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

/*

 Copyright (C) 2011, 2012 Andre Miemiec

 Copyright (C) 2012 Samuel Tebege

 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 haganirregularswaptionengine.hpp

    \brief engine for pricing irregular swaptions via super-replication

*/

#ifndef quantlib_hagan_irregular_swaption_engine_hpp

#define quantlib_hagan_irregular_swaption_engine_hpp

#include <ql/experimental/swaptions/irregularswaption.hpp>

#include <ql/termstructures/yieldtermstructure.hpp>

#include <ql/termstructures/volatility/swaption/swaptionvolstructure.hpp>

#include <ql/math/optimization/costfunction.hpp>

#include <ql/instruments/makevanillaswap.hpp>

namespace QuantLib {

    //! Pricing engine for irregular swaptions 

    /*! References:

        1. P.S. Hagan: "Methodology for Callable Swaps and Bermudan

           'Exercise into Swaptions'"

        2. P.J. Hunt, J.E. Kennedy: "Implied interest rate pricing

           models", Finance Stochast. 2, 275-293 (1998)

        \warning Currently a spread is not handled correctly; it

                 should be a minor exercise to account for this

                 feature as well;

    */

    class HaganIrregularSwaptionEngine

        : public GenericEngine<IrregularSwaption::arguments,

        IrregularSwaption::results> {

    public:

        //@{

      explicit HaganIrregularSwaptionEngine(

          Handle<SwaptionVolatilityStructure>,

          Handle<YieldTermStructure> termStructure = Handle<YieldTermStructure>());

      //@}

      void calculate() const override;

      // helper class

      class Basket {

        public:

          Basket(ext::shared_ptr<IrregularSwap> swap,

                 Handle<YieldTermStructure> termStructure,

                 Handle<SwaptionVolatilityStructure> volatilityStructure);

          Array compute(Rate lambda = 0.0) const;

          Real operator()(Rate x) const;

          ext::shared_ptr<VanillaSwap> component(Size i) const;

          Array weights() const { return compute(lambda_); };

          Real& lambda() const { return lambda_; };

          // NOLINTNEXTLINE(cppcoreguidelines-noexcept-swap,performance-noexcept-swap)

          ext::shared_ptr<IrregularSwap> swap() const { return swap_; };

        private:

            ext::shared_ptr<IrregularSwap> swap_;

            Handle<YieldTermStructure>          termStructure_;

            Handle<SwaptionVolatilityStructure> volatilityStructure_;

            Real targetNPV_ = 0.0;

            ext::shared_ptr<PricingEngine> engine_;

            std::vector<Real> fairRates_;

            std::vector<Real> annuities_;

            std::vector<Date> expiries_;

            mutable Real lambda_ = 0.0;

        };

        Real HKPrice(Basket& basket,ext::shared_ptr<Exercise>& exercise)  const;

        Real LGMPrice(Basket& basket,ext::shared_ptr<Exercise>& exercise) const;

    private:

        Handle<YieldTermStructure>          termStructure_;

        Handle<SwaptionVolatilityStructure> volatilityStructure_;

        class rStarFinder;

    };

}

#endif