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

/*

 Copyright (C) 2004 Neil Firth

 Copyright (C) 2006 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/montecarlo/lsmbasissystem.hpp>

#include <ql/pricingengines/basket/mcamericanbasketengine.hpp>

#include <utility>

namespace QuantLib {

    AmericanBasketPathPricer::AmericanBasketPathPricer(

        Size assetNumber,

        ext::shared_ptr<Payoff> payoff,

        Size polynomialOrder,

        LsmBasisSystem::PolynomialType polynomialType)

    : assetNumber_(assetNumber), payoff_(std::move(payoff)),

      v_(LsmBasisSystem::multiPathBasisSystem(assetNumber_, polynomialOrder, polynomialType)) {

        QL_REQUIRE(   polynomialType == LsmBasisSystem::Monomial

                   || polynomialType == LsmBasisSystem::Laguerre

                   || polynomialType == LsmBasisSystem::Hermite

                   || polynomialType == LsmBasisSystem::Hyperbolic

                   || polynomialType == LsmBasisSystem::Chebyshev2nd,

                   "insufficient polynomial type");

        const ext::shared_ptr<BasketPayoff> basketPayoff

            = ext::dynamic_pointer_cast<BasketPayoff>(payoff_);

        QL_REQUIRE(basketPayoff, "payoff not a basket payoff");

        const ext::shared_ptr<StrikedTypePayoff> strikePayoff

            = ext::dynamic_pointer_cast<StrikedTypePayoff>(basketPayoff->basePayoff());

        if (strikePayoff != nullptr) {

            scalingValue_/=strikePayoff->strike();

        }

        v_.emplace_back([&](const Array& state) { return this->payoff(state); });

    }

    Array AmericanBasketPathPricer::state(const MultiPath& path,

                                          Size t) const {

        QL_REQUIRE(path.assetNumber() == assetNumber_, "invalid multipath");

        Array tmp(assetNumber_);

        for (Size i=0; i<assetNumber_; ++i) {

            tmp[i] = path[i][t]*scalingValue_;

        }

        return tmp;

    }

    Real AmericanBasketPathPricer::payoff(const Array& state) const {

        const ext::shared_ptr<BasketPayoff> basketPayoff

            = ext::dynamic_pointer_cast<BasketPayoff>(payoff_);

        QL_REQUIRE(basketPayoff, "payoff not a basket payoff");

        Real value = basketPayoff->accumulate(state);

        return (*payoff_)(value/scalingValue_);

    }

    Real AmericanBasketPathPricer::operator()(const MultiPath& path,

                                              Size t) const {

        return this->payoff(this->state(path, t));

    }

    std::vector<std::function<Real(Array)> >

    AmericanBasketPathPricer::basisSystem() const {

        return v_;

    }

}