/* -*- 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 yoyinflationcoupon.hpp

 \brief Coupon paying a yoy inflation index

 */

#ifndef quantlib_newyoy_coupon_hpp

#define quantlib_newyoy_coupon_hpp

#include <ql/cashflows/inflationcoupon.hpp>

#include <ql/indexes/inflationindex.hpp>

#include <ql/time/schedule.hpp>

namespace QuantLib {

    class YoYInflationCouponPricer;

    //! %Coupon paying a YoY-inflation type index

    class YoYInflationCoupon : public InflationCoupon {

      public:

        YoYInflationCoupon(const Date& paymentDate,

                           Real nominal,

                           const Date& startDate,

                           const Date& endDate,

                           Natural fixingDays,

                           const ext::shared_ptr<YoYInflationIndex>& index,

                           const Period& observationLag,

                           CPI::InterpolationType interpolation,

                           const DayCounter& dayCounter,

                           Real gearing = 1.0,

                           Spread spread = 0.0,

                           const Date& refPeriodStart = Date(),

                           const Date& refPeriodEnd = Date());

        //! \name Inspectors

        //@{

        //! index gearing, i.e. multiplicative coefficient for the index

        Real gearing() const { return gearing_; }

        //! spread paid over the fixing of the underlying index

        Spread spread() const { return spread_; }

        Rate indexFixing() const override;

        Rate adjustedFixing() const;

        const ext::shared_ptr<YoYInflationIndex>& yoyIndex() const;

        CPI::InterpolationType interpolation() const;

        //@}

        //! \name Visitability

        //@{

        void accept(AcyclicVisitor&) override;

        //@}

      private:

        ext::shared_ptr<YoYInflationIndex> yoyIndex_;

        CPI::InterpolationType interpolation_;

      protected:

        Real gearing_;

        Spread spread_;

        bool checkPricerImpl(const ext::shared_ptr<InflationCouponPricer>&) const override;

    };

    inline const ext::shared_ptr<YoYInflationIndex>&

    YoYInflationCoupon::yoyIndex() const {

        return yoyIndex_;

    }

    inline CPI::InterpolationType YoYInflationCoupon::interpolation() const {

        return interpolation_;

    }

    inline Rate YoYInflationCoupon::adjustedFixing() const {

        return (rate()-spread())/gearing();

    }

    //! Helper class building a sequence of capped/floored yoy inflation coupons

    class yoyInflationLeg {

    public:

      yoyInflationLeg(Schedule schedule,

                      Calendar cal,

                      ext::shared_ptr<YoYInflationIndex> index,

                      const Period& observationLag,

                      CPI::InterpolationType interpolation);

      yoyInflationLeg& withNotionals(Real notional);

      yoyInflationLeg& withNotionals(const std::vector<Real>& notionals);

      yoyInflationLeg& withPaymentDayCounter(const DayCounter&);

      yoyInflationLeg& withPaymentAdjustment(BusinessDayConvention);

      yoyInflationLeg& withFixingDays(Natural fixingDays);

      yoyInflationLeg& withFixingDays(const std::vector<Natural>& fixingDays);

      yoyInflationLeg& withGearings(Real gearing);

      yoyInflationLeg& withGearings(const std::vector<Real>& gearings);

      yoyInflationLeg& withSpreads(Spread spread);

      yoyInflationLeg& withSpreads(const std::vector<Spread>& spreads);

      yoyInflationLeg& withCaps(Rate cap);

      yoyInflationLeg& withCaps(const std::vector<Rate>& caps);

      yoyInflationLeg& withFloors(Rate floor);

      yoyInflationLeg& withFloors(const std::vector<Rate>& floors);

      operator Leg() const;

    private:

        Schedule schedule_;

        ext::shared_ptr<YoYInflationIndex> index_;

        Period observationLag_;

        CPI::InterpolationType interpolation_;

        std::vector<Real> notionals_;

        DayCounter paymentDayCounter_;

        BusinessDayConvention paymentAdjustment_ = ModifiedFollowing;

        Calendar paymentCalendar_;

        std::vector<Natural> fixingDays_;

        std::vector<Real> gearings_;

        std::vector<Spread> spreads_;

        std::vector<Rate> caps_, floors_;

    };

}

#endif