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

/*

 Copyright (C) 2001, 2002, 2003 Sadruddin Rejeb

 Copyright (C) 2015 Peter Caspers

 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 swaptionhelper.hpp

    \brief Swaption calibration helper

*/

#ifndef quantlib_swaption_calibration_helper_hpp

#define quantlib_swaption_calibration_helper_hpp

#include <ql/models/calibrationhelper.hpp>

#include <ql/instruments/swaption.hpp>

#include <ql/termstructures/volatility/volatilitytype.hpp>

#include <ql/cashflows/rateaveraging.hpp>

namespace QuantLib {

    //! calibration helper for interest-rate swaptions

    /*! \warning passing an overnight index to the constructor will

                 result in an overnight-indexed swap being built, but

                 model-based engines will treat it as a vanilla swap.

                 This is at best a decent proxy, at worst simply wrong.

                 Use with caution.

    */

    class SwaptionHelper : public BlackCalibrationHelper {

      public:

        SwaptionHelper(const Period& maturity,

                       const Period& length,

                       const Handle<Quote>& volatility,

                       ext::shared_ptr<IborIndex> index,

                       const Period& fixedLegTenor,

                       DayCounter fixedLegDayCounter,

                       DayCounter floatingLegDayCounter,

                       Handle<YieldTermStructure> termStructure,

                       CalibrationErrorType errorType = RelativePriceError,

                       Real strike = Null<Real>(),

                       Real nominal = 1.0,

                       VolatilityType type = ShiftedLognormal,

                       Real shift = 0.0,

                       Natural settlementDays = Null<Size>(),

                       RateAveraging::Type averagingMethod = RateAveraging::Compound);

        SwaptionHelper(const Date& exerciseDate,

                       const Period& length,

                       const Handle<Quote>& volatility,

                       ext::shared_ptr<IborIndex> index,

                       const Period& fixedLegTenor,

                       DayCounter fixedLegDayCounter,

                       DayCounter floatingLegDayCounter,

                       Handle<YieldTermStructure> termStructure,

                       CalibrationErrorType errorType = RelativePriceError,

                       Real strike = Null<Real>(),

                       Real nominal = 1.0,

                       VolatilityType type = ShiftedLognormal,

                       Real shift = 0.0,

                       Natural settlementDays = Null<Size>(),

                       RateAveraging::Type averagingMethod = RateAveraging::Compound);

        SwaptionHelper(const Date& exerciseDate,

                       const Date& endDate,

                       const Handle<Quote>& volatility,

                       ext::shared_ptr<IborIndex> index,

                       const Period& fixedLegTenor,

                       DayCounter fixedLegDayCounter,

                       DayCounter floatingLegDayCounter,

                       Handle<YieldTermStructure> termStructure,

                       CalibrationErrorType errorType = RelativePriceError,

                       Real strike = Null<Real>(),

                       Real nominal = 1.0,

                       VolatilityType type = ShiftedLognormal,

                       Real shift = 0.0,

                       Natural settlementDays = Null<Size>(),

                       RateAveraging::Type averagingMethod = RateAveraging::Compound);

        void addTimesTo(std::list<Time>& times) const override;

        Real modelValue() const override;

        Real blackPrice(Volatility volatility) const override;

        const ext::shared_ptr<FixedVsFloatingSwap>& underlying() const {

            calculate();

            return swap_;

        }

        ext::shared_ptr<Swaption> swaption() const { calculate(); return swaption_; }

      private:

        void performCalculations() const override;

        ext::shared_ptr<FixedVsFloatingSwap> makeSwap(Schedule fixedSchedule,

                                                      Schedule floatSchedule,

                                                      Rate exerciseRate,

                                                      Swap::Type type) const;

        mutable Date exerciseDate_, endDate_;

        const Period maturity_, length_, fixedLegTenor_;

        const ext::shared_ptr<IborIndex> index_;

        const Handle<YieldTermStructure> termStructure_;

        const DayCounter fixedLegDayCounter_, floatingLegDayCounter_;

        const Real strike_, nominal_;

        const Natural settlementDays_;

        const RateAveraging::Type averagingMethod_;

        mutable Rate exerciseRate_;

        mutable ext::shared_ptr<FixedVsFloatingSwap> swap_;

        mutable ext::shared_ptr<Swaption> swaption_;

    };

}

#endif