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

/*

 Copyright (C) 2008, 2009 Roland Lichters

 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 riskyassetswap.hpp

    \brief Risky asset-swap instrument

*/

#ifndef quantlib_risky_asset_swap_hpp

#define quantlib_risky_asset_swap_hpp

#include <ql/instrument.hpp>

#include <ql/termstructures/defaulttermstructure.hpp>

#include <ql/termstructures/yieldtermstructure.hpp>

#include <ql/termstructures/credit/defaultprobabilityhelpers.hpp>

#include <ql/time/schedule.hpp>

namespace QuantLib {

    //! Risky asset-swap instrument

    class RiskyAssetSwap : public Instrument {

      public:

        RiskyAssetSwap(bool fixedPayer,

                       Real nominal,

                       Schedule fixedSchedule,

                       Schedule floatSchedule,

                       DayCounter fixedDayCounter,

                       DayCounter floatDayCounter,

                       Rate spread,

                       Rate recoveryRate_,

                       Handle<YieldTermStructure> yieldTS,

                       Handle<DefaultProbabilityTermStructure> defaultTS,

                       Rate coupon = Null<Rate>());

        Real fairSpread ();

        Real floatAnnuity() const;

        Real nominal() const { return nominal_; }

        Rate spread() const { return spread_; }

        bool fixedPayer() const { return fixedPayer_; }

      private:

        void setupExpired() const override;

        bool isExpired() const override;

        void performCalculations() const override;

        Real fixedAnnuity() const;

        Real parCoupon() const;

        Real recoveryValue() const;

        Real riskyBondPrice() const;

        // calculated values

        mutable Real fixedAnnuity_;

        mutable Real floatAnnuity_;

        mutable Real parCoupon_;

        mutable Real recoveryValue_;

        mutable Real riskyBondPrice_;

        // input

        bool fixedPayer_;

        Real nominal_;

        Schedule fixedSchedule_, floatSchedule_;

        DayCounter fixedDayCounter_, floatDayCounter_;

        Rate spread_;

        Rate recoveryRate_;

        Handle<YieldTermStructure> yieldTS_;

        Handle<DefaultProbabilityTermStructure> defaultTS_;

        mutable Real coupon_;

    };

    // risky-asset-swap helper for probability-curve bootstrap

    class AssetSwapHelper : public DefaultProbabilityHelper {

      public:

        AssetSwapHelper(const Handle<Quote>& spread,

                        const Period& tenor,

                        Natural settlementDays,

                        Calendar calendar,

                        const Period& fixedPeriod,

                        BusinessDayConvention fixedConvention,

                        DayCounter fixedDayCount,

                        const Period& floatPeriod,

                        BusinessDayConvention floatConvention,

                        DayCounter floatDayCount,

                        Real recoveryRate,

                        const RelinkableHandle<YieldTermStructure>& yieldTS,

                        const Period& integrationStepSize = Period());

        Real impliedQuote() const override;

        void setTermStructure(DefaultProbabilityTermStructure*) override;

      private:

        void update() override;

        void initializeDates();

        Period tenor_;

        Natural settlementDays_;

        Calendar calendar_;

        BusinessDayConvention fixedConvention_;

        Period fixedPeriod_;

        DayCounter fixedDayCount_;

        BusinessDayConvention floatConvention_;

        Period floatPeriod_;

        DayCounter floatDayCount_;

        Real recoveryRate_;

        RelinkableHandle<YieldTermStructure> yieldTS_;

        Period integrationStepSize_;

        Date evaluationDate_;

        ext::shared_ptr<RiskyAssetSwap> asw_;

        RelinkableHandle<DefaultProbabilityTermStructure> probability_;

    };

}

#endif