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

/*

 Copyright (C) 2007, 2008, 2014 Ferdinando Ametrano

 Copyright (C) 2007 Giorgio Facchinetti

 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/cashflows/cashflows.hpp>

#include <ql/exercise.hpp>

#include <ql/indexes/swapindex.hpp>

#include <ql/instruments/makeois.hpp>

#include <ql/instruments/makeswaption.hpp>

#include <ql/instruments/makevanillaswap.hpp>

#include <ql/pricingengines/swap/discountingswapengine.hpp>

#include <ql/optional.hpp>

#include <ql/settings.hpp>

#include <utility>

namespace QuantLib {

    MakeSwaption::MakeSwaption(ext::shared_ptr<SwapIndex> swapIndex,

                               const Period& optionTenor,

                               Rate strike)

    : swapIndex_(std::move(swapIndex)), delivery_(Settlement::Physical),

      settlementMethod_(Settlement::PhysicalOTC), optionTenor_(optionTenor),

      optionConvention_(ModifiedFollowing), strike_(strike),

      underlyingType_(Swap::Payer), nominal_(1.0) {}

    MakeSwaption::MakeSwaption(ext::shared_ptr<SwapIndex> swapIndex,

                               const Date& fixingDate,

                               Rate strike)

    : swapIndex_(std::move(swapIndex)), delivery_(Settlement::Physical),

      settlementMethod_(Settlement::PhysicalOTC), optionConvention_(ModifiedFollowing),

      fixingDate_(fixingDate), strike_(strike), underlyingType_(Swap::Payer) {}

    MakeSwaption::operator Swaption() const {

        ext::shared_ptr<Swaption> swaption = *this;

        return *swaption;

    }

    MakeSwaption::operator ext::shared_ptr<Swaption>() const {

        const Calendar& calendar = exerciseCalendar_.empty()

            ? swapIndex_->fixingCalendar()

            : exerciseCalendar_;

        Date refDate = Settings::instance().evaluationDate();

        // if the evaluation date is not a business day

        // then move to the next business day

        refDate = calendar.adjust(refDate);

        if (fixingDate_ == Date())

            fixingDate_ = calendar.advance(refDate, optionTenor_,

                                           optionConvention_);

        if (exerciseDate_ == Date()) {

            exercise_ = ext::shared_ptr<Exercise>(new

                EuropeanExercise(fixingDate_));

        } else {

            QL_REQUIRE(exerciseDate_ <= fixingDate_,

                       "exercise date (" << exerciseDate_ << ") must be less "

                       "than or equal to fixing date (" << fixingDate_ << ")");

            exercise_ = ext::shared_ptr<Exercise>(new

                EuropeanExercise(exerciseDate_));

        }

        Rate usedStrike;

        ext::shared_ptr<OvernightIndexedSwapIndex> OIswap_index = ext::dynamic_pointer_cast<OvernightIndexedSwapIndex>(swapIndex_);

        if (strike_ == Null<Rate>()) {

            // ATM on curve(s) attached to index

            QL_REQUIRE(!swapIndex_->forwardingTermStructure().empty(),

                       "null term structure set to this instance of " <<

                       swapIndex_->name());

            if (OIswap_index) {

                auto temp = OIswap_index->underlyingSwap(fixingDate_);

                temp->setPricingEngine(

                    ext::make_shared<DiscountingSwapEngine>(

                        swapIndex_->exogenousDiscount()

                        ? swapIndex_->discountingTermStructure()

                        : swapIndex_->forwardingTermStructure(),

                        false

                    )

                );

                usedStrike = temp->fairRate();

            } else {

                auto temp = swapIndex_->underlyingSwap(fixingDate_);

                temp->setPricingEngine(

                    ext::make_shared<DiscountingSwapEngine>(

                        swapIndex_->exogenousDiscount()

                        ? swapIndex_->discountingTermStructure()

                        : swapIndex_->forwardingTermStructure(),

                        false

                    )

                );

                usedStrike = temp->fairRate();

            }

        } else {

            usedStrike = strike_;

        }

        BusinessDayConvention bdc = swapIndex_->fixedLegConvention();

        if (OIswap_index) {

            underlyingSwap_ =

                (ext::shared_ptr<OvernightIndexedSwap>)(

                    MakeOIS(swapIndex_->tenor(),

                            OIswap_index->overnightIndex(), usedStrike)

                    .withEffectiveDate(swapIndex_->valueDate(fixingDate_))

                    .withPaymentCalendar(swapIndex_->fixingCalendar())

                    .withFixedLegDayCount(swapIndex_->dayCounter())

                    .withPaymentAdjustment(bdc)

                    .withFixedLegConvention(bdc)

                    .withFixedLegTerminationDateConvention(bdc)

                    .withType(underlyingType_)

                    .withNominal(nominal_)

                    );

        } else {

            underlyingSwap_ =

                (ext::shared_ptr<VanillaSwap>)(

                    MakeVanillaSwap(swapIndex_->tenor(),

                                    swapIndex_->iborIndex(), usedStrike)

                    .withEffectiveDate(swapIndex_->valueDate(fixingDate_))

                    .withFixedLegCalendar(swapIndex_->fixingCalendar())

                    .withFixedLegDayCount(swapIndex_->dayCounter())

                    .withFixedLegTenor(swapIndex_->fixedLegTenor())

                    .withFixedLegConvention(bdc)

                    .withFixedLegTerminationDateConvention(bdc)

                    .withType(underlyingType_)

                    .withNominal(nominal_)

                    .withIndexedCoupons(useIndexedCoupons_)

                    );

        }

        ext::shared_ptr<Swaption> swaption = ext::make_shared<Swaption>(

            underlyingSwap_, exercise_, delivery_, settlementMethod_);

        swaption->setPricingEngine(engine_);

        return swaption;

    }

    MakeSwaption& MakeSwaption::withSettlementType(Settlement::Type delivery) {

        delivery_ = delivery;

        return *this;

    }

    MakeSwaption& MakeSwaption::withSettlementMethod(

        Settlement::Method settlementMethod) {

        settlementMethod_ = settlementMethod;

        return *this;

    }

    MakeSwaption&

    MakeSwaption::withOptionConvention(BusinessDayConvention bdc) {

        optionConvention_ = bdc;

        return *this;

    }

    MakeSwaption& MakeSwaption::withExerciseDate(const Date& date) {

        exerciseDate_ = date;

        return *this;

    }

    MakeSwaption& MakeSwaption::withExerciseCalendar(const Calendar& cal) {

        exerciseCalendar_ = cal;

        return *this;

    }

    MakeSwaption& MakeSwaption::withUnderlyingType(const Swap::Type type) {

        underlyingType_ = type;

        return *this;

    }

    MakeSwaption& MakeSwaption::withPricingEngine(

                             const ext::shared_ptr<PricingEngine>& engine) {

        engine_ = engine;

        return *this;

    }

    MakeSwaption& MakeSwaption::withNominal(Real n) {

        nominal_ = n;

        return *this;

    }

    MakeSwaption& MakeSwaption::withIndexedCoupons(const ext::optional<bool>& b) {

        useIndexedCoupons_ = b;

        return *this;

    }

    MakeSwaption& MakeSwaption::withAtParCoupons(bool b) {

        useIndexedCoupons_ = !b;

        return *this;

    }

}