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

/*

 Copyright (C) 2010 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 fdmbatesop.cpp

    \brief Bates linear operator

*/

#include <ql/math/interpolations/linearinterpolation.hpp>

#include <ql/math/matrix.hpp>

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

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

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

#include <ql/methods/finitedifferences/utilities/fdmdirichletboundary.hpp>

#include <ql/processes/batesprocess.hpp>

#include <ql/quotes/simplequote.hpp>

#include <ql/termstructures/yield/zerospreadedtermstructure.hpp>

#include <utility>

namespace QuantLib {

    FdmBatesOp::FdmBatesOp(const ext::shared_ptr<FdmMesher>& mesher,

                           const ext::shared_ptr<BatesProcess>& batesProcess,

                           FdmBoundaryConditionSet bcSet,

                           const Size integroIntegrationOrder,

                           const ext::shared_ptr<FdmQuantoHelper>& quantoHelper)

    : lambda_(batesProcess->lambda()), delta_(batesProcess->delta()), nu_(batesProcess->nu()),

      m_(std::exp(nu_ + 0.5 * delta_ * delta_) - 1.0),

      gaussHermiteIntegration_(integroIntegrationOrder), mesher_(mesher), bcSet_(std::move(bcSet)),

      hestonOp_(new FdmHestonOp(

          mesher,

          ext::make_shared<HestonProcess>(

              batesProcess->riskFreeRate(),

              Handle<YieldTermStructure>(ext::make_shared<ZeroSpreadedTermStructure>(

                  batesProcess->dividendYield(),

                  Handle<Quote>(ext::shared_ptr<Quote>(new SimpleQuote(lambda_ * m_))),

                  Continuous)),

              batesProcess->s0(),

              batesProcess->v0(),

              batesProcess->kappa(),

              batesProcess->theta(),

              batesProcess->sigma(),

              batesProcess->rho()),

          quantoHelper)) {}

    FdmBatesOp::IntegroIntegrand::IntegroIntegrand(

                    const ext::shared_ptr<LinearInterpolation>& interpl,

                    const FdmBoundaryConditionSet& bcSet,

                    Real x, Real delta, Real nu)

    : x_(x), delta_(delta), nu_(nu), 

      bcSet_(bcSet), interpl_(interpl) { }

    Real FdmBatesOp::IntegroIntegrand::operator()(Real y) const {

        const Real x = x_ + M_SQRT2*delta_*y + nu_;

        Real valueOfDerivative = (*interpl_)(x, true);

        for (auto iter = bcSet_.begin(); iter < bcSet_.end(); ++iter) {

            const ext::shared_ptr<FdmDirichletBoundary> dirichlet

                = ext::dynamic_pointer_cast<FdmDirichletBoundary>(*iter);

            QL_REQUIRE(dirichlet, "FdmBatesOp can only deal with Dirichlet "

                                  "boundary conditions.");

            valueOfDerivative

                = dirichlet->applyAfterApplying(x, valueOfDerivative);

        }

        return std::exp(-y*y)*valueOfDerivative;

    }

    Array FdmBatesOp::integro(const Array& r) const {

        QL_REQUIRE(mesher_->layout()->dim().size() == 2, "invalid layout dimension");

        Array x(mesher_->layout()->dim()[0]);

        Matrix f(mesher_->layout()->dim()[1], mesher_->layout()->dim()[0]);

        for (const auto& iter : *mesher_->layout()) {

            const Size i = iter.coordinates()[0];

            const Size j = iter.coordinates()[1];

            x[i]    = mesher_->location(iter, 0);

            f[j][i] = r[iter.index()];

        }

        std::vector<ext::shared_ptr<LinearInterpolation> > interpl(f.rows());

        for (Size i=0; i < f.rows(); ++i) {

            interpl[i] = ext::make_shared<LinearInterpolation>(

                x.begin(), x.end(), f.row_begin(i));

        }

        Array integral(r.size());

        for (const auto& iter : *mesher_->layout()) {

            const Size i = iter.coordinates()[0];

            const Size j = iter.coordinates()[1];

            integral[iter.index()] = M_1_SQRTPI* 

                gaussHermiteIntegration_(

                      IntegroIntegrand(interpl[j], bcSet_, x[i], delta_, nu_));

        }

        return lambda_*(integral-r);

    }

    std::vector<SparseMatrix> FdmBatesOp::toMatrixDecomp() const {

        QL_FAIL("not implemented");

    }

}