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

/*

 Copyright (C) 2009, 2011 Chris Kenyon

 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 cpicouponpricer.hpp

    \brief zero inflation-coupon pricer

 */

#ifndef quantlib_cpicouponpricer_hpp

#define quantlib_cpicouponpricer_hpp

#include <ql/cashflow.hpp>

#include <ql/option.hpp>

#include <ql/cashflows/inflationcouponpricer.hpp>

#include <ql/cashflows/cpicoupon.hpp>

#include <ql/termstructures/volatility/inflation/cpivolatilitystructure.hpp>

namespace QuantLib {

    //! base pricer for capped/floored CPI coupons N.B. vol-dependent parts are a TODO

    /*! \note this pricer can already do swaplets but to get

              volatility-dependent coupons you need to implement the descendents.

    */

    class CPICouponPricer : public InflationCouponPricer {

      public:

        explicit CPICouponPricer(Handle<YieldTermStructure> nominalTermStructure = Handle<YieldTermStructure>());

        explicit CPICouponPricer(Handle<CPIVolatilitySurface> capletVol,

                                 Handle<YieldTermStructure> nominalTermStructure = Handle<YieldTermStructure>());

        virtual Handle<CPIVolatilitySurface> capletVolatility() const{

            return capletVol_;

        }

        virtual Handle<YieldTermStructure> nominalTermStructure() const{

            return nominalTermStructure_;

        }

        virtual void setCapletVolatility(

            const Handle<CPIVolatilitySurface>& capletVol);

        //! \name InflationCouponPricer interface

        //@{

        Real swapletPrice() const override;

        Rate swapletRate() const override;

        Real capletPrice(Rate effectiveCap) const override;

        Rate capletRate(Rate effectiveCap) const override;

        Real floorletPrice(Rate effectiveFloor) const override;

        Rate floorletRate(Rate effectiveFloor) const override;

        void initialize(const InflationCoupon&) override;

        //@}

        virtual Rate accruedRate(Date settlementDate) const;

      protected:

        virtual Real optionletPrice(Option::Type optionType,

                                    Real effStrike) const;

        virtual Real optionletRate(Option::Type optionType,

                                   Real effStrike) const;

        /*! Derived classes usually only need to implement this.

            The name of the method is misleading.  This actually

            returns the rate of the optionlet (so not discounted and

            not accrued).

        */

        virtual Real optionletPriceImp(Option::Type, Real strike,

                                       Real forward, Real stdDev) const;

        // data

        Handle<CPIVolatilitySurface> capletVol_;

        Handle<YieldTermStructure> nominalTermStructure_;

        const CPICoupon* coupon_;

        Real gearing_;

        Real discount_;

    };

}

#endif