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

/*

 Copyright (C) 2011 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.

*/

/*! \file fdsimpleextoujumpswingengine.cpp

    \brief Finite Differences engine for simple swing options

*/

#include <ql/experimental/finitedifferences/fdmextoujumpmodelinnervalue.hpp>

#include <ql/experimental/finitedifferences/fdmsimple3dextoujumpsolver.hpp>

#include <ql/experimental/finitedifferences/fdsimpleextoujumpswingengine.hpp>

#include <ql/experimental/processes/extendedornsteinuhlenbeckprocess.hpp>

#include <ql/experimental/processes/extouwithjumpsprocess.hpp>

#include <ql/methods/finitedifferences/meshers/exponentialjump1dmesher.hpp>

#include <ql/methods/finitedifferences/meshers/fdmblackscholesmesher.hpp>

#include <ql/methods/finitedifferences/meshers/fdmmeshercomposite.hpp>

#include <ql/methods/finitedifferences/meshers/fdmsimpleprocess1dmesher.hpp>

#include <ql/methods/finitedifferences/meshers/uniform1dmesher.hpp>

#include <ql/methods/finitedifferences/operators/fdmlinearoplayout.hpp>

#include <ql/methods/finitedifferences/solvers/fdm3dimsolver.hpp>

#include <ql/methods/finitedifferences/stepconditions/fdmsimpleswingcondition.hpp>

#include <ql/methods/finitedifferences/stepconditions/fdmstepconditioncomposite.hpp>

#include <ql/termstructures/yieldtermstructure.hpp>

#include <utility>

namespace QuantLib {

    FdSimpleExtOUJumpSwingEngine::FdSimpleExtOUJumpSwingEngine(

        ext::shared_ptr<ExtOUWithJumpsProcess> process,

        ext::shared_ptr<YieldTermStructure> rTS,

        Size tGrid,

        Size xGrid,

        Size yGrid,

        ext::shared_ptr<Shape> shape,

        const FdmSchemeDesc& schemeDesc)

    : process_(std::move(process)), rTS_(std::move(rTS)), shape_(std::move(shape)), tGrid_(tGrid),

      xGrid_(xGrid), yGrid_(yGrid), schemeDesc_(schemeDesc) {}

    void FdSimpleExtOUJumpSwingEngine::calculate() const {

        // 1. Exercise

        ext::shared_ptr<SwingExercise> swingExercise(

            ext::dynamic_pointer_cast<SwingExercise>(arguments_.exercise));

        QL_REQUIRE(swingExercise, "Swing exercise supported only");

        // 2. Mesher

        const std::vector<Time> exerciseTimes

            = swingExercise->exerciseTimes(rTS_->dayCounter(),

                                           rTS_->referenceDate());

        const Time maturity = exerciseTimes.back();

        const ext::shared_ptr<StochasticProcess1D> ouProcess(

                              process_->getExtendedOrnsteinUhlenbeckProcess());

        const ext::shared_ptr<Fdm1dMesher> xMesher(

                     new FdmSimpleProcess1dMesher(xGrid_, ouProcess,maturity));

        const ext::shared_ptr<Fdm1dMesher> yMesher(

                        new ExponentialJump1dMesher(yGrid_,

                                                    process_->beta(),

                                                    process_->jumpIntensity(),

                                                    process_->eta()));

        const ext::shared_ptr<Fdm1dMesher> exerciseMesher(

                       new Uniform1dMesher(

                           0, static_cast<Real>(arguments_.maxExerciseRights),

                           arguments_.maxExerciseRights+1));

        const ext::shared_ptr<FdmMesher> mesher(

            new FdmMesherComposite(xMesher, yMesher, exerciseMesher));

        // 3. Calculator

        ext::shared_ptr<FdmInnerValueCalculator> calculator(

                                                    new FdmZeroInnerValue());

        // 4. Step conditions

        std::list<ext::shared_ptr<StepCondition<Array> > > stepConditions;

        std::list<std::vector<Time> > stoppingTimes;

        // 4.1 Bermudan step conditions

        stoppingTimes.push_back(exerciseTimes);

        ext::shared_ptr<FdmInnerValueCalculator> exerciseCalculator(

            new FdmExtOUJumpModelInnerValue(arguments_.payoff, mesher, shape_));

        stepConditions.push_back(ext::shared_ptr<StepCondition<Array> >(

            new FdmSimpleSwingCondition(

                exerciseTimes, mesher, exerciseCalculator,

                2, arguments_.minExerciseRights)));

        ext::shared_ptr<FdmStepConditionComposite> conditions(

                new FdmStepConditionComposite(stoppingTimes, stepConditions));

        // 5. Boundary conditions

        const FdmBoundaryConditionSet boundaries;

        // 6. set-up solver

        FdmSolverDesc solverDesc = { mesher, boundaries, conditions,

                                     calculator, maturity, tGrid_, 0 };

        const ext::shared_ptr<FdmSimple3dExtOUJumpSolver> solver(

            new FdmSimple3dExtOUJumpSolver(

                                    Handle<ExtOUWithJumpsProcess>(process_),

                                    rTS_, solverDesc, schemeDesc_));

        const Real x = process_->initialValues()[0];

        const Real y = process_->initialValues()[1];

        results_.value = solver->valueAt(x, y, 0.0);

    }

}