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

/*

 Copyright (C) 2011 Klaus Spanderen

 Copyright (C) 2014 Ralph Schreyer

 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 <algorithm>

#include <ql/math/interpolations/bilinearinterpolation.hpp>

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

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

#include <utility>

namespace QuantLib {

    FdmSimpleStorageCondition::FdmSimpleStorageCondition(

        std::vector<Time> exerciseTimes,

        ext::shared_ptr<FdmMesher> mesher,

        ext::shared_ptr<FdmInnerValueCalculator> calculator,

        Real changeRate)

    : exerciseTimes_(std::move(exerciseTimes)), mesher_(std::move(mesher)),

      calculator_(std::move(calculator)), changeRate_(changeRate) {

        x_.reserve(mesher_->layout()->dim()[0]);

        y_.reserve(mesher_->layout()->dim()[1]);

        for (const auto& iter : *mesher_->layout()) {

            if (iter.coordinates()[1] == 0U) {

                x_.push_back(mesher_->location(iter, 0));

            }

            if (iter.coordinates()[0] == 0U) {

                y_.push_back(mesher_->location(iter, 1));

            }

        }

    }

    void FdmSimpleStorageCondition::applyTo(Array& a, Time t) const {

        const auto iter

            = std::find(exerciseTimes_.begin(), exerciseTimes_.end(), t);

        if (iter != exerciseTimes_.end()) {

            Array retVal(a.size());

            Matrix m(y_.size(), x_.size());

            std::copy(a.begin(), a.end(), m.begin());

            BilinearInterpolation interpl(x_.begin(), x_.end(),

                                          y_.begin(), y_.end(), m);

            QL_REQUIRE(mesher_->layout()->size() == a.size(),

                       "inconsistent array dimensions");

            for (const auto& iter : *mesher_->layout()) {

                const std::vector<Size>& coor = iter.coordinates();

                const Real x = x_[coor[0]];

                const Real y = y_[coor[1]];

                const Real price = calculator_->innerValue(iter, t);

                const Real maxWithDraw = std::min(y-y_.front(), changeRate_);

                const Real sellPrice   = interpl(x, y-maxWithDraw);

                const Real maxInject = std::min(y_.back()-y, changeRate_);

                const Real buyPrice  = interpl(x, y+maxInject);

                // bang-bang-wait strategy

                Real currentValue = std::max({

                        a[iter.index()],

                        Real(buyPrice - price*maxInject),

                        Real(sellPrice + price*maxWithDraw)

                    });

                // check if intermediate grid points give a better value

                auto yIter = std::upper_bound(y_.begin(), y_.end(), y - maxWithDraw);

                while (yIter != y_.end() && *yIter < y + maxInject) {

                    if (*yIter != y) {

                        const Real change = *yIter - y;

                        const Real storagePrice(interpl(x, *yIter));

                        currentValue = std::max(currentValue,

                            storagePrice - change*price);

                    }

                    ++yIter;

                }

                retVal[iter.index()] = currentValue;

            }

            a = retVal;

        }

    }

}