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

/*

 Copyright (C) 2008 Andreas Gaida

 Copyright (C) 2008, 2009 Ralph Schreyer

 Copyright (C) 2008, 2009 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.

*/

/*! \file fdminnervaluecalculator.hpp

    \brief layer of abstraction to calculate the inner value

*/

#ifndef quantlib_fdm_inner_value_calculator_hpp

#define quantlib_fdm_inner_value_calculator_hpp

#include <ql/types.hpp>

#include <ql/shared_ptr.hpp>

#include <functional>

#include <vector>

namespace QuantLib {

    class Payoff;

    class BasketPayoff;

    class FdmMesher;

    class FdmLinearOpIterator;

    class FdmInnerValueCalculator {

      public:

        virtual ~FdmInnerValueCalculator() = default;

        virtual Real innerValue(const FdmLinearOpIterator& iter, Time t) = 0;

        virtual Real avgInnerValue(const FdmLinearOpIterator& iter, Time t) = 0;

    };

    class FdmCellAveragingInnerValue : public FdmInnerValueCalculator {

      public:

        FdmCellAveragingInnerValue(ext::shared_ptr<Payoff> payoff,

                                   ext::shared_ptr<FdmMesher> mesher,

                                   Size direction,

                                   std::function<Real(Real)> gridMapping = [](Real x){ return x; });

        Real innerValue(const FdmLinearOpIterator& iter, Time) override;

        Real avgInnerValue(const FdmLinearOpIterator& iter, Time t) override;

      private:

        Real avgInnerValueCalc(const FdmLinearOpIterator& iter, Time t);

        const ext::shared_ptr<Payoff> payoff_;

        const ext::shared_ptr<FdmMesher> mesher_;

        const Size direction_;

        const std::function<Real(Real)> gridMapping_;

        std::vector<Real> avgInnerValues_;

    };

    class FdmLogInnerValue : public FdmCellAveragingInnerValue {

      public:

        FdmLogInnerValue(const ext::shared_ptr<Payoff>& payoff,

                         const ext::shared_ptr<FdmMesher>& mesher,

                         Size direction);

    };

    class FdmLogBasketInnerValue : public FdmInnerValueCalculator {

      public:

        FdmLogBasketInnerValue(ext::shared_ptr<BasketPayoff> payoff,

                               ext::shared_ptr<FdmMesher> mesher);

        Real innerValue(const FdmLinearOpIterator& iter, Time) override;

        Real avgInnerValue(const FdmLinearOpIterator& iter, Time) override;

      private:

        const ext::shared_ptr<BasketPayoff> payoff_;

        const ext::shared_ptr<FdmMesher> mesher_;

    };

    class FdmZeroInnerValue : public FdmInnerValueCalculator {

      public:

        Real innerValue(const FdmLinearOpIterator&, Time) override { return 0.0; }

        Real avgInnerValue(const FdmLinearOpIterator&, Time) override { return 0.0; }

    };

}

#endif