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

/*

 Copyright (C) 2005, 2006 Theo Boafo

 Copyright (C) 2006, 2007 StatPro Italia srl

 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 convertiblebonds.hpp

    \brief convertible bond class

*/

#ifndef quantlib_convertible_bonds_hpp

#define quantlib_convertible_bonds_hpp

#include <ql/instruments/bond.hpp>

#include <ql/instruments/callabilityschedule.hpp>

#include <ql/instruments/dividendschedule.hpp>

#include <ql/instruments/oneassetoption.hpp>

#include <ql/quote.hpp>

#include <ql/time/daycounter.hpp>

#include <ql/time/schedule.hpp>

namespace QuantLib {

    class IborIndex;

    class PricingEngine;

    //! %callability leaving to the holder the possibility to convert

    class SoftCallability : public Callability {

      public:

        SoftCallability(const Bond::Price& price, const Date& date, Real trigger)

        : Callability(price, Callability::Call, date), trigger_(trigger) {}

        Real trigger() const { return trigger_; }

      private:

        Real trigger_;

    };

    //! base class for convertible bonds

    class ConvertibleBond : public Bond {

      public:

        class arguments;

        class engine;

        Real conversionRatio() const { return conversionRatio_; }

        const CallabilitySchedule& callability() const { return callability_; }

      protected:

        ConvertibleBond(ext::shared_ptr<Exercise> exercise,

                        Real conversionRatio,

                        const CallabilitySchedule& callability,

                        const Date& issueDate,

                        Natural settlementDays,

                        const Schedule& schedule,

                        Real redemption);

        void setupArguments(PricingEngine::arguments*) const override;

      private:

        ext::shared_ptr<Exercise> exercise_;

        Real conversionRatio_;

        CallabilitySchedule callability_;

        Real redemption_;

    };

    //! convertible zero-coupon bond

    /*! \warning Most methods inherited from Bond (such as yield or

                 the yield-based dirtyPrice and cleanPrice) refer to

                 the underlying plain-vanilla bond and do not take

                 convertibility and callability into account.

    */

    class ConvertibleZeroCouponBond : public ConvertibleBond {

      public:

        ConvertibleZeroCouponBond(const ext::shared_ptr<Exercise>& exercise,

                                  Real conversionRatio,

                                  const CallabilitySchedule& callability,

                                  const Date& issueDate,

                                  Natural settlementDays,

                                  const DayCounter& dayCounter,

                                  const Schedule& schedule,

                                  Real redemption = 100);

    };

    //! convertible fixed-coupon bond

    /*! \warning Most methods inherited from Bond (such as yield or

                 the yield-based dirtyPrice and cleanPrice) refer to

                 the underlying plain-vanilla bond and do not take

                 convertibility and callability into account.

    */

    class ConvertibleFixedCouponBond : public ConvertibleBond {

      public:

        ConvertibleFixedCouponBond(const ext::shared_ptr<Exercise>& exercise,

                                   Real conversionRatio,

                                   const CallabilitySchedule& callability,

                                   const Date& issueDate,

                                   Natural settlementDays,

                                   const std::vector<Rate>& coupons,

                                   const DayCounter& dayCounter,

                                   const Schedule& schedule,

                                   Real redemption = 100,

                                   const Period& exCouponPeriod = Period(),

                                   const Calendar& exCouponCalendar = Calendar(),

                                   BusinessDayConvention exCouponConvention = Unadjusted,

                                   bool exCouponEndOfMonth = false);

    };

    //! convertible floating-rate bond

    /*! \warning Most methods inherited from Bond (such as yield or

                 the yield-based dirtyPrice and cleanPrice) refer to

                 the underlying plain-vanilla bond and do not take

                 convertibility and callability into account.

    */

    class ConvertibleFloatingRateBond : public ConvertibleBond {

      public:

        ConvertibleFloatingRateBond(const ext::shared_ptr<Exercise>& exercise,

                                    Real conversionRatio,

                                    const CallabilitySchedule& callability,

                                    const Date& issueDate,

                                    Natural settlementDays,

                                    const ext::shared_ptr<IborIndex>& index,

                                    Natural fixingDays,

                                    const std::vector<Spread>& spreads,

                                    const DayCounter& dayCounter,

                                    const Schedule& schedule,

                                    Real redemption = 100,

                                    const Period& exCouponPeriod = Period(),

                                    const Calendar& exCouponCalendar = Calendar(),

                                    BusinessDayConvention exCouponConvention = Unadjusted,

                                    bool exCouponEndOfMonth = false);

    };

    class ConvertibleBond::arguments : public PricingEngine::arguments {

      public:

        arguments()

        : conversionRatio(Null<Real>()), settlementDays(Null<Natural>()), redemption(Null<Real>()) {}

        ext::shared_ptr<Exercise> exercise;

        Real conversionRatio;

        std::vector<Date> callabilityDates; 

        std::vector<Callability::Type> callabilityTypes;

        std::vector<Real> callabilityPrices;

        std::vector<Real> callabilityTriggers;

        Leg cashflows;

        Date issueDate;

        Date settlementDate;

        Natural settlementDays;

        Real redemption;

        void validate() const override;

    };

    class ConvertibleBond::engine

    : public GenericEngine<ConvertibleBond::arguments, ConvertibleBond::results> {};

}

#endif