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

/*

 Copyright (C) 2007 Ferdinando Ametrano

 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/quotes/forwardswapquote.hpp>

#include <ql/settings.hpp>

#include <utility>

namespace QuantLib {

    ForwardSwapQuote::ForwardSwapQuote(ext::shared_ptr<SwapIndex> swapIndex,

                                       Handle<Quote> spread,

                                       const Period& fwdStart)

    : swapIndex_(std::move(swapIndex)), spread_(std::move(spread)), fwdStart_(fwdStart) {

        registerWith(swapIndex_);

        registerWith(spread_);

        registerWith(Settings::instance().evaluationDate());

        evaluationDate_ = Settings::instance().evaluationDate();

        initializeDates();

    }

Unexecuted instantiation: QuantLib::ForwardSwapQuote::ForwardSwapQuote(boost::shared_ptr<QuantLib::SwapIndex>, QuantLib::Handle<QuantLib::Quote>, QuantLib::Period const&)

Unexecuted instantiation: QuantLib::ForwardSwapQuote::ForwardSwapQuote(boost::shared_ptr<QuantLib::SwapIndex>, QuantLib::Handle<QuantLib::Quote>, QuantLib::Period const&)

    void ForwardSwapQuote::initializeDates() {

        valueDate_ = swapIndex_->fixingCalendar().advance(

                                                evaluationDate_,

                                                swapIndex_->fixingDays()*Days,

                                                Following);

        startDate_ = swapIndex_->fixingCalendar().advance(valueDate_,

                                                          fwdStart_,

                                                          Following);

        fixingDate_ = swapIndex_->fixingDate(startDate_);

        swap_ = swapIndex_->underlyingSwap(fixingDate_);

    }

    void ForwardSwapQuote::update() {

        if (evaluationDate_ != Settings::instance().evaluationDate()) {

            evaluationDate_ = Settings::instance().evaluationDate();

            initializeDates();

        }

        LazyObject::update();

    }

    const Date& ForwardSwapQuote::valueDate() const {

        calculate();

        return valueDate_;

    }

    const Date& ForwardSwapQuote::startDate() const {

        calculate();

        return startDate_;

    }

    const Date& ForwardSwapQuote::fixingDate() const {

        calculate();

        return fixingDate_;

    }

    Real ForwardSwapQuote::value() const {

        calculate();

        return result_;

    }

    bool ForwardSwapQuote::isValid() const {

        bool swapIndexIsValid = true;

        try {

            swap_->recalculate();

        } catch (...) {

            swapIndexIsValid = false;

        }

        bool spreadIsValid = spread_.empty() ? true : spread_->isValid();

        return swapIndexIsValid && spreadIsValid;

    }

    void ForwardSwapQuote::performCalculations() const {

        // we didn't register as observers - force calculation

        swap_->recalculate();

        // weak implementation... to be improved

        static const Spread basisPoint = 1.0e-4;

        Real floatingLegNPV = swap_->floatingLegNPV();

        Spread spread = spread_.empty() ? 0.0 : spread_->value();

        Real spreadNPV = swap_->floatingLegBPS()/basisPoint*spread;

        Real totNPV = - (floatingLegNPV+spreadNPV);

        result_ = totNPV/(swap_->fixedLegBPS()/basisPoint);

    }

}