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

/*

 Copyright (C) 2013, 2018 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.

*/

#include <ql/exercise.hpp>

#include <ql/instruments/floatfloatswaption.hpp>

#include <utility>

namespace QuantLib {

    FloatFloatSwaption::FloatFloatSwaption(ext::shared_ptr<FloatFloatSwap> swap,

                                           const ext::shared_ptr<Exercise>& exercise,

                                           Settlement::Type delivery,

                                           Settlement::Method settlementMethod)

    : Option(ext::shared_ptr<Payoff>(), exercise), swap_(std::move(swap)),

      settlementType_(delivery), settlementMethod_(settlementMethod) {

        registerWith(swap_);

        // When we ask for the NPV of an expired swaption, the

        // swap is not recalculated and thus wouldn't forward

        // later notifications according to the default behavior of

        // LazyObject instances.  This means that even if the

        // evaluation date changes so that the swaption is no longer

        // expired, the instrument wouldn't be notified and thus it

        // wouldn't recalculate.  To avoid this, we override the

        // default behavior of the underlying swap.

        swap_->alwaysForwardNotifications();

    }

Unexecuted instantiation: QuantLib::FloatFloatSwaption::FloatFloatSwaption(boost::shared_ptr<QuantLib::FloatFloatSwap>, boost::shared_ptr<QuantLib::Exercise> const&, QuantLib::Settlement::Type, QuantLib::Settlement::Method)

Unexecuted instantiation: QuantLib::FloatFloatSwaption::FloatFloatSwaption(boost::shared_ptr<QuantLib::FloatFloatSwap>, boost::shared_ptr<QuantLib::Exercise> const&, QuantLib::Settlement::Type, QuantLib::Settlement::Method)

    bool FloatFloatSwaption::isExpired() const {

        return detail::simple_event(exercise_->dates().back()).hasOccurred();

    }

    void

    FloatFloatSwaption::setupArguments(PricingEngine::arguments *args) const {

        swap_->setupArguments(args);

        auto* arguments = dynamic_cast<FloatFloatSwaption::arguments*>(args);

        QL_REQUIRE(arguments != nullptr, "wrong argument type");

        arguments->swap = swap_;

        arguments->exercise = exercise_;

        arguments->settlementType = settlementType_;

        arguments->settlementMethod = settlementMethod_;

    }

    void FloatFloatSwaption::arguments::validate() const {

        FloatFloatSwap::arguments::validate();

        QL_REQUIRE(swap, "underlying cms swap not set");

        QL_REQUIRE(exercise, "exercise not set");

        Settlement::checkTypeAndMethodConsistency(settlementType,

                                                  settlementMethod);

    }

    std::vector<ext::shared_ptr<BlackCalibrationHelper>>

    FloatFloatSwaption::calibrationBasket(

        const ext::shared_ptr<SwapIndex>& standardSwapBase,

        const ext::shared_ptr<SwaptionVolatilityStructure>& swaptionVolatility,

        const BasketGeneratingEngine::CalibrationBasketType basketType) const {

        ext::shared_ptr<BasketGeneratingEngine> engine =

            ext::dynamic_pointer_cast<BasketGeneratingEngine>(engine_);

        QL_REQUIRE(engine, "engine is not a basket generating engine");

        engine_->reset();

        setupArguments(engine_->getArguments());

        engine_->getArguments()->validate();

        return engine->calibrationBasket(exercise_, standardSwapBase,

                                         swaptionVolatility, basketType);

    }

}