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

/*

 Copyright (C) 2003, 2004 Ferdinando Ametrano

 Copyright (C) 2007 StatPro Italia srl

 Copyright (C) 2025 Kareem Fareed

 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/instruments/asianoption.hpp>

#include <ql/time/date.hpp>

#include <ql/settings.hpp>

#include <algorithm>

#include <utility>

namespace QuantLib {

    DiscreteAveragingAsianOption::DiscreteAveragingAsianOption(

        Average::Type averageType,

        Real runningAccumulator,

        Size pastFixings,

        std::vector<Date> fixingDates,

        const ext::shared_ptr<StrikedTypePayoff>& payoff,

        const ext::shared_ptr<Exercise>& exercise)

    : OneAssetOption(payoff, exercise), averageType_(averageType),

      runningAccumulator_(runningAccumulator), pastFixings_(pastFixings),

      fixingDates_(std::move(fixingDates)), allPastFixingsProvided_(false) {

        std::sort(fixingDates_.begin(), fixingDates_.end());

        // Add a hard override to the runningAccumulator if pastFixings is 0

        // (ie. the option is unseasoned)

        if (pastFixings_ == 0) {

            if (averageType == Average::Geometric) {

                runningAccumulator_ = 1.0;

            } else if (averageType == Average::Arithmetic) {

                runningAccumulator_ = 0.0;

            } else {

                QL_FAIL("Unrecognised average type, must be Average::Arithmetic or Average::Geometric");

            }

        }

    }

Unexecuted instantiation: QuantLib::DiscreteAveragingAsianOption::DiscreteAveragingAsianOption(QuantLib::Average::Type, double, unsigned long, std::__1::vector<QuantLib::Date, std::__1::allocator<QuantLib::Date> >, boost::shared_ptr<QuantLib::StrikedTypePayoff> const&, boost::shared_ptr<QuantLib::Exercise> const&)

Unexecuted instantiation: QuantLib::DiscreteAveragingAsianOption::DiscreteAveragingAsianOption(QuantLib::Average::Type, double, unsigned long, std::__1::vector<QuantLib::Date, std::__1::allocator<QuantLib::Date> >, boost::shared_ptr<QuantLib::StrikedTypePayoff> const&, boost::shared_ptr<QuantLib::Exercise> const&)

    DiscreteAveragingAsianOption::DiscreteAveragingAsianOption(

        Average::Type averageType,

        std::vector<Date> fixingDates,

        const ext::shared_ptr<StrikedTypePayoff>& payoff,

        const ext::shared_ptr<Exercise>& exercise,

        std::vector<Real> allPastFixings)

    : OneAssetOption(payoff, exercise), averageType_(averageType), runningAccumulator_(0.0),

      pastFixings_(0), fixingDates_(std::move(fixingDates)),

      allPastFixingsProvided_(true), allPastFixings_(std::move(allPastFixings)) {}

Unexecuted instantiation: QuantLib::DiscreteAveragingAsianOption::DiscreteAveragingAsianOption(QuantLib::Average::Type, std::__1::vector<QuantLib::Date, std::__1::allocator<QuantLib::Date> >, boost::shared_ptr<QuantLib::StrikedTypePayoff> const&, boost::shared_ptr<QuantLib::Exercise> const&, std::__1::vector<double, std::__1::allocator<double> >)

Unexecuted instantiation: QuantLib::DiscreteAveragingAsianOption::DiscreteAveragingAsianOption(QuantLib::Average::Type, std::__1::vector<QuantLib::Date, std::__1::allocator<QuantLib::Date> >, boost::shared_ptr<QuantLib::StrikedTypePayoff> const&, boost::shared_ptr<QuantLib::Exercise> const&, std::__1::vector<double, std::__1::allocator<double> >)

    void DiscreteAveragingAsianOption::setupArguments(

                                       PricingEngine::arguments* args) const {

        Real runningAccumulator = runningAccumulator_;

        Size pastFixings = pastFixings_;

        std::vector<Date> fixingDates = fixingDates_;

        // If the option was initialised with a list of fixings, before pricing we

        // compare the evaluation date to the fixing dates, and set up the pastFixings,

        // fixingDates, and runningAccumulator accordingly

        if (allPastFixingsProvided_) {

            std::vector<Date> futureFixingDates = std::vector<Date>();

            Date today = Settings::instance().evaluationDate();

            pastFixings = 0;

            for (auto fixingDate : fixingDates_) {

                if (fixingDate < today) {

                    pastFixings += 1;

                } else {

                    futureFixingDates.push_back(fixingDate);

                }

            }

            fixingDates = futureFixingDates;

            if (pastFixings > allPastFixings_.size())

                QL_FAIL("Not enough past fixings have been provided for the required historical fixing dates");

            if (averageType_ == Average::Geometric) {

                runningAccumulator = 1.0;

                for (Size i=0; i<pastFixings; i++)

                    runningAccumulator *= allPastFixings_[i];

            } else if (averageType_ == Average::Arithmetic) {

                runningAccumulator = 0.0;

                for (Size i=0; i<pastFixings; i++)

                    runningAccumulator += allPastFixings_[i];

            } else {

                QL_FAIL("Unrecognised average type, must be Average::Arithmetic or Average::Geometric");

            }

        }

        OneAssetOption::setupArguments(args);

        auto* moreArgs = dynamic_cast<DiscreteAveragingAsianOption::arguments*>(args);

        QL_REQUIRE(moreArgs != nullptr, "wrong argument type");

        moreArgs->averageType = averageType_;

        moreArgs->runningAccumulator = runningAccumulator;

        moreArgs->pastFixings = pastFixings;

        moreArgs->fixingDates = fixingDates;

    }

    void DiscreteAveragingAsianOption::arguments::validate() const {

        OneAssetOption::arguments::validate();

        QL_REQUIRE(Integer(averageType) != -1, "unspecified average type");

        QL_REQUIRE(pastFixings != Null<Size>(), "null past-fixing number");

        QL_REQUIRE(runningAccumulator != Null<Real>(), "null running product");

        switch (averageType) {

            case Average::Arithmetic:

                QL_REQUIRE(runningAccumulator >= 0.0,

                           "non negative running sum required: "

                           << runningAccumulator << " not allowed");

                break;

            case Average::Geometric:

                QL_REQUIRE(runningAccumulator > 0.0,

                           "positive running product required: "

                           << runningAccumulator << " not allowed");

                break;

            default:

                QL_FAIL("invalid average type");

        }

        // check fixingTimes_ here

    }

    ContinuousAveragingAsianOption::ContinuousAveragingAsianOption(

        Average::Type averageType,

        const ext::shared_ptr<StrikedTypePayoff>& payoff,

        const ext::shared_ptr<Exercise>& exercise)

    : OneAssetOption(payoff, exercise),

      averageType_(averageType)

      {}

Unexecuted instantiation: QuantLib::ContinuousAveragingAsianOption::ContinuousAveragingAsianOption(QuantLib::Average::Type, boost::shared_ptr<QuantLib::StrikedTypePayoff> const&, boost::shared_ptr<QuantLib::Exercise> const&)

Unexecuted instantiation: QuantLib::ContinuousAveragingAsianOption::ContinuousAveragingAsianOption(QuantLib::Average::Type, boost::shared_ptr<QuantLib::StrikedTypePayoff> const&, boost::shared_ptr<QuantLib::Exercise> const&)

    ContinuousAveragingAsianOption::ContinuousAveragingAsianOption(

        Average::Type averageType,

        Date startDate,

        const ext::shared_ptr<StrikedTypePayoff>& payoff,

        const ext::shared_ptr<Exercise>& exercise)

    : OneAssetOption(payoff, exercise),

      averageType_(averageType),

      startDate_(startDate) {}

Unexecuted instantiation: QuantLib::ContinuousAveragingAsianOption::ContinuousAveragingAsianOption(QuantLib::Average::Type, QuantLib::Date, boost::shared_ptr<QuantLib::StrikedTypePayoff> const&, boost::shared_ptr<QuantLib::Exercise> const&)

Unexecuted instantiation: QuantLib::ContinuousAveragingAsianOption::ContinuousAveragingAsianOption(QuantLib::Average::Type, QuantLib::Date, boost::shared_ptr<QuantLib::StrikedTypePayoff> const&, boost::shared_ptr<QuantLib::Exercise> const&)

    void ContinuousAveragingAsianOption::setupArguments(

                                       PricingEngine::arguments* args) const {

        OneAssetOption::setupArguments(args);

        auto* moreArgs = dynamic_cast<ContinuousAveragingAsianOption::arguments*>(args);

        QL_REQUIRE(moreArgs != nullptr, "wrong argument type");

        moreArgs->averageType = averageType_;

        moreArgs->startDate = startDate_;

    }

    void ContinuousAveragingAsianOption::arguments::validate() const {

        OneAssetOption::arguments::validate();

        QL_REQUIRE(Integer(averageType) != -1, "unspecified average type");

    }

}