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

/*

 Copyright (C) 2006 Allen Kuo

 Copyright (C) 2022 Marcin Rybacki

 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/instruments/bondforward.hpp>

#include <ql/termstructures/yieldtermstructure.hpp>

#include <ql/cashflow.hpp>

namespace QuantLib {

    BondForward::BondForward(

                    const Date& valueDate,

                    const Date& maturityDate,

                    Position::Type type,

                    Real strike,

                    Natural settlementDays,

                    const DayCounter& dayCounter,

                    const Calendar& calendar,

                    BusinessDayConvention businessDayConvention,

                    const ext::shared_ptr<Bond>& bond,

                    const Handle<YieldTermStructure>& discountCurve,

                    const Handle<YieldTermStructure>& incomeDiscountCurve)

    : Forward(dayCounter, calendar, businessDayConvention, settlementDays,

              ext::shared_ptr<Payoff>(new ForwardTypePayoff(type,strike)),

              valueDate, maturityDate, discountCurve), bond_(bond) {

        incomeDiscountCurve_ = incomeDiscountCurve;

        registerWith(incomeDiscountCurve_);

        registerWith(bond);

    }

Unexecuted instantiation: QuantLib::BondForward::BondForward(QuantLib::Date const&, QuantLib::Date const&, QuantLib::Position::Type, double, unsigned int, QuantLib::DayCounter const&, QuantLib::Calendar const&, QuantLib::BusinessDayConvention, boost::shared_ptr<QuantLib::Bond> const&, QuantLib::Handle<QuantLib::YieldTermStructure> const&, QuantLib::Handle<QuantLib::YieldTermStructure> const&)

Unexecuted instantiation: QuantLib::BondForward::BondForward(QuantLib::Date const&, QuantLib::Date const&, QuantLib::Position::Type, double, unsigned int, QuantLib::DayCounter const&, QuantLib::Calendar const&, QuantLib::BusinessDayConvention, boost::shared_ptr<QuantLib::Bond> const&, QuantLib::Handle<QuantLib::YieldTermStructure> const&, QuantLib::Handle<QuantLib::YieldTermStructure> const&)

    Real BondForward::cleanForwardPrice() const {

        return forwardValue() - bond_->accruedAmount(maturityDate_);

    }

    Real BondForward::forwardPrice() const {

        return forwardValue();

    }

    Real BondForward::spotIncome(

        const Handle<YieldTermStructure>& incomeDiscountCurve) const {

        Real income = 0.0;

        Date settlement = settlementDate();

        Leg cf = bond_->cashflows();

        /*

          the following assumes

          1. cashflows are in ascending order !

          2. considers as income: all coupons paid between settlementDate()

          and contract delivery/maturity date

        */

        for (auto& i : cf) {

            if (!i->hasOccurred(settlement, false)) {

                if (i->hasOccurred(maturityDate_, false)) {

                    income += i->amount() * incomeDiscountCurve->discount(i->date());

                } else {

                    break;

                }

            }

        }

        return income;

    }

    Real BondForward::spotValue() const { 

        return bond_->dirtyPrice();

    }

    void BondForward::performCalculations() const {

        underlyingSpotValue_ = spotValue();

        underlyingIncome_    = spotIncome(incomeDiscountCurve_);

        Forward::performCalculations();

    }

}