/* -*- 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 fdmsimple2dextousolver.hpp

    \brief solver for simple swing options based on ext OU process

*/

#ifndef quantlib_fdm_2d_ext_ou_solver_hpp

#define quantlib_fdm_2d_ext_ou_solver_hpp

#include <ql/experimental/finitedifferences/fdmextendedornsteinuhlenbeckop.hpp>

#include <ql/experimental/processes/extendedornsteinuhlenbeckprocess.hpp>

#include <ql/handle.hpp>

#include <ql/methods/finitedifferences/solvers/fdm2dimsolver.hpp>

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

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

#include <ql/patterns/lazyobject.hpp>

#include <ql/termstructures/yieldtermstructure.hpp>

#include <utility>

namespace QuantLib {

    class FdmSimple2dExtOUSolver : public LazyObject {

      public:

        FdmSimple2dExtOUSolver(const Handle<ExtendedOrnsteinUhlenbeckProcess>& process,

                               ext::shared_ptr<YieldTermStructure> rTS,

                               FdmSolverDesc solverDesc,

                               const FdmSchemeDesc& schemeDesc = FdmSchemeDesc::Hundsdorfer())

        : process_(process), rTS_(std::move(rTS)), solverDesc_(std::move(solverDesc)),

          schemeDesc_(schemeDesc) {

            registerWith(process);

        }

        Real valueAt(Real x, Real y) const {

            calculate();

            return solver_->interpolateAt(x, y);

        }

      protected:

        void performCalculations() const override {

            ext::shared_ptr<FdmLinearOpComposite>op(

                new FdmExtendedOrnsteinUhlenbeckOp(

                                solverDesc_.mesher, process_.currentLink(),

                                rTS_, solverDesc_.bcSet));

            solver_ = ext::make_shared<Fdm2DimSolver>(

                          solverDesc_, schemeDesc_, op);

        }

      private:

        const Handle<ExtendedOrnsteinUhlenbeckProcess> process_;

        const ext::shared_ptr<YieldTermStructure> rTS_;

        const FdmSolverDesc solverDesc_;

        const FdmSchemeDesc schemeDesc_;

        mutable ext::shared_ptr<Fdm2DimSolver> solver_;

    };

}

#endif