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

/*

 Copyright (C) 2007 Roland Lichters

 Copyright (C) 2007 StatPro Italia srl

 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/instruments/bmaswap.hpp>

#include <ql/cashflows/iborcoupon.hpp>

#include <ql/cashflows/averagebmacoupon.hpp>

namespace QuantLib {

    BMASwap::BMASwap(Type type,

                     Real nominal,

                     // Libor leg

                     Schedule liborSchedule,

                     Real liborFraction,

                     Spread liborSpread,

                     const ext::shared_ptr<IborIndex>& liborIndex,

                     const DayCounter& liborDayCount,

                     // BMA leg

                     Schedule bmaSchedule,

                     const ext::shared_ptr<BMAIndex>& bmaIndex,

                     const DayCounter& bmaDayCount)

    : Swap(2), type_(type), nominal_(nominal),

      liborFraction_(liborFraction), liborSpread_(liborSpread)  {

        BusinessDayConvention convention =

            liborSchedule.businessDayConvention();

        legs_[0] = IborLeg(std::move(liborSchedule), liborIndex)

            .withNotionals(nominal)

            .withPaymentDayCounter(liborDayCount)

            .withPaymentAdjustment(convention)

            .withFixingDays(liborIndex->fixingDays())

            .withGearings(liborFraction)

            .withSpreads(liborSpread);

        auto bmaConvention = bmaSchedule.businessDayConvention();

        legs_[1] = AverageBMALeg(std::move(bmaSchedule), bmaIndex)

            .withNotionals(nominal)

            .withPaymentDayCounter(bmaDayCount)

            .withPaymentAdjustment(bmaConvention);

        for (Size j=0; j<2; ++j) {

            for (auto& i : legs_[j])

                registerWith(i);

        }

        switch (type_) {

          case Payer:

            payer_[0] = +1.0;

            payer_[1] = -1.0;

            break;

          case Receiver:

            payer_[0] = -1.0;

            payer_[1] = +1.0;

            break;

          default:

            QL_FAIL("Unknown BMA-swap type");

        }

    }

Unexecuted instantiation: QuantLib::BMASwap::BMASwap(QuantLib::Swap::Type, double, QuantLib::Schedule, double, double, boost::shared_ptr<QuantLib::IborIndex> const&, QuantLib::DayCounter const&, QuantLib::Schedule, boost::shared_ptr<QuantLib::BMAIndex> const&, QuantLib::DayCounter const&)

Unexecuted instantiation: QuantLib::BMASwap::BMASwap(QuantLib::Swap::Type, double, QuantLib::Schedule, double, double, boost::shared_ptr<QuantLib::IborIndex> const&, QuantLib::DayCounter const&, QuantLib::Schedule, boost::shared_ptr<QuantLib::BMAIndex> const&, QuantLib::DayCounter const&)

    Real BMASwap::liborFraction() const {

        return liborFraction_;

    }

    Spread BMASwap::liborSpread() const {

        return liborSpread_;

    }

    Real BMASwap::nominal() const {

        return nominal_;

    }

    Swap::Type BMASwap::type() const {

        return type_;

    }

    const Leg& BMASwap::liborLeg() const {

        return legs_[0];

    }

    const Leg& BMASwap::bmaLeg() const {

        return legs_[1];

    }

    Real BMASwap::liborLegBPS() const {

        calculate();

        QL_REQUIRE(legBPS_[0] != Null<Real>(), "result not available");

        return legBPS_[0];

    }

    Real BMASwap::liborLegNPV() const {

        calculate();

        QL_REQUIRE(legNPV_[0] != Null<Real>(), "result not available");

        return legNPV_[0];

    }

    Real BMASwap::fairLiborFraction() const {

        static Spread basisPoint = 1.0e-4;

        Real spreadNPV = (liborSpread_/basisPoint)*liborLegBPS();

        Real pureLiborNPV = liborLegNPV() - spreadNPV;

        QL_REQUIRE(pureLiborNPV != 0.0,

                   "result not available (null libor NPV)");

        return -liborFraction_ * (bmaLegNPV() + spreadNPV) / pureLiborNPV;

    }

    Spread BMASwap::fairLiborSpread() const {

        static Spread basisPoint = 1.0e-4;

        return liborSpread_ - NPV()/(liborLegBPS()/basisPoint);

    }

    Real BMASwap::bmaLegBPS() const {

        calculate();

        QL_REQUIRE(legBPS_[1] != Null<Real>(), "result not available");

        return legBPS_[1];

    }

    Real BMASwap::bmaLegNPV() const {

        calculate();

        QL_REQUIRE(legNPV_[1] != Null<Real>(), "result not available");

        return legNPV_[1];

    }

}