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

/*

 Copyright (C) 2013, 2018 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.

*/

/*! \file nonstandardswaption.hpp

    \brief nonstandard swap option class

*/

#ifndef quantlib_instruments_nonstandardswaption_hpp

#define quantlib_instruments_nonstandardswaption_hpp

#include <ql/option.hpp>

#include <ql/instruments/swaption.hpp>

#include <ql/instruments/nonstandardswap.hpp>

#include <ql/pricingengines/swaption/basketgeneratingengine.hpp>

#include <ql/termstructures/yieldtermstructure.hpp>

#include <ql/termstructures/volatility/swaption/swaptionvolstructure.hpp>

#include <ql/models/calibrationhelper.hpp>

namespace QuantLib {

    //! nonstandard swaption class

    /*! \ingroup instruments

    */

    class NonstandardSwaption : public Option {

      public:

        class arguments;

        class engine;

        NonstandardSwaption(const Swaption &fromSwaption);

        NonstandardSwaption(ext::shared_ptr<NonstandardSwap> swap,

                            const ext::shared_ptr<Exercise>& exercise,

                            Settlement::Type delivery = Settlement::Physical,

                            Settlement::Method settlementMethod = Settlement::PhysicalOTC);

        //! \name Instrument interface

        //@{

        bool isExpired() const override;

        void setupArguments(PricingEngine::arguments*) const override;

        //@}

        //! \name Inspectors

        //@{

        Settlement::Type settlementType() const { return settlementType_; }

        Settlement::Method settlementMethod() const {

            return settlementMethod_;

        }

        Swap::Type type() const { return swap_->type(); }

        const ext::shared_ptr<NonstandardSwap> &underlyingSwap() const {

            return swap_;

        }

        //@}

        std::vector<ext::shared_ptr<BlackCalibrationHelper>>

        calibrationBasket(const ext::shared_ptr<SwapIndex>& standardSwapBase,

                          const ext::shared_ptr<SwaptionVolatilityStructure>& swaptionVolatility,

                          BasketGeneratingEngine::CalibrationBasketType basketType =

                              BasketGeneratingEngine::MaturityStrikeByDeltaGamma) const;

      private:

        // arguments

        ext::shared_ptr<NonstandardSwap> swap_;

        Settlement::Type settlementType_;

        Settlement::Method settlementMethod_;

    };

    //! %Arguments for nonstandard swaption calculation

    class NonstandardSwaption::arguments : public NonstandardSwap::arguments,

                                           public Option::arguments {

      public:

        arguments() = default;

        ext::shared_ptr<NonstandardSwap> swap;

        Settlement::Type settlementType;

        Settlement::Method settlementMethod;

        void validate() const override;

    };

    //! base class for nonstandard swaption engines

    class NonstandardSwaption::engine

        : public GenericEngine<NonstandardSwaption::arguments,

                               NonstandardSwaption::results> {};

}

#endif