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

/*

 Copyright (C) 2008 Andreas Gaida

 Copyright (C) 2008, 2009 Ralph Schreyer

 Copyright (C) 2008, 2009 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 fdminnervaluecalculator.cpp

    \brief layer of abstraction to calculate the inner value

*/

#include <ql/instruments/basketoption.hpp>

#include <ql/math/integrals/simpsonintegral.hpp>

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

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

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

#include <ql/payoff.hpp>

#include <deque>

#include <utility>

namespace QuantLib {

    namespace {

        struct mapped_payoff {

            explicit mapped_payoff(

                const Payoff& payoff,

                const std::function<Real(Real)>& gridMapping)

            : payoff(payoff), gridMapping_(gridMapping) {}

            Real operator()(Real x) const { return payoff(gridMapping_(x)); }

            const Payoff& payoff;

            const std::function<Real(Real)>& gridMapping_;

        };

    }

    FdmCellAveragingInnerValue::FdmCellAveragingInnerValue(ext::shared_ptr<Payoff> payoff,

                                                           ext::shared_ptr<FdmMesher> mesher,

                                                           Size direction,

                                                           std::function<Real(Real)> gridMapping)

    : payoff_(std::move(payoff)), mesher_(std::move(mesher)), direction_(direction),

      gridMapping_(std::move(gridMapping)) {}

    Real FdmCellAveragingInnerValue::innerValue(const FdmLinearOpIterator& iter, Time) {

        const Real loc = mesher_->location(iter, direction_);

        return (*payoff_)(gridMapping_(loc));

    }

    Real FdmCellAveragingInnerValue::avgInnerValue(const FdmLinearOpIterator& iter, Time t) {

        if (avgInnerValues_.empty()) {

            // calculate caching values

            avgInnerValues_.resize(mesher_->layout()->dim()[direction_]);

            std::deque<bool> initialized(avgInnerValues_.size(), false);

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

                const Size xn = i.coordinates()[direction_];

                if (!initialized[xn]) {

                    initialized[xn]     = true;

                    avgInnerValues_[xn] = avgInnerValueCalc(i, t);

                }

            }

        }

        return avgInnerValues_[iter.coordinates()[direction_]];

    }

    Real FdmCellAveragingInnerValue::avgInnerValueCalc(const FdmLinearOpIterator& iter, Time t) {

        const Size dim = mesher_->layout()->dim()[direction_];

        const Size coord = iter.coordinates()[direction_];

        if (coord == 0 || coord == dim-1)

            return innerValue(iter, t);

        const Real loc = mesher_->location(iter,direction_);

        const Real a = loc - mesher_->dminus(iter, direction_)/2.0;

        const Real b = loc + mesher_->dplus(iter, direction_)/2.0;

        mapped_payoff f(*payoff_, gridMapping_);

        Real retVal;

        try {

            const Real acc

                = ((f(a) != 0.0 || f(b) != 0.0) ? Real((f(a)+f(b))*5e-5) : 1e-4);

            retVal = SimpsonIntegral(acc, 8)(f, a, b)/(b-a);

        }

        catch (Error&) {

            // use default value

            retVal = innerValue(iter, t);

        }

        return retVal;

    }

    FdmLogInnerValue::FdmLogInnerValue(

        const ext::shared_ptr<Payoff>& payoff,

        const ext::shared_ptr<FdmMesher>& mesher,

        Size direction)

    : FdmCellAveragingInnerValue(

        payoff, mesher, direction,

        [](Real x) -> Real { return std::exp(x); }) {}

    FdmLogBasketInnerValue::FdmLogBasketInnerValue(ext::shared_ptr<BasketPayoff> payoff,

                                                   ext::shared_ptr<FdmMesher> mesher)

    : payoff_(std::move(payoff)), mesher_(std::move(mesher)) {}

    Real FdmLogBasketInnerValue::innerValue(

                                    const FdmLinearOpIterator& iter, Time) {

        Array x(mesher_->layout()->dim().size());

        for (Size i=0; i < x.size(); ++i) {

            x[i] = std::exp(mesher_->location(iter, i));

        }

        return (*payoff_)(x);

    }

    Real 

    FdmLogBasketInnerValue::avgInnerValue(

                                    const FdmLinearOpIterator& iter, Time t) {

        return innerValue(iter, t);

    }

}