/* -*- 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.

*/

#include <ql/experimental/inflation/yoyoptionlethelpers.hpp>

#include <ql/instruments/makeyoyinflationcapfloor.hpp>

#include <ql/utilities/null_deleter.hpp>

#include <utility>

namespace QuantLib {

    YoYOptionletHelper::YoYOptionletHelper(const Handle<Quote>& price,

                                           Real notional,

                                           YoYInflationCapFloor::Type capFloorType,

                                           Period& lag,

                                           DayCounter yoyDayCounter,

                                           Calendar paymentCalendar,

                                           Natural fixingDays,

                                           ext::shared_ptr<YoYInflationIndex> index,

                                           CPI::InterpolationType interpolation,

                                           Rate strike,

                                           Size n,

                                           ext::shared_ptr<YoYInflationCapFloorEngine> pricer)

    : BootstrapHelper<YoYOptionletVolatilitySurface>(price), notional_(notional),

      capFloorType_(capFloorType), lag_(lag), fixingDays_(fixingDays), index_(std::move(index)),

      strike_(strike), n_(n), yoyDayCounter_(std::move(yoyDayCounter)),

      calendar_(std::move(paymentCalendar)), pricer_(std::move(pricer)) {

        // build the instrument to reprice (only need do this once)

        yoyCapFloor_ =

            MakeYoYInflationCapFloor(capFloorType_, index_,

                                     n_, calendar_, lag_, interpolation)

            .withNominal(notional)

            .withFixingDays(fixingDays_)

            .withPaymentDayCounter(yoyDayCounter_)

            .withStrike(strike_);

        // dates already build in lag of index/instrument

        // these are the dates of the values of the index

        // that fix the capfloor

          earliestDate_ = ext::dynamic_pointer_cast<YoYInflationCoupon>(

              yoyCapFloor_->yoyLeg().front())->fixingDate();

          latestDate_ = ext::dynamic_pointer_cast<YoYInflationCoupon>(

              yoyCapFloor_->yoyLeg().back())->fixingDate();

        // each reprice is resetting the inflation surf in the

        // pricer... so set the pricer

        yoyCapFloor_->setPricingEngine(pricer_);

        // haven't yet set the vol (term structure = surface)

    }

    Real YoYOptionletHelper::impliedQuote() const {

        yoyCapFloor_->deepUpdate();

        return yoyCapFloor_->NPV();

    }

    void YoYOptionletHelper::setTermStructure(

                                           YoYOptionletVolatilitySurface* v) {

        BootstrapHelper<YoYOptionletVolatilitySurface>::setTermStructure(v);

        // set up a new yoyCapFloor

        // but this one does NOT own its inflation term structure

        const bool own = false;

        // create a handle to the new vol surface

        Handle<YoYOptionletVolatilitySurface> volSurf(

            ext::shared_ptr<YoYOptionletVolatilitySurface>(v, null_deleter()),

            own);

        // in this case all we need to do is reset the vol in the pricer

        // we must do it because the surface is a different one each time

        // i.e. the pointer (handle) changes, not just what it points to

        pricer_->setVolatility(volSurf);

    }

}