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

/*

 Copyright (C) 2011 Klaus Spanderen

 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 fdmaffinemodelswapinnervalue.hpp

*/

#ifndef quantlib_fdm_affine_model_swap_inner_value_hpp

#define quantlib_fdm_affine_model_swap_inner_value_hpp

#include <ql/cashflows/coupon.hpp>

#include <ql/indexes/iborindex.hpp>

#include <ql/instruments/vanillaswap.hpp>

#include <ql/methods/finitedifferences/meshers/fdmmesher.hpp>

#include <ql/methods/finitedifferences/utilities/fdmaffinemodeltermstructure.hpp>

#include <ql/methods/finitedifferences/utilities/fdminnervaluecalculator.hpp>

#include <ql/models/shortrate/onefactormodels/hullwhite.hpp>

#include <ql/pricingengines/swap/discountingswapengine.hpp>

#include <map>

#include <utility>

namespace QuantLib {

    template <class ModelType>

    class FdmAffineModelSwapInnerValue : public FdmInnerValueCalculator {

      public:

        FdmAffineModelSwapInnerValue(ext::shared_ptr<ModelType> disModel,

                                     ext::shared_ptr<ModelType> fwdModel,

                                     const ext::shared_ptr<FixedVsFloatingSwap>& swap,

                                     std::map<Time, Date> exerciseDates,

                                     ext::shared_ptr<FdmMesher> mesher,

                                     Size direction);

        Real innerValue(const FdmLinearOpIterator& iter, Time t) override;

        Real avgInnerValue(const FdmLinearOpIterator& iter, Time t) override;

      private:

        Array getState(const ext::shared_ptr<ModelType>& model,

                       Time t,

                       const FdmLinearOpIterator& iter) const;

        RelinkableHandle<YieldTermStructure> disTs_, fwdTs_;

        const ext::shared_ptr<ModelType> disModel_, fwdModel_;

        const ext::shared_ptr<IborIndex> index_;

        const ext::shared_ptr<FixedVsFloatingSwap> swap_;

        const std::map<Time, Date> exerciseDates_;

        const ext::shared_ptr<FdmMesher> mesher_;

        const Size direction_;

    };

    template <class ModelType>

    inline FdmAffineModelSwapInnerValue<ModelType>::FdmAffineModelSwapInnerValue(

        ext::shared_ptr<ModelType> disModel,

        ext::shared_ptr<ModelType> fwdModel,

        const ext::shared_ptr<FixedVsFloatingSwap>& swap,

        std::map<Time, Date> exerciseDates,

        ext::shared_ptr<FdmMesher> mesher,

        Size direction)

    : disModel_(std::move(disModel)), fwdModel_(std::move(fwdModel)), index_(swap->iborIndex()),

      swap_(ext::make_shared<VanillaSwap>(swap->type(),

                                          swap->nominal(),

                                          swap->fixedSchedule(),

                                          swap->fixedRate(),

                                          swap->fixedDayCount(),

                                          swap->floatingSchedule(),

                                          swap->iborIndex()->clone(fwdTs_),

                                          swap->spread(),

                                          swap->floatingDayCount(),

                                          swap->paymentConvention())),

      exerciseDates_(std::move(exerciseDates)), mesher_(std::move(mesher)), direction_(direction) {}

Unexecuted instantiation: QuantLib::FdmAffineModelSwapInnerValue<QuantLib::G2>::FdmAffineModelSwapInnerValue(boost::shared_ptr<QuantLib::G2>, boost::shared_ptr<QuantLib::G2>, boost::shared_ptr<QuantLib::FixedVsFloatingSwap> const&, std::__1::map<double, QuantLib::Date, std::__1::less<double>, std::__1::allocator<std::__1::pair<double const, QuantLib::Date> > >, boost::shared_ptr<QuantLib::FdmMesher>, unsigned long)

Unexecuted instantiation: QuantLib::FdmAffineModelSwapInnerValue<QuantLib::HullWhite>::FdmAffineModelSwapInnerValue(boost::shared_ptr<QuantLib::HullWhite>, boost::shared_ptr<QuantLib::HullWhite>, boost::shared_ptr<QuantLib::FixedVsFloatingSwap> const&, std::__1::map<double, QuantLib::Date, std::__1::less<double>, std::__1::allocator<std::__1::pair<double const, QuantLib::Date> > >, boost::shared_ptr<QuantLib::FdmMesher>, unsigned long)

    template <class ModelType> inline

    Real FdmAffineModelSwapInnerValue<ModelType>::innerValue(

        const FdmLinearOpIterator& iter, Time t) {

        const Date& iterExerciseDate = exerciseDates_.find(t)->second;

        const Array disRate(getState(disModel_, t, iter));

        const Array fwdRate(getState(fwdModel_, t, iter));

        if (disTs_.empty() || iterExerciseDate != disTs_->referenceDate()) {

            const Handle<YieldTermStructure> discount

                = disModel_->termStructure();

            disTs_.linkTo(ext::shared_ptr<YieldTermStructure>(

                new FdmAffineModelTermStructure(disRate,

                    discount->calendar(), discount->dayCounter(),

                    iterExerciseDate, discount->referenceDate(),

                    disModel_)));

            const Handle<YieldTermStructure> fwd = fwdModel_->termStructure();

            fwdTs_.linkTo(ext::shared_ptr<YieldTermStructure>(

                new FdmAffineModelTermStructure(fwdRate,

                    fwd->calendar(), fwd->dayCounter(),

                    iterExerciseDate, fwd->referenceDate(),

                    fwdModel_)));

        }

        else {

            ext::dynamic_pointer_cast<FdmAffineModelTermStructure>(

                disTs_.currentLink())->setVariable(disRate);

            ext::dynamic_pointer_cast<FdmAffineModelTermStructure>(

                fwdTs_.currentLink())->setVariable(fwdRate);

        }

        Real npv = 0.0;

        for (Size j = 0; j < 2; j++) {

            for (const auto& i : swap_->leg(j)) {

                npv +=

                    ext::dynamic_pointer_cast<Coupon>(i)->accrualStartDate() >= iterExerciseDate ?

                        Real(i->amount() * disTs_->discount(i->date())) :

                        0.0;

            }

            if (j == 0)

                npv *= -1.0;

        }

        if (swap_->type() == Swap::Receiver)

            npv *= -1.0;

        return std::max(0.0, npv);

    }

Unexecuted instantiation: QuantLib::FdmAffineModelSwapInnerValue<QuantLib::G2>::innerValue(QuantLib::FdmLinearOpIterator const&, double)

Unexecuted instantiation: QuantLib::FdmAffineModelSwapInnerValue<QuantLib::HullWhite>::innerValue(QuantLib::FdmLinearOpIterator const&, double)

    template <class ModelType> inline

    Real FdmAffineModelSwapInnerValue<ModelType>::avgInnerValue(

        const FdmLinearOpIterator& iter, Time t) {

        return innerValue(iter, t);

    }

Unexecuted instantiation: QuantLib::FdmAffineModelSwapInnerValue<QuantLib::G2>::avgInnerValue(QuantLib::FdmLinearOpIterator const&, double)

Unexecuted instantiation: QuantLib::FdmAffineModelSwapInnerValue<QuantLib::HullWhite>::avgInnerValue(QuantLib::FdmLinearOpIterator const&, double)

}

#endif