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

/*

 Copyright (C) 2020 Lew Wei Hao

 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/pricingengines/lookback/mclookbackengine.hpp>

#include <algorithm>

namespace QuantLib {

    class LookbackFixedPathPricer : public PathPricer<Path> {

      public:

        LookbackFixedPathPricer(Option::Type type,

                                Real strike,

                                DiscountFactor discount);

        Real operator()(const Path& path) const override;

      private:

        PlainVanillaPayoff payoff_;

        DiscountFactor discount_;

    };

    class LookbackPartialFixedPathPricer : public PathPricer<Path> {

      public:

        LookbackPartialFixedPathPricer(Time lookbackStart,

                                       Option::Type type,

                                       Real strike,

                                       DiscountFactor discount);

        Real operator()(const Path& path) const override;

      private:

        Time lookbackStart_;

        PlainVanillaPayoff payoff_;

        DiscountFactor discount_;

    };

    class LookbackFloatingPathPricer : public PathPricer<Path> {

      public:

        LookbackFloatingPathPricer(Option::Type type,

                                   DiscountFactor discount);

        Real operator()(const Path& path) const override;

      private:

        FloatingTypePayoff payoff_;

        DiscountFactor discount_;

    };

    class LookbackPartialFloatingPathPricer : public PathPricer<Path> {

      public:

        LookbackPartialFloatingPathPricer(Time lookbackEnd,

                                          Option::Type type,

                                          DiscountFactor discount);

        Real operator()(const Path& path) const override;

      private:

        Time lookbackEnd_;

        FloatingTypePayoff payoff_;

        DiscountFactor discount_;

    };

    namespace detail {

        ext::shared_ptr<PathPricer<Path> >

        mc_lookback_path_pricer(

               const ContinuousFixedLookbackOption::arguments& args,

               const GeneralizedBlackScholesProcess& process,

               DiscountFactor discount) {

            ext::shared_ptr<PlainVanillaPayoff> payoff =

                ext::dynamic_pointer_cast<PlainVanillaPayoff>(args.payoff);

            QL_REQUIRE(payoff, "non-plain payoff given");

            return ext::shared_ptr<PathPricer<Path> >(

                new LookbackFixedPathPricer(payoff->optionType(),

                                            payoff->strike(),

                                            discount));

        }

        ext::shared_ptr<PathPricer<Path> >

        mc_lookback_path_pricer(

               const ContinuousPartialFixedLookbackOption::arguments& args,

               const GeneralizedBlackScholesProcess& process,

               DiscountFactor discount) {

            ext::shared_ptr<PlainVanillaPayoff> payoff =

                ext::dynamic_pointer_cast<PlainVanillaPayoff>(args.payoff);

            QL_REQUIRE(payoff, "non-plain payoff given");

            Time lookbackStart = process.time(args.lookbackPeriodStart);

            return ext::shared_ptr<PathPricer<Path> >(

                new LookbackPartialFixedPathPricer(lookbackStart,

                                                   payoff->optionType(),

                                                   payoff->strike(),

                                                   discount));

        }

        ext::shared_ptr<PathPricer<Path> >

        mc_lookback_path_pricer(

               const ContinuousFloatingLookbackOption::arguments& args,

               const GeneralizedBlackScholesProcess& process,

               DiscountFactor discount) {

            ext::shared_ptr<FloatingTypePayoff> payoff =

                ext::dynamic_pointer_cast<FloatingTypePayoff>(args.payoff);

            QL_REQUIRE(payoff, "non-floating payoff given");

            return ext::shared_ptr<PathPricer<Path> >(

                new LookbackFloatingPathPricer(payoff->optionType(),

                                               discount));

        }

        ext::shared_ptr<PathPricer<Path> >

        mc_lookback_path_pricer(

               const ContinuousPartialFloatingLookbackOption::arguments& args,

               const GeneralizedBlackScholesProcess& process,

               DiscountFactor discount) {

            ext::shared_ptr<FloatingTypePayoff> payoff =

                ext::dynamic_pointer_cast<FloatingTypePayoff>(args.payoff);

            QL_REQUIRE(payoff, "non-floating payoff given");

            Time lookbackEnd = process.time(args.lookbackPeriodEnd);

            return ext::shared_ptr<PathPricer<Path> >(

                new LookbackPartialFloatingPathPricer(lookbackEnd,

                                                      payoff->optionType(),

                                                      discount));

        }

    }

    LookbackFixedPathPricer::LookbackFixedPathPricer(

        Option::Type type,

        Real strike,

        DiscountFactor discount)

    : payoff_(type, strike), discount_(discount) {

        QL_REQUIRE(strike>=0.0,

                   "strike less than zero not allowed");

    }

    Real LookbackFixedPathPricer::operator()(const Path& path) const {

        QL_REQUIRE(!path.empty(), "the path cannot be empty");

        Real underlying;

        switch (payoff_.optionType()) {

          case Option::Put:

            underlying = *std::min_element(path.begin()+1, path.end());

            break;

          case Option::Call:

            underlying = *std::max_element(path.begin()+1, path.end());

            break;

          default:

            QL_FAIL("unknown option type");

        }

        return payoff_(underlying) * discount_;

    }

    LookbackPartialFixedPathPricer::LookbackPartialFixedPathPricer(

        Time lookbackStart,

        Option::Type type,

        Real strike,

        const DiscountFactor discount)

    : lookbackStart_(lookbackStart), payoff_(type, strike), discount_(discount) {

        QL_REQUIRE(strike>=0.0,

                   "strike less than zero not allowed");

    }

    Real LookbackPartialFixedPathPricer::operator()(const Path& path) const {

        QL_REQUIRE(!path.empty(), "the path cannot be empty");

        const TimeGrid& timeGrid = path.timeGrid();

        Size startIndex = timeGrid.closestIndex(lookbackStart_);

        Real underlying;

        switch (payoff_.optionType()) {

          case Option::Put:

            underlying = *std::min_element(path.begin()+startIndex+1, path.end());

            break;

          case Option::Call:

            underlying = *std::max_element(path.begin()+startIndex+1, path.end());

            break;

          default:

            QL_FAIL("unknown option type");

        }

        return payoff_(underlying) * discount_;

    }

    LookbackFloatingPathPricer::LookbackFloatingPathPricer(

        Option::Type type,

        const DiscountFactor discount)

    : payoff_(type), discount_(discount) {}

    Real LookbackFloatingPathPricer::operator()(const Path& path) const {

        QL_REQUIRE(!path.empty(), "the path cannot be empty");

        Real terminalPrice = path.back();

        Real strike;

        switch (payoff_.optionType()) {

          case Option::Call:

            strike = *std::min_element(path.begin()+1, path.end());

            break;

          case Option::Put:

            strike = *std::max_element(path.begin()+1, path.end());

            break;

          default:

            QL_FAIL("unknown option type");

        }

        return payoff_(terminalPrice, strike) * discount_;

    }

    LookbackPartialFloatingPathPricer::LookbackPartialFloatingPathPricer(

        Time lookbackEnd,

        Option::Type type,

        DiscountFactor discount)

        : lookbackEnd_(lookbackEnd), payoff_(type), discount_(discount) {}

    Real LookbackPartialFloatingPathPricer::operator()(const Path& path) const {

        QL_REQUIRE(!path.empty(), "the path cannot be empty");

        const TimeGrid& timeGrid = path.timeGrid();

        Size endIndex = timeGrid.closestIndex(lookbackEnd_);

        Real terminalPrice = path.back();

        Real strike;

        switch (payoff_.optionType()) {

          case Option::Call:

            strike = *std::min_element(path.begin()+1, path.begin()+endIndex+1);

            break;

          case Option::Put:

            strike = *std::max_element(path.begin()+1, path.begin()+endIndex+1);

            break;

          default:

            QL_FAIL("unknown option type");

        }

        return payoff_(terminalPrice, strike) * discount_;

    }

}