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

/*

 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/pricingengines/forward/mcforwardeuropeanhestonengine.hpp>

namespace QuantLib {

    ForwardEuropeanHestonPathPricer::ForwardEuropeanHestonPathPricer(

                                          Option::Type type,

                                          Real moneyness,

                                          Size resetIndex,

                                          DiscountFactor discount)

    : type_(type), moneyness_(moneyness), resetIndex_(resetIndex),

      discount_(discount)

       {

        QL_REQUIRE(moneyness>=0.0,

                   "moneyness less than zero not allowed");

    }

    Real ForwardEuropeanHestonPathPricer::operator()(const MultiPath& multiPath) const {

        const Path& path = multiPath[0];

        const Size n = multiPath.pathSize();

        QL_REQUIRE(n>0, "the path cannot be empty");

        const Real resetLevel = path[resetIndex_];

        const Real strike = resetLevel * moneyness_;

        const PlainVanillaPayoff payoff = PlainVanillaPayoff(type_, strike);

        return payoff(path.back()) * discount_;

    }

}