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

/*

 Copyright (C) 2006, 2007 Ferdinando Ametrano

 Copyright (C) 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.

*/

#include <ql/instruments/makecapfloor.hpp>

#include <ql/cashflows/cashflows.hpp>

#include <ql/pricingengines/capfloor/blackcapfloorengine.hpp>

namespace QuantLib {

    MakeCapFloor::MakeCapFloor(CapFloor::Type capFloorType,

                               const Period& tenor,

                               const ext::shared_ptr<IborIndex>& iborIndex,

                               Rate strike,

                               const Period& forwardStart)

    : capFloorType_(capFloorType), strike_(strike), firstCapletExcluded_(forwardStart == 0 * Days),

      // setting the fixed leg tenor avoids that MakeVanillaSwap throws

      // because of an unknown fixed leg default tenor for a currency,

      // notice that only the floating leg of the swap is used anyway

      makeVanillaSwap_(MakeVanillaSwap(tenor, iborIndex, 0.0, forwardStart)

                           .withFixedLegTenor(1 * Years)

                           .withFixedLegDayCount(Actual365Fixed())) {}

    MakeCapFloor::operator CapFloor() const {

        ext::shared_ptr<CapFloor> capfloor = *this;

        return *capfloor;

    }

    MakeCapFloor::operator ext::shared_ptr<CapFloor>() const {

        VanillaSwap swap = makeVanillaSwap_;

        Leg leg = swap.floatingLeg();

        if (firstCapletExcluded_)

            leg.erase(leg.begin());

        // only leaves the last coupon

        if (asOptionlet_ && leg.size() > 1) {

            auto end = leg.end(); // Sun Studio needs an lvalue

            leg.erase(leg.begin(), --end);

        }

        std::vector<Rate> strikeVector(1, strike_);

        if (strike_ == Null<Rate>()) {

            // temporary patch...

            // should be fixed for every CapFloor::Engine

            ext::shared_ptr<BlackCapFloorEngine> temp = 

                ext::dynamic_pointer_cast<BlackCapFloorEngine>(engine_);

            QL_REQUIRE(temp,

                       "cannot calculate ATM without a BlackCapFloorEngine");

            Handle<YieldTermStructure> discountCurve = temp->termStructure();

            strikeVector[0] = CashFlows::atmRate(leg,

                                                 **discountCurve,

                                                 false,

                                                 discountCurve->referenceDate());

        }

        ext::shared_ptr<CapFloor> capFloor(new

            CapFloor(capFloorType_, leg, strikeVector));

        capFloor->setPricingEngine(engine_);

        return capFloor;

    }

    MakeCapFloor& MakeCapFloor::withNominal(Real n) {

        makeVanillaSwap_.withNominal(n);

        return *this;

    }

    MakeCapFloor& MakeCapFloor::withEffectiveDate(const Date& effectiveDate,

                                                  bool firstCapletExcluded) {

        makeVanillaSwap_.withEffectiveDate(effectiveDate);

        firstCapletExcluded_ = firstCapletExcluded;

        return *this;

    }

    MakeCapFloor& MakeCapFloor::withTenor(const Period& t) {

        makeVanillaSwap_.withFloatingLegTenor(t);

        return *this;

    }

    MakeCapFloor& MakeCapFloor::withCalendar(const Calendar& cal) {

        makeVanillaSwap_.withFloatingLegCalendar(cal);

        return *this;

    }

    MakeCapFloor& MakeCapFloor::withConvention(BusinessDayConvention bdc) {

        makeVanillaSwap_.withFloatingLegConvention(bdc);

        return *this;

    }

    MakeCapFloor&

    MakeCapFloor::withTerminationDateConvention(BusinessDayConvention bdc) {

        makeVanillaSwap_.withFloatingLegTerminationDateConvention(bdc);

        return *this;

    }

    MakeCapFloor& MakeCapFloor::withRule(DateGeneration::Rule r) {

        makeVanillaSwap_.withFloatingLegRule(r);

        return *this;

    }

    MakeCapFloor& MakeCapFloor::withEndOfMonth(bool flag) {

        makeVanillaSwap_.withFloatingLegEndOfMonth(flag);

        return *this;

    }

    MakeCapFloor& MakeCapFloor::withFirstDate(const Date& d) {

        makeVanillaSwap_.withFloatingLegFirstDate(d);

        return *this;

    }

    MakeCapFloor& MakeCapFloor::withNextToLastDate(const Date& d) {

        makeVanillaSwap_.withFloatingLegNextToLastDate(d);

        return *this;

    }

    MakeCapFloor& MakeCapFloor::withDayCount(const DayCounter& dc) {

        makeVanillaSwap_.withFloatingLegDayCount(dc);

        return *this;

    }

    MakeCapFloor& MakeCapFloor::asOptionlet(bool b) {

        asOptionlet_ = b;

        return *this;

    }

    MakeCapFloor& MakeCapFloor::withPricingEngine(

                             const ext::shared_ptr<PricingEngine>& engine) {

        engine_ = engine;

        return *this;

    }

}