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

/*

 Copyright (C) 2001, 2002, 2003 Sadruddin Rejeb

 Copyright (C) 2013 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 jamshidianswaptionengine.hpp

    \brief Swaption engine using Jamshidian's decomposition

    Concerning the start delay cf. http://ssrn.com/abstract=2246054

*/

#ifndef quantlib_pricers_jamshidian_swaption_hpp

#define quantlib_pricers_jamshidian_swaption_hpp

#include <ql/instruments/swaption.hpp>

#include <ql/models/shortrate/onefactormodel.hpp>

#include <ql/pricingengines/genericmodelengine.hpp>

#include <utility>

namespace QuantLib {

    //! Jamshidian swaption engine

    /*! \ingroup swaptionengines

        \warning The engine might assume that the exercise date equals the

                 start date of the passed swap unless the model provides

                 an implementation of the discountBondOption method with

                 start delay 

    */

    class JamshidianSwaptionEngine

        : public GenericModelEngine<OneFactorAffineModel,

                                    Swaption::arguments,

                                    Swaption::results > {

      public:

        /*! \note the term structure is only needed when the short-rate

                  model cannot provide one itself.

        */

        explicit JamshidianSwaptionEngine(

            const ext::shared_ptr<OneFactorAffineModel>& model,

            Handle<YieldTermStructure> termStructure = Handle<YieldTermStructure>())

        : GenericModelEngine<OneFactorAffineModel, Swaption::arguments, Swaption::results>(model),

          termStructure_(std::move(termStructure)) {

            registerWith(termStructure_);

        }

        void calculate() const override;

      private:

        Handle<YieldTermStructure> termStructure_;

        class rStarFinder;

    };

}

#endif