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

/*

 Copyright (C) 2008 Mark Joshi

 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/models/marketmodels/pathwisediscounter.hpp>

#include <ql/models/marketmodels/utilities.hpp>

#include <algorithm>

namespace QuantLib

{

MarketModelPathwiseDiscounter::MarketModelPathwiseDiscounter(Time paymentTime,

                              const std::vector<Time>& rateTimes)

{

    checkIncreasingTimes(rateTimes);

    numberRates_ = rateTimes.size()-1;

        before_ = std::lower_bound(rateTimes.begin(), rateTimes.end(),

                                   paymentTime) - rateTimes.begin();

        // handle the case where the payment is in the last

        // period or after the last period

        if (before_ > rateTimes.size()-2)

            before_ =  rateTimes.size()-2;

        beforeWeight_=1.0-(paymentTime-rateTimes[before_])/

            (rateTimes[before_+1]-rateTimes[before_]);

        postWeight_  = 1.0 - beforeWeight_;

        taus_.resize(numberRates_);

        for (Size i=0; i < numberRates_; ++i)

            taus_[i] = rateTimes[i+1] - rateTimes[i];

}

void MarketModelPathwiseDiscounter::getFactors(

            const Matrix& , // LIBORRates, for all steps

            const Matrix& Discounts, // P(t_0, t_j) for j=0,...n for each step

            Size currentStep,

            std::vector<Real>& factors) const

{

    Real preDF = Discounts[currentStep][before_];

    Real postDF = Discounts[currentStep][before_+1];

    for (Size i=before_+1; i<numberRates_; ++i)

        factors[i+1] =0.0;

    if (postWeight_==0.0)

    {

        factors[0] = preDF;

        for (Size i=0; i<before_; ++i)

            factors[i+1] = -preDF*taus_[i]*Discounts[currentStep][i+1]/Discounts[currentStep][i];

        factors[before_+1]=0.0;

        return;

    }

    Real df = preDF * std::pow(postDF/preDF, postWeight_);

    factors[0] = df;

    for (Size i=0; i<=before_; ++i)

       factors[i+1] = -df*taus_[i]*Discounts[currentStep][i+1]/Discounts[currentStep][i];

    factors[before_+1] *= postWeight_;

}

}