/*

 Copyright (C) 2014 Peter Caspers

 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 swapspreadindex.hpp

    \brief swap-rate spread indexes

*/

#ifndef quantlib_swapspreadindex_hpp

#define quantlib_swapspreadindex_hpp

#include <ql/indexes/swapindex.hpp>

namespace QuantLib {

    //! class for swap-rate spread indexes

    class SwapSpreadIndex : public InterestRateIndex {

      public:

        SwapSpreadIndex(const std::string& familyName,

                        const ext::shared_ptr<SwapIndex>& swapIndex1,

                        ext::shared_ptr<SwapIndex> swapIndex2,

                        Real gearing1 = 1.0,

                        Real gearing2 = -1.0);

        //! \name InterestRateIndex interface

        //@{

        Date maturityDate(const Date& valueDate) const override {

            QL_FAIL("SwapSpreadIndex does not provide a single maturity date");

        }

        Rate forecastFixing(const Date& fixingDate) const override;

        Rate pastFixing(const Date& fixingDate) const override;

        bool allowsNativeFixings() override { return false; }

        //@}

        //! \name Inspectors

        //@{

        ext::shared_ptr<SwapIndex> swapIndex1() { return swapIndex1_; }

        ext::shared_ptr<SwapIndex> swapIndex2() { return swapIndex2_; }

        Real gearing1() const { return gearing1_; }

        Real gearing2() const { return gearing2_; }

        //@}

    private:

        ext::shared_ptr<SwapIndex> swapIndex1_, swapIndex2_;

        Real gearing1_, gearing2_;

    };

    inline Rate SwapSpreadIndex::forecastFixing(const Date& fixingDate) const {

        // this also handles the case when one of indices has

        // a historic fixing on the evaluation date

        return gearing1_ * swapIndex1_->fixing(fixingDate,false) +

            gearing2_ * swapIndex2_->fixing(fixingDate,false);

    }

    inline Rate SwapSpreadIndex::pastFixing(const Date& fixingDate) const {

        Real f1 = swapIndex1_->pastFixing(fixingDate);

        Real f2 = swapIndex2_->pastFixing(fixingDate);

        // if one of the fixings is missing we return null, indicating

        // a missing fixing for the spread index

        if(f1 == Null<Real>() || f2 == Null<Real>())

            return Null<Real>();

        else

            return gearing1_ * f1 + gearing2_ * f2;

    }

}

#endif