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

/*

 Copyright (C) 2011 Klaus Spanderen

 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/exercise.hpp>

#include <ql/experimental/finitedifferences/fdklugeextouspreadengine.hpp>

#include <ql/experimental/finitedifferences/fdmklugeextousolver.hpp>

#include <ql/experimental/finitedifferences/fdmspreadpayoffinnervalue.hpp>

#include <ql/experimental/processes/extendedornsteinuhlenbeckprocess.hpp>

#include <ql/experimental/processes/extouwithjumpsprocess.hpp>

#include <ql/experimental/processes/klugeextouprocess.hpp>

#include <ql/methods/finitedifferences/meshers/exponentialjump1dmesher.hpp>

#include <ql/methods/finitedifferences/meshers/fdmmeshercomposite.hpp>

#include <ql/methods/finitedifferences/meshers/fdmsimpleprocess1dmesher.hpp>

#include <ql/methods/finitedifferences/operators/fdmlinearoplayout.hpp>

#include <ql/methods/finitedifferences/stepconditions/fdmamericanstepcondition.hpp>

#include <ql/methods/finitedifferences/stepconditions/fdmbermudanstepcondition.hpp>

#include <ql/methods/finitedifferences/stepconditions/fdmstepconditioncomposite.hpp>

#include <ql/termstructures/yieldtermstructure.hpp>

#include <utility>

namespace QuantLib {

    FdKlugeExtOUSpreadEngine::FdKlugeExtOUSpreadEngine(

        ext::shared_ptr<KlugeExtOUProcess> klugeOUProcess,

        ext::shared_ptr<YieldTermStructure> rTS,

        Size tGrid,

        Size xGrid,

        Size yGrid,

        Size uGrid,

        ext::shared_ptr<GasShape> gasShape,

        ext::shared_ptr<PowerShape> powerShape,

        const FdmSchemeDesc& schemeDesc)

    : klugeOUProcess_(std::move(klugeOUProcess)), rTS_(std::move(rTS)), tGrid_(tGrid),

      xGrid_(xGrid), yGrid_(yGrid), uGrid_(uGrid), gasShape_(std::move(gasShape)),

      powerShape_(std::move(powerShape)), schemeDesc_(schemeDesc) {}

    void FdKlugeExtOUSpreadEngine::calculate() const {

        // 1. Mesher

        const Time maturity

            = rTS_->dayCounter().yearFraction(rTS_->referenceDate(),

                                              arguments_.exercise->lastDate());

        const ext::shared_ptr<ExtOUWithJumpsProcess> klugeProcess

                                          = klugeOUProcess_->getKlugeProcess();

        const ext::shared_ptr<StochasticProcess1D> ouProcess

                        = klugeProcess->getExtendedOrnsteinUhlenbeckProcess();

        const ext::shared_ptr<Fdm1dMesher> xMesher(

            new FdmSimpleProcess1dMesher(xGrid_, ouProcess,maturity));

        const ext::shared_ptr<Fdm1dMesher> yMesher(

            new ExponentialJump1dMesher(yGrid_,

                                        klugeProcess->beta(),

                                        klugeProcess->jumpIntensity(),

                                        klugeProcess->eta()));

        const ext::shared_ptr<Fdm1dMesher> uMesher(

            new FdmSimpleProcess1dMesher(uGrid_,

                                         klugeOUProcess_->getExtOUProcess(),

                                         maturity));

        const ext::shared_ptr<FdmMesher> mesher(

            new FdmMesherComposite(xMesher, yMesher, uMesher));

        // 2. Calculator

        ext::shared_ptr<BasketPayoff> basketPayoff =

            ext::dynamic_pointer_cast<BasketPayoff>(arguments_.payoff);

        QL_REQUIRE(basketPayoff," basket payoff expected");

        const ext::shared_ptr<Payoff> zeroStrikeCall(

            new PlainVanillaPayoff(Option::Call, 0.0));

        const ext::shared_ptr<FdmInnerValueCalculator> gasPrice(

            new FdmExpExtOUInnerValueCalculator(zeroStrikeCall,

                                                mesher, gasShape_, 2));

        const ext::shared_ptr<FdmInnerValueCalculator> powerPrice(

            new FdmExtOUJumpModelInnerValue(zeroStrikeCall,mesher,powerShape_));

        const ext::shared_ptr<FdmInnerValueCalculator> calculator(

            new FdmSpreadPayoffInnerValue(basketPayoff, powerPrice, gasPrice));

        // 3. Step conditions

        const ext::shared_ptr<FdmStepConditionComposite> conditions =

            FdmStepConditionComposite::vanillaComposite(

                                DividendSchedule(), arguments_.exercise,

                                mesher, calculator,

                                rTS_->referenceDate(), rTS_->dayCounter());

        // 4. Boundary conditions

        const FdmBoundaryConditionSet boundaries;

        // 5. set-up solver

        FdmSolverDesc solverDesc = { mesher, boundaries, conditions,

                                     calculator, maturity, tGrid_, 0 };

        const ext::shared_ptr<FdmKlugeExtOUSolver<3> > solver(

            new FdmKlugeExtOUSolver<3>(

                Handle<KlugeExtOUProcess>(klugeOUProcess_),

                rTS_, solverDesc, schemeDesc_));

        std::vector<Real> x(3);

        x[0] = klugeOUProcess_->initialValues()[0];

        x[1] = klugeOUProcess_->initialValues()[1];

        x[2] = klugeOUProcess_->initialValues()[2];

        results_.value = solver->valueAt(x);

    }

}