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

/*

 Copyright (C) 2008 Andreas Gaida

 Copyright (C) 2008, 2009 Ralph Schreyer

 Copyright (C) 2008, 2009 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.

*/

#include <ql/methods/finitedifferences/meshers/fdmblackscholesmesher.hpp>

#include <ql/methods/finitedifferences/meshers/fdmhestonvariancemesher.hpp>

#include <ql/methods/finitedifferences/meshers/fdmmeshercomposite.hpp>

#include <ql/methods/finitedifferences/operators/fdmlinearoplayout.hpp>

#include <ql/methods/finitedifferences/stepconditions/fdmstepconditioncomposite.hpp>

#include <ql/methods/finitedifferences/utilities/fdmdirichletboundary.hpp>

#include <ql/methods/finitedifferences/utilities/fdmdividendhandler.hpp>

#include <ql/methods/finitedifferences/utilities/fdminnervaluecalculator.hpp>

#include <ql/instruments/vanillaoption.hpp>

#include <ql/pricingengines/barrier/fdhestonbarrierengine.hpp>

#include <ql/pricingengines/barrier/fdhestonrebateengine.hpp>

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

#include <utility>

namespace QuantLib {

    FdHestonBarrierEngine::FdHestonBarrierEngine(const ext::shared_ptr<HestonModel>& model,

                                                 Size tGrid,

                                                 Size xGrid,

                                                 Size vGrid,

                                                 Size dampingSteps,

                                                 const FdmSchemeDesc& schemeDesc,

                                                 ext::shared_ptr<LocalVolTermStructure> leverageFct,

                                                 const Real mixingFactor)

    : GenericModelEngine<HestonModel,

                         BarrierOption::arguments,

                         BarrierOption::results>(model),

      tGrid_(tGrid), xGrid_(xGrid), vGrid_(vGrid), dampingSteps_(dampingSteps),

      schemeDesc_(schemeDesc), leverageFct_(std::move(leverageFct)), mixingFactor_(mixingFactor) {}

    FdHestonBarrierEngine::FdHestonBarrierEngine(const ext::shared_ptr<HestonModel>& model,

                                                 DividendSchedule dividends,

                                                 Size tGrid,

                                                 Size xGrid,

                                                 Size vGrid,

                                                 Size dampingSteps,

                                                 const FdmSchemeDesc& schemeDesc,

                                                 ext::shared_ptr<LocalVolTermStructure> leverageFct,

                                                 const Real mixingFactor)

    : GenericModelEngine<HestonModel,

                         BarrierOption::arguments,

                         BarrierOption::results>(model),

      dividends_(std::move(dividends)),

      tGrid_(tGrid), xGrid_(xGrid), vGrid_(vGrid), dampingSteps_(dampingSteps),

      schemeDesc_(schemeDesc), leverageFct_(std::move(leverageFct)), mixingFactor_(mixingFactor) {}

    void FdHestonBarrierEngine::calculate() const {

        // 1. Mesher

        const ext::shared_ptr<HestonProcess>& process = model_->process();

        const Time maturity = process->time(arguments_.exercise->lastDate());

        // 1.1 The variance mesher

        const Size tGridMin = 5;

        const Size tGridAvgSteps = std::max(tGridMin, tGrid_/50);

        const ext::shared_ptr<FdmHestonLocalVolatilityVarianceMesher> vMesher

            = ext::make_shared<FdmHestonLocalVolatilityVarianceMesher>(

                  vGrid_, process, leverageFct_, maturity, tGridAvgSteps, 0.0001, mixingFactor_);

        // 1.2 The equity mesher

        const ext::shared_ptr<StrikedTypePayoff> payoff =

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

        Real xMin=Null<Real>();

        Real xMax=Null<Real>();

        if (   arguments_.barrierType == Barrier::DownIn

            || arguments_.barrierType == Barrier::DownOut) {

            xMin = std::log(arguments_.barrier);

        }

        if (   arguments_.barrierType == Barrier::UpIn

            || arguments_.barrierType == Barrier::UpOut) {

            xMax = std::log(arguments_.barrier);

        }

        const ext::shared_ptr<Fdm1dMesher> equityMesher(

            new FdmBlackScholesMesher(

                xGrid_,

                FdmBlackScholesMesher::processHelper(

                    process->s0(), process->dividendYield(),

                    process->riskFreeRate(), vMesher->volaEstimate()),

                maturity, payoff->strike(),

                xMin, xMax, 0.0001, 1.5,

                std::make_pair(Null<Real>(), Null<Real>()),

                dividends_));

        const ext::shared_ptr<FdmMesher> mesher (

      ext::make_shared<FdmMesherComposite>(equityMesher, vMesher));

        // 2. Calculator

        ext::shared_ptr<FdmInnerValueCalculator> calculator(

      ext::make_shared<FdmLogInnerValue>(payoff, mesher, 0));

        // 3. Step conditions

        std::list<ext::shared_ptr<StepCondition<Array> > > stepConditions;

        std::list<std::vector<Time> > stoppingTimes;

        // 3.1 Step condition if discrete dividends

        ext::shared_ptr<FdmDividendHandler> dividendCondition(

      ext::make_shared<FdmDividendHandler>(dividends_, mesher,

                                   process->riskFreeRate()->referenceDate(),

                                   process->riskFreeRate()->dayCounter(), 0));

        if (!dividends_.empty()) {

            stepConditions.push_back(dividendCondition);

            std::vector<Time> dividendTimes = dividendCondition->dividendTimes();

            // this effectively excludes times after maturity

            for (auto& t: dividendTimes)

                t = std::min(maturity, t);

            stoppingTimes.push_back(dividendTimes);

        }

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

                   "only european style option are supported");

        ext::shared_ptr<FdmStepConditionComposite> conditions(

      ext::make_shared<FdmStepConditionComposite>(stoppingTimes, stepConditions));

        // 4. Boundary conditions

        FdmBoundaryConditionSet boundaries;

        if (   arguments_.barrierType == Barrier::DownIn

            || arguments_.barrierType == Barrier::DownOut) {

            boundaries.push_back(

        ext::make_shared<FdmDirichletBoundary>(mesher, arguments_.rebate, 0,

                                         FdmDirichletBoundary::Lower));

        }

        if (   arguments_.barrierType == Barrier::UpIn

            || arguments_.barrierType == Barrier::UpOut) {

            boundaries.push_back(

        ext::make_shared<FdmDirichletBoundary>(mesher, arguments_.rebate, 0,

                                         FdmDirichletBoundary::Upper));

        }

        // 5. Solver

        FdmSolverDesc solverDesc = { mesher, boundaries, conditions,

                                     calculator, maturity,

                                     tGrid_, dampingSteps_ };

        ext::shared_ptr<FdmHestonSolver> solver(ext::make_shared<FdmHestonSolver>(

                    Handle<HestonProcess>(process), solverDesc, schemeDesc_,

                    Handle<FdmQuantoHelper>(), leverageFct_, mixingFactor_));

        const Real spot = process->s0()->value();

        results_.value = solver->valueAt(spot, process->v0());

        results_.delta = solver->deltaAt(spot, process->v0());

        results_.gamma = solver->gammaAt(spot, process->v0());

        results_.theta = solver->thetaAt(spot, process->v0());

        // 6. Calculate vanilla option and rebate for in-barriers

        if (   arguments_.barrierType == Barrier::DownIn

            || arguments_.barrierType == Barrier::UpIn) {

            // Cast the payoff

            ext::shared_ptr<StrikedTypePayoff> payoff =

                    ext::dynamic_pointer_cast<StrikedTypePayoff>(

                                                            arguments_.payoff);

            // Calculate the vanilla option

            VanillaOption vanillaOption(payoff, arguments_.exercise);

            vanillaOption.setPricingEngine(ext::shared_ptr<PricingEngine>(

        ext::make_shared<FdHestonVanillaEngine>(*model_, dividends_,

                                                        tGrid_, xGrid_,

                                                        vGrid_, dampingSteps_,

                                                        schemeDesc_)));

            // Calculate the rebate value

            BarrierOption rebateOption(arguments_.barrierType,

                                       arguments_.barrier,

                                       arguments_.rebate,

                                       payoff, arguments_.exercise);

            const Size xGridMin = 20;

            const Size vGridMin = 10;

            const Size rebateDampingSteps 

                = (dampingSteps_ > 0) ? std::min(Size(1), dampingSteps_/2) : 0; 

            rebateOption.setPricingEngine(

                ext::make_shared<FdHestonRebateEngine>(*model_, dividends_,

                                                       tGrid_,

                                                       std::max(xGridMin, xGrid_/4), 

                                                       std::max(vGridMin, vGrid_/4),

                                                       rebateDampingSteps,

                                                       schemeDesc_));

            results_.value = vanillaOption.NPV()   + rebateOption.NPV()   - results_.value;

            results_.delta = vanillaOption.delta() + rebateOption.delta() - results_.delta;

            results_.gamma = vanillaOption.gamma() + rebateOption.gamma() - results_.gamma;

            results_.theta = vanillaOption.theta() + rebateOption.theta() - results_.theta;

        }

    }

}