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

/*

 Copyright (C) 2006 Warren Chou

 Copyright (C) 2008 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 varianceswap.hpp

    \brief Variance swap

*/

#ifndef quantlib_variance_swap_hpp

#define quantlib_variance_swap_hpp

#include <ql/processes/blackscholesprocess.hpp>

#include <ql/instruments/payoffs.hpp>

#include <ql/option.hpp>

#include <ql/position.hpp>

namespace QuantLib {

    //! Variance swap

    /*! \warning This class does not manage seasoned variance swaps.

        \ingroup instruments

    */

    class VarianceSwap : public Instrument {

      public:

        class arguments;

        class results;

        class engine;

        VarianceSwap(Position::Type position,

                     Real strike,

                     Real notional,

                     const Date& startDate,

                     const Date& maturityDate);

        //! \name Instrument interface

        //@{

        bool isExpired() const override;

        //@}

        //! \name Additional interface

        //@{

        // inspectors

        Real strike() const;

        Position::Type position() const;

        Date startDate() const;

        Date maturityDate() const;

        Real notional() const;

        // results

        Real variance() const;

        //@}

        // other

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

        void fetchResults(const PricingEngine::results*) const override;

      protected:

        void setupExpired() const override;

        // data members

        Position::Type position_;

        Real strike_;

        Real notional_;

        Date startDate_, maturityDate_;

        // results

        mutable Real variance_;

    };

    //! %Arguments for forward fair-variance calculation

    class VarianceSwap::arguments : public virtual PricingEngine::arguments {

      public:

        arguments() : strike(Null<Real>()), notional(Null<Real>()) {}

        void validate() const override;

        Position::Type position;

        Real strike;

        Real notional;

        Date startDate;

        Date maturityDate;

    };

    //! %Results from variance-swap calculation

    class VarianceSwap::results : public Instrument::results {

      public:

        Real variance;

        void reset() override {

            Instrument::results::reset();

            variance = Null<Real>();

        }

    };

    //! base class for variance-swap engines

    class VarianceSwap::engine :

        public GenericEngine<VarianceSwap::arguments,

                             VarianceSwap::results> {};

    // inline definitions

    inline Date VarianceSwap::startDate() const {

        return startDate_;

    }

    inline Date VarianceSwap::maturityDate() const {

        return maturityDate_;

    }

    inline Real VarianceSwap::strike() const {

        return strike_;

    }

    inline Real VarianceSwap::notional() const {

        return notional_;

    }

    inline Position::Type VarianceSwap::position() const {

        return position_;

    }

}

#endif