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

/*

 Copyright (C) 2003 Neil Firth

 Copyright (C) 2007 StatPro Italia srl

 Copyright (C) 2007 Joseph Wang

 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 basketoption.hpp

    \brief Basket option on a number of assets

*/

#ifndef quantlib_basket_option_hpp

#define quantlib_basket_option_hpp

#include <ql/instruments/multiassetoption.hpp>

#include <ql/instruments/payoffs.hpp>

#include <ql/math/array.hpp>

#include <utility>

namespace QuantLib {

    class BasketPayoff : public Payoff {

      private:

        ext::shared_ptr<Payoff> basePayoff_;

      public:

        explicit BasketPayoff(ext::shared_ptr<Payoff> p) : basePayoff_(std::move(p)) {}

        ~BasketPayoff() override = default;

        std::string name() const override { return basePayoff_->name(); }

        std::string description() const override { return basePayoff_->description(); }

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

        virtual Real operator()(const Array &a) const {

            return (*basePayoff_)(accumulate(a));

        }

        virtual Real accumulate(const Array &a) const = 0;

        ext::shared_ptr<Payoff> basePayoff() { return basePayoff_; }

    };

    class MinBasketPayoff : public BasketPayoff {

      public:

        explicit MinBasketPayoff(const ext::shared_ptr<Payoff> &p)

        : BasketPayoff(p) {}

        Real accumulate(const Array& a) const override {

            return *std::min_element(a.begin(), a.end());

        }

    };

    class MaxBasketPayoff : public BasketPayoff {

      public:

        explicit MaxBasketPayoff(const ext::shared_ptr<Payoff> &p)

        : BasketPayoff(p) {}

        Real accumulate(const Array& a) const override {

            return *std::max_element(a.begin(), a.end());

        }

    };

    class AverageBasketPayoff : public BasketPayoff {

      public:

        AverageBasketPayoff(const ext::shared_ptr<Payoff>& p, Array weights)

        : BasketPayoff(p), weights_(std::move(weights)) {}

        AverageBasketPayoff(const ext::shared_ptr<Payoff> &p,

                            Size n)

        : BasketPayoff(p), weights_(n, 1.0/static_cast<Real>(n)) {}

        Real accumulate(const Array& a) const override {

            return std::inner_product(weights_.begin(),

                                      weights_.end(),

                                      a.begin(), Real(0.0));

        }

        const Array& weights() const { return weights_; }

      private:

        Array weights_;

    };

    class SpreadBasketPayoff : public BasketPayoff {

      public:

        explicit SpreadBasketPayoff(const ext::shared_ptr<Payoff> &p)

        : BasketPayoff(p) {}

        Real accumulate(const Array& a) const override {

            QL_REQUIRE(a.size() == 2, 

                    "payoff is only defined for two underlyings");

            return a[0]-a[1];

        }

    };

    //! Basket option on a number of assets

    /*! \ingroup instruments */

    class BasketOption : public MultiAssetOption {

      public:

        class engine;

        BasketOption(const ext::shared_ptr<BasketPayoff>&,

                     const ext::shared_ptr<Exercise>&);

    };

    //! %Basket-option %engine base class

    class BasketOption::engine

        : public GenericEngine<BasketOption::arguments,

                               BasketOption::results> {};

}

#endif