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

/*

 Copyright (C) 2001, 2002, 2003 Sadruddin Rejeb

 Copyright (C) 2013 Peter Caspers

 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/math/solvers1d/brent.hpp>

#include <ql/pricingengines/swaption/gaussian1djamshidianswaptionengine.hpp>

#include <utility>

namespace QuantLib {

    class Gaussian1dJamshidianSwaptionEngine::rStarFinder {

      public:

        rStarFinder(const ext::shared_ptr<Gaussian1dModel>& model,

                    Real nominal,

                    const Date& maturityDate,

                    const Date& valueDate,

                    std::vector<Date> fixedPayDates,

                    const std::vector<Real>& amounts,

                    const Size startIndex)

        : strike_(nominal), maturityDate_(maturityDate), valueDate_(valueDate),

          startIndex_(startIndex), times_(std::move(fixedPayDates)), amounts_(amounts),

          model_(model) {}

        Real operator()(Rate y) const {

            Real value = strike_;

            Size size = times_.size();

            for (Size i = startIndex_; i < size; i++) {

                Real dbValue = model_->zerobond(times_[i], maturityDate_, y) /

                               model_->zerobond(valueDate_, maturityDate_, y);

                value -= amounts_[i] * dbValue;

            }

            return value;

        }

      private:

        Real strike_;

        Date maturityDate_, valueDate_;

        Size startIndex_;

        std::vector<Date> times_;

        const std::vector<Real> &amounts_;

        const ext::shared_ptr<Gaussian1dModel> &model_;

    };

    void Gaussian1dJamshidianSwaptionEngine::calculate() const {

        QL_REQUIRE(arguments_.settlementMethod != Settlement::ParYieldCurve,

                   "cash settled (ParYieldCurve) swaptions not priced with "

                   "Gaussian1dJamshidianSwaptionEngine");

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

                   "cannot use the Jamshidian decomposition "

                   "on exotic swaptions");

        QL_REQUIRE(arguments_.swap->spread() == 0.0,

                   "non zero spread (" << arguments_.swap->spread()

                                       << ") not allowed"); // PC

        QL_REQUIRE(arguments_.nominal != Null<Real>(),

                   "non-constant nominals are not supported yet");

        Date referenceDate;

        DayCounter dayCounter;

        referenceDate = model_->termStructure()->referenceDate();

        dayCounter = model_->termStructure()->dayCounter();

        std::vector<Real> amounts(arguments_.fixedCoupons);

        amounts.back() += arguments_.nominal;

        Size startIndex = std::upper_bound(arguments_.fixedResetDates.begin(),

                                           arguments_.fixedResetDates.end(),

                                           arguments_.exercise->date(0) - 1) -

                          arguments_.fixedResetDates.begin();

        // only consider coupons with start date >= exercise dates

        rStarFinder finder(*model_, arguments_.nominal,

                           arguments_.exercise->date(0),

                           arguments_.fixedResetDates[startIndex],

                           arguments_.fixedPayDates, amounts, startIndex);

        Brent s1d;

        Rate minStrike = -8.0;

        Rate maxStrike = 8.0;

        s1d.setMaxEvaluations(10000);

        s1d.setLowerBound(minStrike);

        s1d.setUpperBound(maxStrike);

        Rate rStar = s1d.solve(finder, 1e-8, 0.00, minStrike,

                               maxStrike); // this is actually yStar

        Option::Type w =

            arguments_.type == Swap::Payer ? Option::Put : Option::Call;

        Size size = arguments_.fixedCoupons.size();

        Real value = 0.0;

        for (Size i = startIndex; i < size; i++) {

            // Real fixedPayTime =

            // dayCounter.yearFraction(referenceDate,arguments_.fixedPayDates[i]);

            Real strike =

                model_->zerobond(arguments_.fixedPayDates[i],

                                 arguments_.exercise->date(0), rStar) /

                model_->zerobond(arguments_.fixedResetDates[startIndex],

                                 arguments_.exercise->date(0), rStar);

            Real dboValue =

                model_->zerobondOption(w, arguments_.exercise->date(0),

                                       arguments_.fixedResetDates[startIndex],

                                       arguments_.fixedPayDates[i], strike);

            value += amounts[i] * dboValue;

        }

        results_.value = value;

    }

}