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

/*

 Copyright (C) 2013, 2016 Peter Caspers

 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 nonstandardswap.hpp

    \brief vanilla swap but possibly with period dependent nominal and strike

*/

#ifndef quantlib_nonstandard_swap_hpp

#define quantlib_nonstandard_swap_hpp

#include <ql/instruments/swap.hpp>

#include <ql/instruments/fixedvsfloatingswap.hpp>

#include <ql/time/daycounter.hpp>

#include <ql/time/schedule.hpp>

#include <ql/optional.hpp>

namespace QuantLib {

    class IborIndex;

    class SwapIndex;

    //! nonstandard swap

    class NonstandardSwap : public Swap {

      public:

        class arguments;

        class results;

        class engine;

        explicit NonstandardSwap(const FixedVsFloatingSwap &fromVanilla);

        NonstandardSwap(Swap::Type type,

                        std::vector<Real> fixedNominal,

                        const std::vector<Real>& floatingNominal,

                        Schedule fixedSchedule,

                        std::vector<Real> fixedRate,

                        DayCounter fixedDayCount,

                        Schedule floatingSchedule,

                        ext::shared_ptr<IborIndex> iborIndex,

                        Real gearing,

                        Spread spread,

                        DayCounter floatingDayCount,

                        bool intermediateCapitalExchange = false,

                        bool finalCapitalExchange = false,

                        ext::optional<BusinessDayConvention> paymentConvention = ext::nullopt);

        NonstandardSwap(Swap::Type type,

                        std::vector<Real> fixedNominal,

                        std::vector<Real> floatingNominal,

                        Schedule fixedSchedule,

                        std::vector<Real> fixedRate,

                        DayCounter fixedDayCount,

                        Schedule floatingSchedule,

                        ext::shared_ptr<IborIndex> iborIndex,

                        std::vector<Real> gearing,

                        std::vector<Spread> spread,

                        DayCounter floatingDayCount,

                        bool intermediateCapitalExchange = false,

                        bool finalCapitalExchange = false,

                        ext::optional<BusinessDayConvention> paymentConvention = ext::nullopt);

        //! \name Inspectors

        //@{

        Swap::Type type() const;

        const std::vector<Real> &fixedNominal() const;

        const std::vector<Real> &floatingNominal() const;

        const Schedule &fixedSchedule() const;

        const std::vector<Real> &fixedRate() const;

        const DayCounter &fixedDayCount() const;

        const Schedule &floatingSchedule() const;

        const ext::shared_ptr<IborIndex> &iborIndex() const;

        Spread spread() const;

        Real gearing() const;

        const std::vector<Spread>& spreads() const;

        const std::vector<Real>& gearings() const;

        const DayCounter &floatingDayCount() const;

        BusinessDayConvention paymentConvention() const;

        const Leg &fixedLeg() const;

        const Leg &floatingLeg() const;

        //@}

        //! \name Results

        //@{

        //@}

        // other

        void setupArguments(PricingEngine::arguments* args) const override;

        void fetchResults(const PricingEngine::results*) const override;

      private:

        void init();

        void setupExpired() const override;

        Swap::Type type_;

        std::vector<Real> fixedNominal_, floatingNominal_;

        Schedule fixedSchedule_;

        std::vector<Real> fixedRate_;

        DayCounter fixedDayCount_;

        Schedule floatingSchedule_;

        ext::shared_ptr<IborIndex> iborIndex_;

        std::vector<Spread> spread_;

        std::vector<Real> gearing_;

        bool singleSpreadAndGearing_;

        DayCounter floatingDayCount_;

        BusinessDayConvention paymentConvention_;

        const bool intermediateCapitalExchange_;

        const bool finalCapitalExchange_;

        // results

    };

    //! %Arguments for nonstandard swap calculation

    class NonstandardSwap::arguments : public Swap::arguments {

      public:

        arguments() = default;

        Swap::Type type = Swap::Receiver;

        std::vector<Real> fixedNominal, floatingNominal;

        std::vector<Date> fixedResetDates;

        std::vector<Date> fixedPayDates;

        std::vector<Time> floatingAccrualTimes;

        std::vector<Date> floatingResetDates;

        std::vector<Date> floatingFixingDates;

        std::vector<Date> floatingPayDates;

        std::vector<Real> fixedCoupons;

        std::vector<Real> fixedRate;

        std::vector<Spread> floatingSpreads;

        std::vector<Real> floatingGearings;

        std::vector<Real> floatingCoupons;

        ext::shared_ptr<IborIndex> iborIndex;

        std::vector<bool> fixedIsRedemptionFlow;

        std::vector<bool> floatingIsRedemptionFlow;

        void validate() const override;

    };

    //! %Results from nonstandard swap calculation

    class NonstandardSwap::results : public Swap::results {

      public:

        void reset() override;

    };

    class NonstandardSwap::engine

        : public GenericEngine<NonstandardSwap::arguments,

                               NonstandardSwap::results> {};

    // inline definitions

    inline Swap::Type NonstandardSwap::type() const { return type_; }

    inline const std::vector<Real> &NonstandardSwap::fixedNominal() const {

        return fixedNominal_;

    }

    inline const std::vector<Real> &NonstandardSwap::floatingNominal() const {

        return floatingNominal_;

    }

    inline const Schedule &NonstandardSwap::fixedSchedule() const {

        return fixedSchedule_;

    }

    inline const std::vector<Real> &NonstandardSwap::fixedRate() const {

        return fixedRate_;

    }

    inline const DayCounter &NonstandardSwap::fixedDayCount() const {

        return fixedDayCount_;

    }

    inline const Schedule &NonstandardSwap::floatingSchedule() const {

        return floatingSchedule_;

    }

    inline const ext::shared_ptr<IborIndex> &

    NonstandardSwap::iborIndex() const {

        return iborIndex_;

    }

    inline Spread NonstandardSwap::spread() const {

        QL_REQUIRE(singleSpreadAndGearing_,

                   "spread is a vector, use spreads inspector instead");

        return spread_.front();

    }

    inline Real NonstandardSwap::gearing() const {

        QL_REQUIRE(singleSpreadAndGearing_,

                   "gearing is a vector, use gearings inspector instead");

        return gearing_.front();

    }

    inline const std::vector<Spread> &NonstandardSwap::spreads() const {

        return spread_;

    }

    inline const std::vector<Real> &NonstandardSwap::gearings() const {

        return gearing_;

    }

    inline const DayCounter &NonstandardSwap::floatingDayCount() const {

        return floatingDayCount_;

    }

    inline BusinessDayConvention NonstandardSwap::paymentConvention() const {

        return paymentConvention_;

    }

    inline const Leg &NonstandardSwap::fixedLeg() const { return legs_[0]; }

    inline const Leg &NonstandardSwap::floatingLeg() const { return legs_[1]; }

}

#endif