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

/*

 Copyright (C) 2008 Roland Lichters

 Copyright (C) 2021 Lew Wei Hao

 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/pricingengines/bond/riskybondengine.hpp>

#include <ql/cashflows/cashflows.hpp>

#include <ql/cashflows/coupon.hpp>

#include <utility>

namespace QuantLib {

    RiskyBondEngine::RiskyBondEngine(Handle<DefaultProbabilityTermStructure> defaultTS,

                                     Real recoveryRate,

                                     Handle<YieldTermStructure> yieldTS)

    : defaultTS_(std::move(defaultTS)), 

      recoveryRate_(recoveryRate), 

      yieldTS_(std::move(yieldTS)) {

        registerWith(defaultTS_);

        registerWith(yieldTS_);

    }

    void RiskyBondEngine::calculate() const {

        Date npvDate = yieldTS()->referenceDate();

        Date settlementDate = arguments_.settlementDate;

        Date startDate = CashFlows::startDate(arguments_.cashflows);

        Date d1 = std::max(npvDate, startDate);

        Real NPV = 0.0;

        Real settlementValue = 0.0;

        for (auto& cf : arguments_.cashflows) {

            Date d2 = cf->date();

            if (d2 > npvDate) {

                Real weightedCouponAmount = cf->amount() * defaultTS()->survivalProbability(d2);

                NPV += weightedCouponAmount * yieldTS()->discount(d2);

                if (d2 > settlementDate)

                    settlementValue += weightedCouponAmount * yieldTS()->discount(d2);

                auto coupon = coupon_cast(cf);

                if (coupon != nullptr) {

                    Date defaultDate = d1 + (d2 - d1) / 2;

                    Real weightedRecovery = coupon->nominal() * recoveryRate() *

                                    (defaultTS()->survivalProbability(d1) -

                                     defaultTS()->survivalProbability(d2)); 

                    NPV += weightedRecovery * yieldTS()->discount(defaultDate);

                    if (d2 > settlementDate)

                        settlementValue += weightedRecovery * yieldTS()->discount(defaultDate);

                    d1 = d2;

                }

            }

        }

        results_.value = NPV;

        results_.settlementValue = settlementValue / yieldTS()->discount(settlementDate);

        results_.valuationDate = npvDate;

    }

}