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

/*

 Copyright (C) 2021 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 fdmshoutinnervaluecalculator.cpp

    \brief inner value for a shout option

*/

#include <ql/instruments/payoffs.hpp>

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

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

#include <ql/pricingengines/blackformula.hpp>

#include <ql/termstructures/volatility/equityfx/blackvoltermstructure.hpp>

#include <utility>

namespace QuantLib {

    FdmShoutLogInnerValueCalculator::FdmShoutLogInnerValueCalculator(

        Handle<BlackVolTermStructure> blackVolatility,

        ext::shared_ptr<EscrowedDividendAdjustment> escrowedDividendAdj,

        Time maturity,

        ext::shared_ptr<PlainVanillaPayoff> payoff,

        ext::shared_ptr<FdmMesher> mesher,

        Size direction)

    : blackVolatility_(std::move(blackVolatility)),

      escrowedDividendAdj_(std::move(escrowedDividendAdj)),

      maturity_(maturity), payoff_(std::move(payoff)),

      mesher_(std::move(mesher)), direction_(direction) {}

    Real FdmShoutLogInnerValueCalculator::innerValue(

        const FdmLinearOpIterator& iter, Time t) {

        const Real s_t = std::exp(mesher_->location(iter, direction_));

        const DiscountFactor qf =

            escrowedDividendAdj_->dividendYield()->discount(maturity_)/

            escrowedDividendAdj_->dividendYield()->discount(t);

        const DiscountFactor df =

            escrowedDividendAdj_->riskFreeRate()->discount(maturity_)/

            escrowedDividendAdj_->riskFreeRate()->discount(t);

        const Real fwd = s_t*qf/df;

        const Volatility stdDev = blackVolatility_->blackForwardVol(

            t, maturity_, s_t)*std::sqrt(maturity_-t);

        const Real npv = blackFormula(

            payoff_->optionType(), s_t, fwd, stdDev, df);

        const Real spot = s_t - escrowedDividendAdj_->dividendAdjustment(t);

        const Real intrinsic = (payoff_->optionType() == Option::Call)

            ? spot - payoff_->strike() : payoff_->strike() - spot;

        return std::max(0.0, npv + intrinsic*df);

    }

    Real FdmShoutLogInnerValueCalculator::avgInnerValue(

        const FdmLinearOpIterator& iter, Time t) {

        return innerValue(iter, t);

    }

}