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

/*

 Copyright (C) 2015 Peter Caspers

 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/makecapfloor.hpp>

#include <ql/instruments/makeswaption.hpp>

#include <ql/pricingengines/blackformula.hpp>

#include <ql/termstructures/volatility/gaussian1dsmilesection.hpp>

#include <utility>

using std::sqrt;

namespace QuantLib {

    Gaussian1dSmileSection::Gaussian1dSmileSection(

        const Date& fixingDate,

        ext::shared_ptr<SwapIndex> swapIndex,

        const ext::shared_ptr<Gaussian1dModel>& model,

        const DayCounter& dc,

        const ext::shared_ptr<Gaussian1dSwaptionEngine>& swaptionEngine)

    : SmileSection(fixingDate, dc, model->termStructure()->referenceDate()),

      fixingDate_(fixingDate), swapIndex_(std::move(swapIndex)), model_(model),

      engine_(swaptionEngine) {

        atm_ = model_->swapRate(fixingDate_, swapIndex_->tenor(), Date(), 0.0, swapIndex_);

        annuity_ =

            model_->swapAnnuity(fixingDate_, swapIndex_->tenor(), Date(), 0.0, swapIndex_);

        if (engine_ == nullptr) {

            engine_ = ext::make_shared<Gaussian1dSwaptionEngine>(

                model_, 64, 7.0, true, false, swapIndex_->discountingTermStructure());

        }

    }

Unexecuted instantiation: QuantLib::Gaussian1dSmileSection::Gaussian1dSmileSection(QuantLib::Date const&, boost::shared_ptr<QuantLib::SwapIndex>, boost::shared_ptr<QuantLib::Gaussian1dModel> const&, QuantLib::DayCounter const&, boost::shared_ptr<QuantLib::Gaussian1dSwaptionEngine> const&)

Unexecuted instantiation: QuantLib::Gaussian1dSmileSection::Gaussian1dSmileSection(QuantLib::Date const&, boost::shared_ptr<QuantLib::SwapIndex>, boost::shared_ptr<QuantLib::Gaussian1dModel> const&, QuantLib::DayCounter const&, boost::shared_ptr<QuantLib::Gaussian1dSwaptionEngine> const&)

    Gaussian1dSmileSection::Gaussian1dSmileSection(

        const Date& fixingDate,

        ext::shared_ptr<IborIndex> iborIndex,

        const ext::shared_ptr<Gaussian1dModel>& model,

        const DayCounter& dc,

        const ext::shared_ptr<Gaussian1dCapFloorEngine>& capEngine)

    : SmileSection(fixingDate, dc, model->termStructure()->referenceDate()),

      fixingDate_(fixingDate), iborIndex_(std::move(iborIndex)), model_(model), engine_(capEngine) {

        atm_ = model_->forwardRate(fixingDate_, Date(), 0.0, iborIndex_);

        CapFloor c =

            MakeCapFloor(CapFloor::Cap, iborIndex_->tenor(), iborIndex_, Null<Real>(), 0 * Days)

                .withEffectiveDate(fixingDate_, false);

        annuity_ = iborIndex_->dayCounter().yearFraction(c.startDate(), c.maturityDate()) *

                   model_->zerobond(c.maturityDate());

        if (engine_ == nullptr) {

            engine_ = ext::make_shared<Gaussian1dCapFloorEngine>(

                model_, 64, 7.0, true,

                false); // use model curve as discounting curve

        }

    }

Unexecuted instantiation: QuantLib::Gaussian1dSmileSection::Gaussian1dSmileSection(QuantLib::Date const&, boost::shared_ptr<QuantLib::IborIndex>, boost::shared_ptr<QuantLib::Gaussian1dModel> const&, QuantLib::DayCounter const&, boost::shared_ptr<QuantLib::Gaussian1dCapFloorEngine> const&)

Unexecuted instantiation: QuantLib::Gaussian1dSmileSection::Gaussian1dSmileSection(QuantLib::Date const&, boost::shared_ptr<QuantLib::IborIndex>, boost::shared_ptr<QuantLib::Gaussian1dModel> const&, QuantLib::DayCounter const&, boost::shared_ptr<QuantLib::Gaussian1dCapFloorEngine> const&)

Real Gaussian1dSmileSection::atmLevel() const { return atm_; }

Real Gaussian1dSmileSection::optionPrice(Rate strike, Option::Type type,

                                         Real discount) const {

    if (swapIndex_ != nullptr) {

        Swaption s = MakeSwaption(swapIndex_, fixingDate_, strike)

                         .withUnderlyingType(type == Option::Call

                                                 ? Swap::Payer

                                                 : Swap::Receiver)

                         .withPricingEngine(engine_);

        Real tmp = s.NPV();

        return tmp / annuity_ * discount;

    } else {

        CapFloor c =

            MakeCapFloor(type == Option::Call ? CapFloor::Cap : CapFloor::Floor,

                         iborIndex_->tenor(), iborIndex_, strike, 0 * Days)

                .withEffectiveDate(fixingDate_, false)

                .withPricingEngine(engine_);

        Real tmp = c.NPV();

        return tmp / annuity_ * discount;

    }

}

Real Gaussian1dSmileSection::volatilityImpl(Rate strike) const {

    Real vol = 0.0;

    try {

        Option::Type type = strike >= atm_ ? Option::Call : Option::Put;

        Real o = optionPrice(strike, type);

        vol = blackFormulaImpliedStdDev(type, strike, atm_, o) /

              sqrt(exerciseTime());

    } catch (...) {

    }

    return vol;

}

}