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

/*

 Copyright (C) 2012, 2013 Grzegorz Andruszkiewicz

 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 catrisk.hpp

    \brief classes that encapsulate catastrophe risk

*/

#ifndef quantlib_catrisk_hpp

#define quantlib_catrisk_hpp

#include <ql/time/date.hpp>

#include <ql/errors.hpp>

#include <ql/shared_ptr.hpp>

#include <random>

#include <vector>

namespace QuantLib {

    class CatSimulation {

      public:

        CatSimulation(Date start, 

                      Date end) 

        : start_(start), end_(end) 

        {}

        virtual ~CatSimulation() = default;

        virtual bool nextPath(std::vector<std::pair<Date, Real> > &path) = 0;

      protected:

        Date start_;

        Date end_;

    };

    class CatRisk {

      public:

        virtual ~CatRisk() = default;

        virtual ext::shared_ptr<CatSimulation> newSimulation(const Date& start, const Date& end) const = 0;

    };

    class EventSetSimulation : public CatSimulation {

      public:

        EventSetSimulation(ext::shared_ptr<std::vector<std::pair<Date, Real> > > events,

                           Date eventsStart,

                           Date eventsEnd,

                           Date start,

                           Date end);

        bool nextPath(std::vector<std::pair<Date, Real> >& path) override;

      private:

        ext::shared_ptr<std::vector<std::pair<Date, Real> > > events_;

        Date eventsStart_;

        Date eventsEnd_;

        Year years_;

        Date periodStart_;

        Date periodEnd_;

        unsigned int i_ = 0;

    };

    class EventSet : public CatRisk {        

      public:

        EventSet(ext::shared_ptr<std::vector<std::pair<Date, Real> > > events,

                 Date eventsStart,

                 Date eventsEnd);

        ext::shared_ptr<CatSimulation> newSimulation(const Date& start,

                                                     const Date& end) const override;

      private:

        ext::shared_ptr<std::vector<std::pair<Date, Real> > > events_; 

        Date eventsStart_;

        Date eventsEnd_;

    };

    class BetaRiskSimulation : public CatSimulation {

      public:

        BetaRiskSimulation(Date start, 

                           Date end, 

                           Real maxLoss, 

                           Real lambda, 

                           Real alpha, 

                           Real beta) ;

        bool nextPath(std::vector<std::pair<Date, Real> >& path) override;

        Real generateBeta();

      private:

        Real maxLoss_;

        Integer dayCount_;

        Real yearFraction_;

        std::mt19937 rng_;

        std::exponential_distribution<Real> exponential_;

        std::gamma_distribution<Real> gammaAlpha_;

        std::gamma_distribution<Real> gammaBeta_;

    };

    class BetaRisk : public CatRisk {

      public:

        BetaRisk(Real maxLoss, 

                 Real years, 

                 Real mean, 

                 Real stdDev);

        ext::shared_ptr<CatSimulation> newSimulation(const Date& start,

                                                     const Date& end) const override;

      private:

        Real maxLoss_;

        Real lambda_;

        Real alpha_;

        Real beta_;

    };

}

#endif