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

/*

 Copyright (C) 2005 Klaus Spanderen

 Copyright (C) 2007 StatPro Italia srl

 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.

*/

#include <ql/exercise.hpp>

#include <ql/instruments/payoffs.hpp>

#include <ql/models/equity/hestonmodelhelper.hpp>

#include <ql/pricingengines/blackformula.hpp>

#include <ql/processes/hestonprocess.hpp>

#include <ql/quotes/simplequote.hpp>

#include <utility>

namespace QuantLib {

    HestonModelHelper::HestonModelHelper(const Period& maturity,

                                         Calendar calendar,

                                         const Real s0,

                                         const Real strikePrice,

                                         const Handle<Quote>& volatility,

                                         const Handle<YieldTermStructure>& riskFreeRate,

                                         const Handle<YieldTermStructure>& dividendYield,

                                         BlackCalibrationHelper::CalibrationErrorType errorType)

    : BlackCalibrationHelper(volatility, errorType), maturity_(maturity),

      calendar_(std::move(calendar)), s0_(Handle<Quote>(ext::make_shared<SimpleQuote>(s0))),

      strikePrice_(strikePrice), riskFreeRate_(riskFreeRate), dividendYield_(dividendYield) {

        registerWith(riskFreeRate);

        registerWith(dividendYield);

    }

Unexecuted instantiation: QuantLib::HestonModelHelper::HestonModelHelper(QuantLib::Period const&, QuantLib::Calendar, double, double, QuantLib::Handle<QuantLib::Quote> const&, QuantLib::Handle<QuantLib::YieldTermStructure> const&, QuantLib::Handle<QuantLib::YieldTermStructure> const&, QuantLib::BlackCalibrationHelper::CalibrationErrorType)

Unexecuted instantiation: QuantLib::HestonModelHelper::HestonModelHelper(QuantLib::Period const&, QuantLib::Calendar, double, double, QuantLib::Handle<QuantLib::Quote> const&, QuantLib::Handle<QuantLib::YieldTermStructure> const&, QuantLib::Handle<QuantLib::YieldTermStructure> const&, QuantLib::BlackCalibrationHelper::CalibrationErrorType)

    HestonModelHelper::HestonModelHelper(const Period& maturity,

                                         Calendar calendar,

                                         const Handle<Quote>& s0,

                                         const Real strikePrice,

                                         const Handle<Quote>& volatility,

                                         const Handle<YieldTermStructure>& riskFreeRate,

                                         const Handle<YieldTermStructure>& dividendYield,

                                         BlackCalibrationHelper::CalibrationErrorType errorType)

    : BlackCalibrationHelper(volatility, errorType), maturity_(maturity),

      calendar_(std::move(calendar)), s0_(s0), strikePrice_(strikePrice),

      riskFreeRate_(riskFreeRate), dividendYield_(dividendYield) {

        registerWith(s0);

        registerWith(riskFreeRate);

        registerWith(dividendYield);

    }

Unexecuted instantiation: QuantLib::HestonModelHelper::HestonModelHelper(QuantLib::Period const&, QuantLib::Calendar, QuantLib::Handle<QuantLib::Quote> const&, double, QuantLib::Handle<QuantLib::Quote> const&, QuantLib::Handle<QuantLib::YieldTermStructure> const&, QuantLib::Handle<QuantLib::YieldTermStructure> const&, QuantLib::BlackCalibrationHelper::CalibrationErrorType)

Unexecuted instantiation: QuantLib::HestonModelHelper::HestonModelHelper(QuantLib::Period const&, QuantLib::Calendar, QuantLib::Handle<QuantLib::Quote> const&, double, QuantLib::Handle<QuantLib::Quote> const&, QuantLib::Handle<QuantLib::YieldTermStructure> const&, QuantLib::Handle<QuantLib::YieldTermStructure> const&, QuantLib::BlackCalibrationHelper::CalibrationErrorType)

    void HestonModelHelper::performCalculations() const {

        exerciseDate_ =

            calendar_.advance(riskFreeRate_->referenceDate(), maturity_);

        tau_ = riskFreeRate_->timeFromReference(exerciseDate_);

        type_ = strikePrice_ * riskFreeRate_->discount(tau_) >=

                        s0_->value() * dividendYield_->discount(tau_)

                    ? Option::Call

                    : Option::Put;

        ext::shared_ptr<StrikedTypePayoff> payoff(

            new PlainVanillaPayoff(type_, strikePrice_));

        ext::shared_ptr<Exercise> exercise =

            ext::make_shared<EuropeanExercise>(exerciseDate_);

        option_ = ext::make_shared<VanillaOption>(payoff, exercise);

        BlackCalibrationHelper::performCalculations();

    }

    Real HestonModelHelper::modelValue() const {

        calculate();

        option_->setPricingEngine(engine_);

        return option_->NPV();

    }

    Real HestonModelHelper::blackPrice(Real volatility) const {

        calculate();

        const Real stdDev = volatility * std::sqrt(maturity());

        return blackFormula(

            type_, strikePrice_ * riskFreeRate_->discount(tau_),

            s0_->value() * dividendYield_->discount(tau_), stdDev);

    }

}