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

/*

 Copyright (C) 2004 Ferdinando Ametrano

 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 americanpayoffathit.hpp

    \brief Analytical formulae for american exercise with payoff at hit

*/

#ifndef quantlib_americanpayoffathit_h

#define quantlib_americanpayoffathit_h

#include <ql/instruments/payoffs.hpp>

namespace QuantLib {

    //! Analytic formula for American exercise payoff at-hit options

    /*! \todo calculate greeks */

    class AmericanPayoffAtHit {

      public:

        AmericanPayoffAtHit(

                          Real spot,

                          DiscountFactor discount,

                          DiscountFactor dividendDiscount,

                          Real variance,

                          const ext::shared_ptr<StrikedTypePayoff>& payoff);

        Real value() const;

        Real delta() const;

        Real gamma() const;

        Real rho(Time maturity) const;

      private:

        Real spot_;

        DiscountFactor discount_, dividendDiscount_;

        Real variance_;

        Volatility stdDev_;

        Real strike_, K_, DKDstrike_;

        Real mu_, lambda_, muPlusLambda_, muMinusLambda_, log_H_S_;

        Real D1_, D2_, cum_d1_, cum_d2_;

        Real alpha_, beta_, DalphaDd1_, DbetaDd2_;

        bool inTheMoney_;

        Real forward_, X_, DXDstrike_;

    };

    // inline definitions

    inline Real AmericanPayoffAtHit::value() const {

        return K_ * (forward_ * alpha_ + X_ * beta_);

    }

}

#endif