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

/*

 Copyright (C) 2009 Chris Kenyon

 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 inflationcouponpricer.hpp

 \brief inflation-coupon pricers

 */

#ifndef quantlib_inflation_coupon_pricer_hpp

#define quantlib_inflation_coupon_pricer_hpp

#include <ql/cashflow.hpp>

#include <ql/option.hpp>

#include <ql/cashflows/yoyinflationcoupon.hpp>

#include <ql/termstructures/volatility/inflation/yoyinflationoptionletvolatilitystructure.hpp>

namespace QuantLib {

    //! Base inflation-coupon pricer.

    /*! The main reason we can't use FloatingRateCouponPricer as the

        base is that it takes a FloatingRateCoupon which takes an

        InterestRateIndex and we need an inflation index (these are

        lagged).

        The basic inflation-specific thing that the pricer has to do

        is deal with different lags in the index and the option

        e.g. the option could look 3 months back and the index 2.

        We add the requirement that pricers do inverseCap/Floor-lets.

        These are cap/floor-lets as usually defined, i.e. pay out if

        underlying is above/below a strike.  The non-inverse (usual)

        versions are from a coupon point of view (a capped coupon has

        a maximum at the strike).

        We add the inverse prices so that conventional caps can be

        priced simply.

    */

    class InflationCouponPricer: public virtual Observer,

                                 public virtual Observable {

    public:

      QL_DEPRECATED_DISABLE_WARNING

      InflationCouponPricer() = default;

      ~InflationCouponPricer() override = default;

      QL_DEPRECATED_ENABLE_WARNING

      //! \name Interface

      //@{

      virtual Real swapletPrice() const = 0;

      virtual Rate swapletRate() const = 0;

      virtual Real capletPrice(Rate effectiveCap) const = 0;

      virtual Rate capletRate(Rate effectiveCap) const = 0;

      virtual Real floorletPrice(Rate effectiveFloor) const = 0;

      virtual Rate floorletRate(Rate effectiveFloor) const = 0;

      virtual void initialize(const InflationCoupon&) = 0;

      //@}

      //! \name Observer interface

      //@{

      void update() override { notifyObservers(); }

      //@}

    protected:

      Date paymentDate_;

    };

    void setCouponPricer(const Leg& leg,

                         const ext::shared_ptr<InflationCouponPricer>&);

    //! base pricer for capped/floored YoY inflation coupons

    /*! \note this pricer can already do swaplets but to get

              volatility-dependent coupons you need the descendents.

    */

    class YoYInflationCouponPricer : public InflationCouponPricer {

      public:

        YoYInflationCouponPricer() = default;

        explicit YoYInflationCouponPricer(Handle<YieldTermStructure> nominalTermStructure);

        YoYInflationCouponPricer(Handle<YoYOptionletVolatilitySurface> capletVol,

                                 Handle<YieldTermStructure> nominalTermStructure);

        virtual Handle<YoYOptionletVolatilitySurface> capletVolatility() const{

            return capletVol_;

        }

        virtual Handle<YieldTermStructure> nominalTermStructure() const{

            return nominalTermStructure_;

        }

        virtual void setCapletVolatility(

            const Handle<YoYOptionletVolatilitySurface>& capletVol);

        //! \name InflationCouponPricer interface

        //@{

        Real swapletPrice() const override;

        Rate swapletRate() const override;

        Real capletPrice(Rate effectiveCap) const override;

        Rate capletRate(Rate effectiveCap) const override;

        Real floorletPrice(Rate effectiveFloor) const override;

        Rate floorletRate(Rate effectiveFloor) const override;

        void initialize(const InflationCoupon&) override;

        //@}

      protected:

        virtual Real optionletPrice(Option::Type optionType,

                                    Real effStrike) const;

        virtual Real optionletRate(Option::Type optionType,

                                   Real effStrike) const;

        /*! Derived classes usually only need to implement this.

            The name of the method is misleading.  This actually

            returns the rate of the optionlet (so not discounted and

            not accrued).

        */

        virtual Real optionletPriceImp(Option::Type, Real strike,

                                       Real forward, Real stdDev) const;

        virtual Rate adjustedFixing(Rate fixing = Null<Rate>()) const;

        //! data

        Handle<YoYOptionletVolatilitySurface> capletVol_;

        Handle<YieldTermStructure> nominalTermStructure_;

        const YoYInflationCoupon* coupon_;

        Real gearing_;

        Spread spread_;

        Real discount_;

    };

    //! Black-formula pricer for capped/floored yoy inflation coupons

    class BlackYoYInflationCouponPricer : public YoYInflationCouponPricer {

      public:

        BlackYoYInflationCouponPricer()

        : YoYInflationCouponPricer(Handle<YoYOptionletVolatilitySurface>(),

                                   Handle<YieldTermStructure>()) {}

        explicit BlackYoYInflationCouponPricer(

            const Handle<YieldTermStructure>& nominalTermStructure)

        : YoYInflationCouponPricer(nominalTermStructure) {}

        BlackYoYInflationCouponPricer(

            const Handle<YoYOptionletVolatilitySurface>& capletVol,

            const Handle<YieldTermStructure>& nominalTermStructure)

        : YoYInflationCouponPricer(capletVol, nominalTermStructure) {}

      protected:

        Real optionletPriceImp(Option::Type, Real strike, Real forward, Real stdDev) const override;

    };

    //! Unit-Displaced-Black-formula pricer for capped/floored yoy inflation coupons

    class UnitDisplacedBlackYoYInflationCouponPricer : public YoYInflationCouponPricer {

      public:

        UnitDisplacedBlackYoYInflationCouponPricer()

        : YoYInflationCouponPricer(Handle<YoYOptionletVolatilitySurface>(),

                                   Handle<YieldTermStructure>()) {}

        explicit UnitDisplacedBlackYoYInflationCouponPricer(

            const Handle<YieldTermStructure>& nominalTermStructure)

        : YoYInflationCouponPricer(nominalTermStructure) {}

        UnitDisplacedBlackYoYInflationCouponPricer(

            const Handle<YoYOptionletVolatilitySurface>& capletVol,

            const Handle<YieldTermStructure>& nominalTermStructure)

        : YoYInflationCouponPricer(capletVol, nominalTermStructure) {}

      protected:

        Real optionletPriceImp(Option::Type, Real strike, Real forward, Real stdDev) const override;

    };

    //! Bachelier-formula pricer for capped/floored yoy inflation coupons

    class BachelierYoYInflationCouponPricer : public YoYInflationCouponPricer {

      public:

        BachelierYoYInflationCouponPricer()

        : YoYInflationCouponPricer(Handle<YoYOptionletVolatilitySurface>(),

                                   Handle<YieldTermStructure>()) {}

        explicit BachelierYoYInflationCouponPricer(

            const Handle<YieldTermStructure>& nominalTermStructure)

        : YoYInflationCouponPricer(nominalTermStructure) {}

        BachelierYoYInflationCouponPricer(

            const Handle<YoYOptionletVolatilitySurface>& capletVol,

            const Handle<YieldTermStructure>& nominalTermStructure)

        : YoYInflationCouponPricer(capletVol, nominalTermStructure) {}

      protected:

        Real optionletPriceImp(Option::Type, Real strike, Real forward, Real stdDev) const override;

    };

}

#endif