

                                PricingEngine::arguments* args) const {

        MultiAssetOption::setupArguments(args);

        auto* arguments = dynamic_cast<VanillaVPPOption::arguments*>(args);

        QL_REQUIRE(arguments != nullptr, "wrong argument type");

        arguments->heatRate       = heatRate_;

        arguments->pMin           = pMin_;

        arguments->pMax           = pMax_;

        arguments->tMinUp         = tMinUp_;

        arguments->tMinDown       = tMinDown_;

        arguments->startUpFuel    = startUpFuel_;

        arguments->startUpFixCost = startUpFixCost_;

        arguments->nStarts        = nStarts_;

        arguments->nRunningHours  = nRunningHours_;

    }

    bool VanillaVPPOption::isExpired() const {

        return detail::simple_event(exercise_->lastDate()).hasOccurred();

    }

}