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

/*

 Copyright (C) 2003, 2004, 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 cliquetoption.hpp

    \brief Cliquet option

*/

#ifndef ql_cliquet_option_hpp

#define ql_cliquet_option_hpp

#include <ql/instruments/oneassetoption.hpp>

#include <ql/instruments/payoffs.hpp>

#include <ql/time/date.hpp>

#include <vector>

namespace QuantLib {

    class EuropeanExercise;

    //! cliquet (Ratchet) option

    /*! A cliquet option, also known as Ratchet option, is a series of

        forward-starting (a.k.a. deferred strike) options where the

        strike for each forward start option is set equal to a fixed

        percentage of the spot price at the beginning of each period.

        \todo

        - add local/global caps/floors

        - add accrued coupon and last fixing

        \ingroup instruments

    */

    class CliquetOption : public OneAssetOption {

      public:

        class arguments;

        class engine;

        CliquetOption(const ext::shared_ptr<PercentageStrikePayoff>&,

                      const ext::shared_ptr<EuropeanExercise>& maturity,

                      std::vector<Date> resetDates);

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

      private:

        std::vector<Date> resetDates_;

    };

    //! %Arguments for cliquet option calculation

    // should inherit from a strikeless version of VanillaOption::arguments

    class CliquetOption::arguments : public OneAssetOption::arguments {

      public:

        arguments() : accruedCoupon(Null<Real>()),

                      lastFixing(Null<Real>()),

                      localCap(Null<Real>()),

                      localFloor(Null<Real>()),

                      globalCap(Null<Real>()),

                      globalFloor(Null<Real>()) {}

        void validate() const override;

        Real accruedCoupon, lastFixing;

        Real localCap, localFloor, globalCap, globalFloor;

        std::vector<Date> resetDates;

    };

    //! Cliquet %engine base class

    class CliquetOption::engine

        : public GenericEngine<CliquetOption::arguments,

                               CliquetOption::results> {};

}

#endif