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

/*

 Copyright (C) 2008 Andreas Gaida

 Copyright (C) 2008, 2009 Ralph Schreyer

 Copyright (C) 2008 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.

*/

#include <ql/exercise.hpp>

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

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

#include <ql/methods/finitedifferences/operators/fdmlinearoplayout.hpp>

#include <ql/methods/finitedifferences/solvers/fdmblackscholessolver.hpp>

#include <ql/methods/finitedifferences/stepconditions/fdmstepconditioncomposite.hpp>

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

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

#include <ql/pricingengines/barrier/fdblackscholesrebateengine.hpp>

#include <utility>

namespace QuantLib {

    FdBlackScholesRebateEngine::FdBlackScholesRebateEngine(

        ext::shared_ptr<GeneralizedBlackScholesProcess> process,

        Size tGrid,

        Size xGrid,

        Size dampingSteps,

        const FdmSchemeDesc& schemeDesc,

        bool localVol,

        Real illegalLocalVolOverwrite)

    : process_(std::move(process)),

      tGrid_(tGrid), xGrid_(xGrid), dampingSteps_(dampingSteps),

      schemeDesc_(schemeDesc), localVol_(localVol),

      illegalLocalVolOverwrite_(illegalLocalVolOverwrite) {

        registerWith(process_);

    }

    FdBlackScholesRebateEngine::FdBlackScholesRebateEngine(

        ext::shared_ptr<GeneralizedBlackScholesProcess> process,

        DividendSchedule dividends,

        Size tGrid,

        Size xGrid,

        Size dampingSteps,

        const FdmSchemeDesc& schemeDesc,

        bool localVol,

        Real illegalLocalVolOverwrite)

    : process_(std::move(process)), dividends_(std::move(dividends)),

      tGrid_(tGrid), xGrid_(xGrid), dampingSteps_(dampingSteps),

      schemeDesc_(schemeDesc), localVol_(localVol),

      illegalLocalVolOverwrite_(illegalLocalVolOverwrite) {

        registerWith(process_);

    }

    void FdBlackScholesRebateEngine::calculate() const {

        // 1. Mesher

        const ext::shared_ptr<StrikedTypePayoff> payoff =

            ext::dynamic_pointer_cast<StrikedTypePayoff>(arguments_.payoff);

        const Time maturity = process_->time(arguments_.exercise->lastDate());

        Real xMin=Null<Real>();

        Real xMax=Null<Real>();

        if (   arguments_.barrierType == Barrier::DownIn

            || arguments_.barrierType == Barrier::DownOut) {

            xMin = std::log(arguments_.barrier);

        }

        if (   arguments_.barrierType == Barrier::UpIn

            || arguments_.barrierType == Barrier::UpOut) {

            xMax = std::log(arguments_.barrier);

        }

        const ext::shared_ptr<Fdm1dMesher> equityMesher(

            new FdmBlackScholesMesher(

                xGrid_, process_, maturity, payoff->strike(),

                xMin, xMax, 0.0001, 1.5,

                std::make_pair(Null<Real>(), Null<Real>()),

                dividends_));

        const ext::shared_ptr<FdmMesher> mesher (

            new FdmMesherComposite(equityMesher));

        // 2. Calculator

        const ext::shared_ptr<StrikedTypePayoff> rebatePayoff(

                new CashOrNothingPayoff(Option::Call, 0.0, arguments_.rebate));

        const ext::shared_ptr<FdmInnerValueCalculator> calculator(

                                new FdmLogInnerValue(rebatePayoff, mesher, 0));

        // 3. Step conditions

        QL_REQUIRE(arguments_.exercise->type() == Exercise::European,

                   "only european style option are supported");

        const ext::shared_ptr<FdmStepConditionComposite> conditions =

            FdmStepConditionComposite::vanillaComposite(

                                dividends_, arguments_.exercise, 

                                mesher, calculator, 

                                process_->riskFreeRate()->referenceDate(),

                                process_->riskFreeRate()->dayCounter());

        // 4. Boundary conditions

        FdmBoundaryConditionSet  boundaries;

        if (   arguments_.barrierType == Barrier::DownIn

            || arguments_.barrierType == Barrier::DownOut) {

            boundaries.push_back(FdmBoundaryConditionSet::value_type(

                new FdmDirichletBoundary(mesher, arguments_.rebate, 0,

                                         FdmDirichletBoundary::Lower)));

        }

        if (   arguments_.barrierType == Barrier::UpIn

            || arguments_.barrierType == Barrier::UpOut) {

            boundaries.push_back(FdmBoundaryConditionSet::value_type(

                new FdmDirichletBoundary(mesher, arguments_.rebate, 0,

                                         FdmDirichletBoundary::Upper)));

        }

        // 5. Solver

        FdmSolverDesc solverDesc = { mesher, boundaries, conditions, calculator,

                                     maturity, tGrid_, dampingSteps_ };

        const ext::shared_ptr<FdmBlackScholesSolver> solver(

                new FdmBlackScholesSolver(

                                Handle<GeneralizedBlackScholesProcess>(process_),

                                payoff->strike(), solverDesc, schemeDesc_,

                                localVol_, illegalLocalVolOverwrite_));

        const Real spot = process_->x0();

        results_.value = solver->valueAt(spot);

        results_.delta = solver->deltaAt(spot);

        results_.gamma = solver->gammaAt(spot);

        results_.theta = solver->thetaAt(spot);

    }

}