/* -*- 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 capflooredinflationcoupon.hpp

 \brief caplet and floorlet pricing for YoY inflation coupons

 */

#ifndef quantlib_capfloored_inflation_coupon_hpp

#define quantlib_capfloored_inflation_coupon_hpp

#include <ql/cashflows/yoyinflationcoupon.hpp>

namespace QuantLib {

    //! Capped or floored inflation coupon.

    /*! Essentially a copy of the nominal version but taking a

        different index and a set of pricers (not just one).

        The payoff \f$ P \f$ of a capped inflation-rate coupon

        with paysWithin = true is:

        \f[ P = N \times T \times \min(a L + b, C). \f]

        where \f$ N \f$ is the notional, \f$ T \f$ is the accrual

        time, \f$ L \f$ is the inflation rate, \f$ a \f$ is its

        gearing, \f$ b \f$ is the spread, and \f$ C \f$ and \f$ F \f$

        the strikes.

        The payoff of a floored inflation-rate coupon is:

        \f[ P = N \times T \times \max(a L + b, F). \f]

        The payoff of a collared inflation-rate coupon is:

        \f[ P = N \times T \times \min(\max(a L + b, F), C). \f]

        If paysWithin = false then the inverse is returned

        (this provides for instrument cap and caplet prices).

        They can be decomposed in the following manner.  Decomposition

        of a capped floating rate coupon when paysWithin = true:

        \f[

        R = \min(a L + b, C) = (a L + b) + \min(C - b - \xi |a| L, 0)

        \f]

        where \f$ \xi = sgn(a) \f$. Then:

        \f[

        R = (a L + b) + |a| \min(\frac{C - b}{|a|} - \xi L, 0)

        \f]

     */

    class CappedFlooredYoYInflationCoupon : public YoYInflationCoupon {

      public:

        // we may watch an underlying coupon ...

        CappedFlooredYoYInflationCoupon(

                const ext::shared_ptr<YoYInflationCoupon>& underlying,

                Rate cap = Null<Rate>(),

                Rate floor = Null<Rate>());

        // ... or not

        CappedFlooredYoYInflationCoupon(const Date& paymentDate,

                                        Real nominal,

                                        const Date& startDate,

                                        const Date& endDate,

                                        Natural fixingDays,

                                        const ext::shared_ptr<YoYInflationIndex>& index,

                                        const Period& observationLag,

                                        const CPI::InterpolationType interpolation,

                                        const DayCounter& dayCounter,

                                        Real gearing = 1.0,

                                        Spread spread = 0.0,

                                        const Rate cap = Null<Rate>(),

                                        const Rate floor = Null<Rate>(),

                                        const Date& refPeriodStart = Date(),

                                        const Date& refPeriodEnd = Date())

        : YoYInflationCoupon(paymentDate, nominal, startDate, endDate,

                             fixingDays, index, observationLag, interpolation,

                             dayCounter, gearing, spread,

                             refPeriodStart, refPeriodEnd),

          isFloored_(false), isCapped_(false) {

            setCommon(cap, floor);

        }

        //! \name augmented Coupon interface

        //@{

        //! swap(let) rate

        Rate rate() const override;

        //! cap

        Rate cap() const;

        //! floor

        Rate floor() const;

        //! effective cap of fixing

        Rate effectiveCap() const;

        //! effective floor of fixing

        Rate effectiveFloor() const;

        //@}

        //! \name Observer interface

        //@{

        void update() override;

        //@}

        //! \name Visitability

        //@{

        void accept(AcyclicVisitor& v) override;

        //@}

        //! this returns the expected rate before cap and floor are applied

        Rate underlyingRate() const;

        bool isCapped() const { return isCapped_; }

        bool isFloored() const { return isFloored_; }

        void setPricer(const ext::shared_ptr<YoYInflationCouponPricer>&);

      protected:

        // data, we only use underlying_ if it was constructed that way,

        // generally we use the shared_ptr conversion to boolean to test

        ext::shared_ptr<YoYInflationCoupon> underlying_;

        bool isFloored_, isCapped_;

        Rate cap_, floor_;

      private:

        void setCommon(Rate cap, Rate floor);

    };

}

#endif