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

/*

 Copyright (C) 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.

*/

#include <ql/experimental/inflation/cpicapfloorengines.hpp>

#include <ql/experimental/inflation/cpicapfloortermpricesurface.hpp>

#include <ql/time/daycounters/actualactual.hpp>

#include <utility>

namespace QuantLib {

    InterpolatingCPICapFloorEngine::InterpolatingCPICapFloorEngine(

        Handle<CPICapFloorTermPriceSurface> priceSurf)

    : priceSurf_(std::move(priceSurf)) {

        registerWith(priceSurf_);

    }

    void InterpolatingCPICapFloorEngine::calculate() const

    {

        Real npv = 0.0;

        // what is the difference between the observationLag of the surface

        // and the observationLag of the cap/floor?

        // \TODO next line will fail if units are different

        Period lagDiff = arguments_.observationLag - priceSurf_->observationLag();

        // next line will fail if units are different if Period() is not well written

        QL_REQUIRE(lagDiff >= Period(0, Months), "InterpolatingCPICapFloorEngine: "

                   "lag difference must be non-negative: " << lagDiff);

        // we now need an effective maturity to use in the price surface because this uses

        // maturity of calibration instruments as its time axis, N.B. this must also

        // use the roll because the surface does

        Date effectiveMaturity = arguments_.payDate - lagDiff;

        // what interpolation do we use? Index / flat / linear

        if (arguments_.observationInterpolation == CPI::AsIndex) {

            // same as index means we can just use the price surface

            // since this uses the index

            if (arguments_.type == Option::Call) {

                npv = priceSurf_->capPrice(effectiveMaturity, arguments_.strike);

            } else {

                npv = priceSurf_->floorPrice(effectiveMaturity, arguments_.strike);

            }

        } else {

            std::pair<Date,Date> dd = inflationPeriod(effectiveMaturity, arguments_.index->frequency());

            Real priceStart = 0.0;

            if (arguments_.type == Option::Call) {

                priceStart = priceSurf_->capPrice(dd.first, arguments_.strike);

            } else {

                priceStart = priceSurf_->floorPrice(dd.first, arguments_.strike);

            }

            // if we use a flat index vs the interpolated one ...

            if (arguments_.observationInterpolation == CPI::Flat) {

                // then use the price for the first day in the period because the value cannot change after then

                npv = priceStart;

            } else {

                // linear interpolation will be very close

                Real priceEnd = 0.0;

                if (arguments_.type == Option::Call) {

                    priceEnd = priceSurf_->capPrice((dd.second+Period(1,Days)), arguments_.strike);

                } else {

                    priceEnd = priceSurf_->floorPrice((dd.second+Period(1,Days)), arguments_.strike);

                }

                npv = priceStart + (priceEnd - priceStart) * (effectiveMaturity - dd.first)

                / ( (dd.second+Period(1,Days)) - dd.first); // can't get to next period'

            }

        }

        results_.value = npv;

    }

}