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

/*

 Copyright (C) 2008 Roland Lichters

 Copyright (C) 2009, 2014 Jose Aparicio

 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/experimental/credit/midpointcdoengine.hpp>

#ifndef QL_PATCH_SOLARIS

#include <ql/cashflows/fixedratecoupon.hpp>

#include <ql/termstructures/yieldtermstructure.hpp>

namespace QuantLib {

    void MidPointCDOEngine::calculate() const {

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

        results_.premiumValue = 0.0;

        results_.protectionValue = 0.0;

        results_.upfrontPremiumValue = 0.0;

        results_.error = 0;

        results_.expectedTrancheLoss.clear();

        // todo Should be remaining when considering realized loses

        results_.xMin = arguments_.basket->attachmentAmount();

        results_.xMax = arguments_.basket->detachmentAmount();

        results_.remainingNotional = results_.xMax - results_.xMin;

        const Real inceptionTrancheNotional = 

            arguments_.basket->trancheNotional();

        // compute expected loss at the beginning of first relevant period

        Real e1 = 0;

        // todo add includeSettlement date flows variable to engine.

        if (!arguments_.normalizedLeg[0]->hasOccurred(today))

            // Notice that since there might be a gap between the end of 

            // acrrual and payment dates and today be in between

            // the tranche loss on that date might not be contingent but 

            // realized:

            e1 = arguments_.basket->expectedTrancheLoss(

                coupon_cast(

                    arguments_.normalizedLeg[0])->accrualStartDate());

        results_.expectedTrancheLoss.push_back(e1);

        //'e1'  should contain the existing loses.....? use remaining amounts?

        for (auto& i : arguments_.normalizedLeg) {

            if (i->hasOccurred(today)) {

                results_.expectedTrancheLoss.push_back(0.);

                continue;

            }

            ext::shared_ptr<Coupon> coupon = coupon_cast(i);

            Date paymentDate = coupon->date();

            Date startDate = std::max(coupon->accrualStartDate(),

                                      discountCurve_->referenceDate());

            Date endDate = coupon->accrualEndDate();

            // we assume the loss within the period took place on this date:

            Date defaultDate = startDate + (endDate-startDate)/2;

            Real e2 = arguments_.basket->expectedTrancheLoss(endDate);

            results_.expectedTrancheLoss.push_back(e2);

            results_.premiumValue += 

                ((inceptionTrancheNotional - e2) / inceptionTrancheNotional)

                * coupon->amount()

                * discountCurve_->discount(paymentDate);

            // default flows:

            const Real discount = discountCurve_->discount(defaultDate);

            /* Accrual removed till the argument flag is implemented

            // pays accrued on defaults' date

            results_.premiumValue += coupon->accruedAmount(defaultDate)

                * discount * (e2 - e1) / inceptionTrancheNotional;

            */

            results_.protectionValue += discount * (e2 - e1);

            /* use it in a future version for coherence with the integral engine

            * arguments_.leverageFactor;

            */

            e1 = e2;

        }

        //\todo treat upfron tnow as in the new CDS (see March 2014)

        // add includeSettlement date flows variable to engine ?

        if (!arguments_.normalizedLeg[0]->hasOccurred(today))

            results_.upfrontPremiumValue 

                = inceptionTrancheNotional * arguments_.upfrontRate 

                    * discountCurve_->discount(

                        coupon_cast(

                            arguments_.normalizedLeg[0])->accrualStartDate());

            /* use it in a future version for coherence with the integral engine

                arguments_.leverageFactor * ;

            */

        if (arguments_.side == Protection::Buyer) {

            results_.protectionValue *= -1;

            results_.premiumValue *= -1;

            results_.upfrontPremiumValue *= -1;

        }

        results_.value = results_.premiumValue - results_.protectionValue

            + results_.upfrontPremiumValue;

        results_.errorEstimate = Null<Real>();

        // Fair spread GIVEN the upfront

        Real fairSpread = 0.;

        if (results_.premiumValue != 0.0) {

            fairSpread =

                -(results_.protectionValue + results_.upfrontPremiumValue)

                  *arguments_.runningRate/results_.premiumValue;

        }

        results_.additionalResults["fairPremium"] = fairSpread;

        results_.additionalResults["premiumLegNPV"] = 

            Real(results_.premiumValue + results_.upfrontPremiumValue);

        results_.additionalResults["protectionLegNPV"] = 

            results_.protectionValue;

    }

}

#endif