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

/*

 Copyright (C) 2010 Master IMAFA - Polytech'Nice Sophia - Université de Nice Sophia Antipolis

 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/exercise.hpp>

#include <ql/pricingengines/exotic/analyticamericanmargrabeengine.hpp>

#include <ql/pricingengines/vanilla/bjerksundstenslandengine.hpp>

#include <ql/quotes/simplequote.hpp>

#include <ql/termstructures/volatility/equityfx/blackconstantvol.hpp>

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

#include <ql/time/calendars/nullcalendar.hpp>

#include <utility>

namespace QuantLib {

    AnalyticAmericanMargrabeEngine::AnalyticAmericanMargrabeEngine(

        ext::shared_ptr<GeneralizedBlackScholesProcess> process1,

        ext::shared_ptr<GeneralizedBlackScholesProcess> process2,

        Real correlation)

    : process1_(std::move(process1)), process2_(std::move(process2)), rho_(correlation) {

        registerWith(process1_);

        registerWith(process2_);

    }

    void AnalyticAmericanMargrabeEngine::calculate() const {

        QL_REQUIRE(arguments_.exercise->type() == Exercise::American,

                   "not an American option");

        ext::shared_ptr<AmericanExercise> exercise =

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

        QL_REQUIRE(exercise, "not an American option");

        ext::shared_ptr<NullPayoff> payoff0 =

            ext::dynamic_pointer_cast<NullPayoff>(arguments_.payoff);

        QL_REQUIRE(payoff0, "not a null payoff");

        // The option can be priced as an American single-asset option

        // with an adjusted process and payoff.

        Date today = Settings::instance().evaluationDate();

        DayCounter rfdc  = process1_->riskFreeRate()->dayCounter();

        Time t = rfdc.yearFraction(process1_->riskFreeRate()->referenceDate(),

                                   arguments_.exercise->lastDate());

        Real s1 = process1_->stateVariable()->value();

        Real s2 = process2_->stateVariable()->value();

        ext::shared_ptr<SimpleQuote> spot(new SimpleQuote(arguments_.Q1*s1));

        ext::shared_ptr<StrikedTypePayoff> payoff(

                      new PlainVanillaPayoff(Option::Call, arguments_.Q2*s2));

        DiscountFactor dividendDiscount1 =

            process1_->dividendYield()->discount(exercise->lastDate());

        Rate q1 = -std::log(dividendDiscount1)/t;

        DiscountFactor dividendDiscount2 =

            process2_->dividendYield()->discount(exercise->lastDate());

        Rate q2 = -std::log(dividendDiscount2)/t;

        ext::shared_ptr<YieldTermStructure> qTS(

                                            new FlatForward(today, q1, rfdc));

        ext::shared_ptr<YieldTermStructure> rTS(

                                            new FlatForward(today, q2, rfdc));

        Real variance1 = process1_->blackVolatility()->blackVariance(

                                                exercise->lastDate(), s1);

        Real variance2 = process2_->blackVolatility()->blackVariance(

                                                exercise->lastDate(), s2);

        Real variance = variance1 + variance2

                      - 2*rho_*std::sqrt(variance1)*std::sqrt(variance2);

        Volatility volatility = std::sqrt(variance/t);

        ext::shared_ptr<BlackVolTermStructure> volTS(

               new BlackConstantVol(today, NullCalendar(), volatility, rfdc));

        ext::shared_ptr<BlackScholesMertonProcess> stochProcess(new

            BlackScholesMertonProcess(Handle<Quote>(spot),

                                      Handle<YieldTermStructure>(qTS),

                                      Handle<YieldTermStructure>(rTS),

                                      Handle<BlackVolTermStructure>(volTS)));

        ext::shared_ptr<PricingEngine> engine(

                     new BjerksundStenslandApproximationEngine(stochProcess));

        VanillaOption option(payoff, exercise);

        option.setPricingEngine(engine);

        results_.value = option.NPV();

    }

}