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

/*

 Copyright (C) 2018 Roy Zywina

 Copyright (C) 2019, 2020 Eisuke Tani

 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/termstructures/yield/overnightindexfutureratehelper.hpp>

#include <ql/indexes/ibor/sofr.hpp>

#include <ql/utilities/null_deleter.hpp>

namespace QuantLib {

    namespace {

        Date getSofrStart(Month month, Year year, Frequency freq) {

            return freq == Monthly ? Date(1, month, year) :

                   Date::nthWeekday(3, Wednesday, month, year);

        }

        Date getSofrEnd(Month month, Year year, Frequency freq) {

            if (freq == Monthly) {

                return Date::endOfMonth(Date(1, month, year)) + 1;

            } else {

                Date d = getSofrStart(month, year, freq) + Period(freq);

                return Date::nthWeekday(3, Wednesday, d.month(), d.year());

            }

        }

    }

    OvernightIndexFutureRateHelper::OvernightIndexFutureRateHelper(

        const Handle<Quote>& price,

        // first day of reference period

        const Date& valueDate,

        // delivery date

        const Date& maturityDate,

        const ext::shared_ptr<OvernightIndex>& overnightIndex,

        const Handle<Quote>& convexityAdjustment,

        RateAveraging::Type averagingMethod)

    : RateHelper(price) {

        ext::shared_ptr<OvernightIndex> index =

            ext::dynamic_pointer_cast<OvernightIndex>(overnightIndex->clone(termStructureHandle_));

        future_ = ext::make_shared<OvernightIndexFuture>(

            index, valueDate, maturityDate, convexityAdjustment, averagingMethod);

        registerWithObservables(future_);

        earliestDate_ = valueDate;

        latestDate_ = maturityDate;

    }

    Real OvernightIndexFutureRateHelper::impliedQuote() const {

        future_->recalculate();

        return future_->NPV();

    }

    void OvernightIndexFutureRateHelper::setTermStructure(YieldTermStructure* t) {

        // do not set the relinkable handle as an observer -

        // force recalculation when needed

        bool observer = false;

        ext::shared_ptr<YieldTermStructure> temp(t, null_deleter());

        termStructureHandle_.linkTo(temp, observer);

        RateHelper::setTermStructure(t);

    }

    void OvernightIndexFutureRateHelper::accept(AcyclicVisitor& v) {

        auto* v1 = dynamic_cast<Visitor<OvernightIndexFutureRateHelper>*>(&v);

        if (v1 != nullptr)

            v1->visit(*this);

        else

            RateHelper::accept(v);

    }

    Real OvernightIndexFutureRateHelper::convexityAdjustment() const {

        return future_->convexityAdjustment();

    }

    SofrFutureRateHelper::SofrFutureRateHelper(

        const Handle<Quote>& price,

        Month referenceMonth,

        Year referenceYear,

        Frequency referenceFreq,

        const Handle<Quote>& convexityAdjustment)

    : OvernightIndexFutureRateHelper(price,

            getSofrStart(referenceMonth, referenceYear, referenceFreq),

            getSofrEnd(referenceMonth, referenceYear, referenceFreq),

            ext::make_shared<Sofr>(),

            convexityAdjustment,

            referenceFreq == Quarterly ? RateAveraging::Compound : RateAveraging::Simple) {

        QL_REQUIRE(referenceFreq == Quarterly || referenceFreq == Monthly,

            "only monthly and quarterly SOFR futures accepted");

    }

    SofrFutureRateHelper::SofrFutureRateHelper(

        Real price,

        Month referenceMonth,

        Year referenceYear,

        Frequency referenceFreq,

        Real convexityAdjustment)

    : OvernightIndexFutureRateHelper(

            Handle<Quote>(ext::make_shared<SimpleQuote>(price)),

            getSofrStart(referenceMonth, referenceYear, referenceFreq),

            getSofrEnd(referenceMonth, referenceYear, referenceFreq),

            ext::make_shared<Sofr>(),

            Handle<Quote>(ext::make_shared<SimpleQuote>(convexityAdjustment)),

            referenceFreq == Quarterly ? RateAveraging::Compound : RateAveraging::Simple) {

        QL_REQUIRE(referenceFreq == Quarterly || referenceFreq == Monthly,

            "only monthly and quarterly SOFR futures accepted");

    }

}