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

/*

 Copyright (C) 2009, 2012 Roland Lichters

 Copyright (C) 2009, 2012 Ferdinando Ametrano

 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 oisratehelper.hpp

    \brief Overnight Indexed Swap (aka OIS) rate helpers

*/

#ifndef quantlib_oisratehelper_hpp

#define quantlib_oisratehelper_hpp

#include <ql/termstructures/yield/ratehelpers.hpp>

#include <ql/instruments/overnightindexedswap.hpp>

#include <ql/optional.hpp>

#include <variant>

namespace QuantLib {

    class FloatingRateCouponPricer;

    //! Rate helper for bootstrapping over Overnight Indexed Swap rates

    class OISRateHelper : public RelativeDateRateHelper {

      public:

        OISRateHelper(

          Natural settlementDays,

          const Period& tenor, // swap maturity

          const std::variant<Rate, Handle<Quote>>& fixedRate,

          const ext::shared_ptr<OvernightIndex>& overnightIndex,

          // exogenous discounting curve

          Handle<YieldTermStructure> discountingCurve = {},

          bool telescopicValueDates = false,

          Integer paymentLag = 0,

          BusinessDayConvention paymentConvention = Following,

          Frequency paymentFrequency = Annual,

          Calendar paymentCalendar = Calendar(),

          const Period& forwardStart = 0 * Days,

          const std::variant<Spread, Handle<Quote>>& overnightSpread = Spread(0.0),

          Pillar::Choice pillar = Pillar::LastRelevantDate,

          Date customPillarDate = Date(),

          RateAveraging::Type averagingMethod = RateAveraging::Compound,

          std::optional<bool> endOfMonth = std::nullopt,

          std::optional<Frequency> fixedPaymentFrequency = std::nullopt,

          Calendar fixedCalendar = Calendar(),

          Natural lookbackDays = Null<Natural>(),

          Natural lockoutDays = 0,

          bool applyObservationShift = false,

          ext::shared_ptr<FloatingRateCouponPricer> pricer = {},

          DateGeneration::Rule rule = DateGeneration::Backward,

          Calendar overnightCalendar = Calendar(),

          BusinessDayConvention convention = ModifiedFollowing,

          DayCounter fixedDayCount = DayCounter());

        OISRateHelper(

          const Date& startDate,

          const Date& endDate,

          const std::variant<Rate, Handle<Quote>>& fixedRate,

          const ext::shared_ptr<OvernightIndex>& overnightIndex,

          // exogenous discounting curve

          Handle<YieldTermStructure> discountingCurve = {},

          bool telescopicValueDates = false,

          Integer paymentLag = 0,

          BusinessDayConvention paymentConvention = Following,

          Frequency paymentFrequency = Annual,

          Calendar paymentCalendar = Calendar(),

          const std::variant<Spread, Handle<Quote>>& overnightSpread = Spread(0.0),

          Pillar::Choice pillar = Pillar::LastRelevantDate,

          Date customPillarDate = Date(),

          RateAveraging::Type averagingMethod = RateAveraging::Compound,

          std::optional<bool> endOfMonth = std::nullopt,

          std::optional<Frequency> fixedPaymentFrequency = std::nullopt,

          Calendar fixedCalendar = Calendar(),

          Natural lookbackDays = Null<Natural>(),

          Natural lockoutDays = 0,

          bool applyObservationShift = false,

          ext::shared_ptr<FloatingRateCouponPricer> pricer = {},

          DateGeneration::Rule rule = DateGeneration::Backward,

          Calendar overnightCalendar = Calendar(),

          BusinessDayConvention convention = ModifiedFollowing,

          DayCounter fixedDayCount = DayCounter());

        //! \name RateHelper interface

        //@{

        Real impliedQuote() const override;

        void setTermStructure(YieldTermStructure*) override;

        //@}

        //! \name inspectors

        //@{

        // NOLINTNEXTLINE(cppcoreguidelines-noexcept-swap,performance-noexcept-swap)

        ext::shared_ptr<OvernightIndexedSwap> swap() const { return swap_; }

        //@}

        //! \name Visitability

        //@{

        void accept(AcyclicVisitor&) override;

        //@}

      protected:

        void initialize(const ext::shared_ptr<OvernightIndex>& overnightIndex,

                        Date customPillarDate);

        void initializeDates() override;

        Natural settlementDays_;

        Period tenor_;

        Date startDate_, endDate_;

        ext::shared_ptr<OvernightIndex> overnightIndex_;

        ext::shared_ptr<OvernightIndexedSwap> swap_;

        RelinkableHandle<YieldTermStructure> termStructureHandle_;

        Handle<YieldTermStructure> discountHandle_;

        bool telescopicValueDates_;

        RelinkableHandle<YieldTermStructure> discountRelinkableHandle_;

        Integer paymentLag_;

        BusinessDayConvention paymentConvention_;

        Frequency paymentFrequency_;

        Calendar paymentCalendar_;

        Period forwardStart_;

        Handle<Quote> overnightSpread_;

        Pillar::Choice pillarChoice_;

        RateAveraging::Type averagingMethod_;

        std::optional<bool> endOfMonth_;

        std::optional<Frequency> fixedPaymentFrequency_;

        Calendar fixedCalendar_;

        Calendar overnightCalendar_;

        BusinessDayConvention convention_;

        DayCounter fixedDayCount_;

        Natural lookbackDays_;

        Natural lockoutDays_;

        bool applyObservationShift_;

        ext::shared_ptr<FloatingRateCouponPricer> pricer_;

        DateGeneration::Rule rule_ = DateGeneration::Backward;

    };

}

#endif