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

/*

 Copyright (C) 2007 Ferdinando Ametrano

 Copyright (C) 2006 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.

*/

/*! \file futuresconvadjustmentquote.hpp

    \brief quote for the futures-convexity adjustment of an index

*/

#ifndef quantlib_futures_conv_adjustment_quote_hpp

#define quantlib_futures_conv_adjustment_quote_hpp

#include <ql/quote.hpp>

#include <ql/types.hpp>

#include <ql/handle.hpp>

#include <ql/indexes/iborindex.hpp>

#include <ql/utilities/null.hpp>

namespace QuantLib {

    //! %quote for the futures-convexity adjustment of an index

    class FuturesConvAdjustmentQuote : public Quote,

                                       public Observer {

      public:

        FuturesConvAdjustmentQuote(const ext::shared_ptr<IborIndex>& index,

                                   const Date& futuresDate,

                                   Handle<Quote> futuresQuote,

                                   Handle<Quote> volatility,

                                   Handle<Quote> meanReversion);

        FuturesConvAdjustmentQuote(const ext::shared_ptr<IborIndex>& index,

                                   const std::string& immCode,

                                   Handle<Quote> futuresQuote,

                                   Handle<Quote> volatility,

                                   Handle<Quote> meanReversion);

        //! \name Quote interface

        //@{

        Real value() const override;

        bool isValid() const override;

        //@}

        void update() override;

        //! \name Inspectors

        //@{

        Real futuresValue() const { return futuresQuote_->value(); }

        Real volatility() const { return volatility_->value(); }

        Real meanReversion() const { return meanReversion_->value(); }

        Date immDate() const { return futuresDate_; }

        //@}

      protected:

        DayCounter dc_;

        const Date futuresDate_, indexMaturityDate_;

        Handle<Quote> futuresQuote_;

        Handle<Quote> volatility_;

        Handle<Quote> meanReversion_;

        mutable Real rate_ = Null<Real>();

    };

    // inline

    inline void FuturesConvAdjustmentQuote::update() {

        rate_ = Null<Real>();

        notifyObservers();

    }

}

#endif