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

/*

 Copyright (C) 2007, 2011 Ferdinando Ametrano

 Copyright (C) 2007 Giorgio Facchinetti

 Copyright (C) 2007 Cristina Duminuco

 Copyright (C) 2007 StatPro Italia srl

 Copyright (C) 2017 Joseph Jeisman

 Copyright (C) 2017 Fabrice Lecuyer

 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 iborcoupon.hpp

    \brief Coupon paying a Libor-type index

*/

#ifndef quantlib_ibor_coupon_hpp

#define quantlib_ibor_coupon_hpp

#include <ql/cashflows/floatingratecoupon.hpp>

#include <ql/indexes/iborindex.hpp>

#include <ql/patterns/singleton.hpp>

#include <ql/time/schedule.hpp>

#include <ql/optional.hpp>

namespace QuantLib {

    //! %Coupon paying a Libor-type index

    class IborCoupon : public FloatingRateCoupon {

      public:

        IborCoupon(const Date& paymentDate,

                   Real nominal,

                   const Date& startDate,

                   const Date& endDate,

                   Natural fixingDays,

                   const ext::shared_ptr<IborIndex>& index,

                   Real gearing = 1.0,

                   Spread spread = 0.0,

                   const Date& refPeriodStart = Date(),

                   const Date& refPeriodEnd = Date(),

                   const DayCounter& dayCounter = DayCounter(),

                   bool isInArrears = false,

                   const Date& exCouponDate = Date(),

                   BusinessDayConvention fixingConvention = Preceding);

        //! \name Inspectors

        //@{

        const ext::shared_ptr<IborIndex>& iborIndex() const { return iborIndex_; }

        bool hasFixed() const;

        //@}

        //! \name FloatingRateCoupon interface

        //@{

        Date fixingDate() const override;

        // implemented in order to manage the case of par coupon

        Rate indexFixing() const override;

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

        //@}

        //! \name Visitability

        //@{

        void accept(AcyclicVisitor&) override;

        //@}

        /*! \name Internal calculations

            You won't probably need these methods unless you're implementing

            a coupon pricer.

        */

        //@{

        //! Start of the deposit period underlying the index fixing

        const Date& fixingValueDate() const;

        //! End of the deposit period underlying the index fixing

        const Date& fixingMaturityDate() const;

        //! End of the deposit period underlying the coupon fixing

        /*! This might be not the same as fixingMaturityDate if par coupons are used. */

        const Date& fixingEndDate() const;

        //! Period underlying the index fixing, as a year fraction

        Time spanningTimeIndexMaturity() const;

        //! Period underlying the coupon fixing, as a year fraction

        /*! This might be not the same as spanningTimeIndexMaturity if par coupons are used. */

        Time spanningTime() const;

        //@}

      private:

        friend class IborCouponPricer;

        ext::shared_ptr<IborIndex> iborIndex_;

        Date fixingDate_;

        // computed by coupon pricer (depending on par coupon flag) and stored here

        void initializeCachedData() const;

        mutable bool cachedDataIsInitialized_ = false;

        mutable Date fixingValueDate_, fixingEndDate_, fixingMaturityDate_;

        mutable Time spanningTime_, spanningTimeIndexMaturity_;

      public:

        // IborCoupon::Settings forward declaration

        class Settings;

    };

    //! Per-session settings for IborCoupon class

    class IborCoupon::Settings : public Singleton<IborCoupon::Settings> {

        friend class Singleton<IborCoupon::Settings>;

      private:

        Settings() = default;

      public:

        //! When called, IborCoupons are created as indexed coupons instead of par coupons.

        void createAtParCoupons();

        //! When called, IborCoupons are created as par coupons instead of indexed coupons.

        void createIndexedCoupons();

        /*! If true the IborCoupons are created as par coupons and vice versa.

            The default depends on the compiler flag QL_USE_INDEXED_COUPON and can be overwritten by

            createAtParCoupons() and createIndexedCoupons() */

        bool usingAtParCoupons() const;

      private:

        #ifndef QL_USE_INDEXED_COUPON

        bool usingAtParCoupons_ = true;

        #else

        bool usingAtParCoupons_ = false;

        #endif

    };

    //! helper class building a sequence of capped/floored ibor-rate coupons

    class IborLeg {

      public:

        IborLeg(Schedule schedule, ext::shared_ptr<IborIndex> index);

        IborLeg& withNotionals(Real notional);

        IborLeg& withNotionals(const std::vector<Real>& notionals);

        IborLeg& withPaymentDayCounter(const DayCounter&);

        IborLeg& withPaymentAdjustment(BusinessDayConvention);

        IborLeg& withPaymentLag(Integer lag);

        IborLeg& withPaymentCalendar(const Calendar&);

        IborLeg& withFixingDays(Natural fixingDays);

        IborLeg& withFixingDays(const std::vector<Natural>& fixingDays);

        IborLeg& withGearings(Real gearing);

        IborLeg& withGearings(const std::vector<Real>& gearings);

        IborLeg& withSpreads(Spread spread);

        IborLeg& withSpreads(const std::vector<Spread>& spreads);

        IborLeg& withCaps(Rate cap);

        IborLeg& withCaps(const std::vector<Rate>& caps);

        IborLeg& withFloors(Rate floor);

        IborLeg& withFloors(const std::vector<Rate>& floors);

        IborLeg& inArrears(bool flag = true);

        IborLeg& withZeroPayments(bool flag = true);

        IborLeg& withExCouponPeriod(const Period&,

                                    const Calendar&,

                                    BusinessDayConvention,

                                    bool endOfMonth = false);

        IborLeg& withFixingConvention(BusinessDayConvention);

        IborLeg& withIndexedCoupons(ext::optional<bool> b = true);

        IborLeg& withAtParCoupons(bool b = true);

        operator Leg() const;

      private:

        Schedule schedule_;

        ext::shared_ptr<IborIndex> index_;

        std::vector<Real> notionals_;

        DayCounter paymentDayCounter_;

        BusinessDayConvention paymentAdjustment_ = Following;

        Integer paymentLag_ = 0;

        Calendar paymentCalendar_;

        std::vector<Natural> fixingDays_;

        std::vector<Real> gearings_;

        std::vector<Spread> spreads_;

        std::vector<Rate> caps_, floors_;

        bool inArrears_ = false, zeroPayments_ = false;

        BusinessDayConvention fixingConvention_ = Preceding;

        Period exCouponPeriod_;

        Calendar exCouponCalendar_;

        BusinessDayConvention exCouponAdjustment_ = Unadjusted;

        bool exCouponEndOfMonth_ = false;

        ext::optional<bool> useIndexedCoupons_;

    };

}

#endif