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

/*

 Copyright (C) 2010 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/methods/finitedifferences/solvers/fdm2dblackscholessolver.hpp>

#include <ql/methods/finitedifferences/utilities/fdminnervaluecalculator.hpp>

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

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

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

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

#include <ql/pricingengines/basket/fd2dblackscholesvanillaengine.hpp>

namespace QuantLib {

    Fd2dBlackScholesVanillaEngine::Fd2dBlackScholesVanillaEngine(

        const ext::shared_ptr<GeneralizedBlackScholesProcess>& p1,

        const ext::shared_ptr<GeneralizedBlackScholesProcess>& p2,

        Real correlation,

        Size xGrid, Size yGrid,

        Size tGrid, Size dampingSteps,

        const FdmSchemeDesc& schemeDesc,

        bool localVol,

        Real illegalLocalVolOverwrite)

    : p1_(p1),

      p2_(p2),

      correlation_(correlation),

      xGrid_(xGrid), yGrid_(yGrid), tGrid_(tGrid),

      dampingSteps_(dampingSteps),

      schemeDesc_(schemeDesc),

      localVol_(localVol),

      illegalLocalVolOverwrite_(illegalLocalVolOverwrite) {

        registerWith(p1);

        registerWith(p2);

    }

    void Fd2dBlackScholesVanillaEngine::calculate() const {

        // 1. Payoff

        const ext::shared_ptr<BasketPayoff> payoff =

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

        // 2. Mesher

        const Time maturity = p1_->time(arguments_.exercise->lastDate());

        const auto em1 = ext::make_shared<FdmBlackScholesMesher>(

                    xGrid_, p1_, maturity, p1_->x0(), 

                    Null<Real>(), Null<Real>(), 0.0001, 1.5, 

                    std::pair<Real, Real>(p1_->x0(), 0.1));

        const auto em2 = ext::make_shared<FdmBlackScholesMesher>(

                    yGrid_, p2_, maturity, p2_->x0(),

                    Null<Real>(), Null<Real>(), 0.0001, 1.5, 

                    std::pair<Real, Real>(p2_->x0(), 0.1));

        const auto mesher = ext::make_shared<FdmMesherComposite>(em1, em2);

        // 3. Calculator

        const auto calculator = ext::make_shared<FdmLogBasketInnerValue>(payoff, mesher);

        // 4. Step conditions

        const ext::shared_ptr<FdmStepConditionComposite> conditions =

            FdmStepConditionComposite::vanillaComposite(

                                    DividendSchedule(), arguments_.exercise, 

                                    mesher, calculator, 

                                    p1_->riskFreeRate()->referenceDate(),

                                    p1_->riskFreeRate()->dayCounter());

        // 5. Boundary conditions

        const FdmBoundaryConditionSet boundaries;

        // 6. Solver

        const FdmSolverDesc solverDesc = { mesher, boundaries,

                                           conditions, calculator,

                                           maturity, tGrid_, dampingSteps_ };

        auto solver = ext::make_shared<Fdm2dBlackScholesSolver>(

                             Handle<GeneralizedBlackScholesProcess>(p1_),

                             Handle<GeneralizedBlackScholesProcess>(p2_),

                             correlation_, solverDesc, schemeDesc_,

                             localVol_, illegalLocalVolOverwrite_);

        const Real x = p1_->x0();

        const Real y = p2_->x0();

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

        results_.delta = solver->deltaXat(x, y) + solver->deltaYat(x, y);

        results_.gamma = solver->gammaXat(x, y) + solver->gammaYat(x, y)

             + 2*solver->gammaXYat(x, y);

        results_.theta = solver->thetaAt(x, y);

    }

}