/* -*- 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.

*/

#include <ql/instruments/makeois.hpp>

#include <ql/instruments/simplifynotificationgraph.hpp>

#include <ql/cashflows/couponpricer.hpp>

#include <ql/cashflows/overnightindexedcoupon.hpp>

#include <ql/pricingengines/swap/discountingswapengine.hpp>

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

#include <ql/utilities/null_deleter.hpp>

#include <utility>

namespace QuantLib {

    OISRateHelper::OISRateHelper(

        Natural settlementDays,

        const Period& tenor, // swap maturity

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

        const ext::shared_ptr<OvernightIndex>& overnightIndex,

        Handle<YieldTermStructure> discount,

        bool telescopicValueDates,

        Integer paymentLag,

        BusinessDayConvention paymentConvention,

        Frequency paymentFrequency,

        Calendar paymentCalendar,

        const Period& forwardStart,

        const std::variant<Spread, Handle<Quote>>& overnightSpread,

        Pillar::Choice pillar,

        Date customPillarDate,

        RateAveraging::Type averagingMethod,

        std::optional<bool> endOfMonth,

        std::optional<Frequency> fixedPaymentFrequency,

        Calendar fixedCalendar,

        Natural lookbackDays,

        Natural lockoutDays,

        bool applyObservationShift,

        ext::shared_ptr<FloatingRateCouponPricer> pricer,

        DateGeneration::Rule rule,

        Calendar overnightCalendar,

        BusinessDayConvention convention,

        DayCounter fixedDayCount)

    : RelativeDateRateHelper(fixedRate), settlementDays_(settlementDays), tenor_(tenor),

      discountHandle_(std::move(discount)), telescopicValueDates_(telescopicValueDates),

      paymentLag_(paymentLag), paymentConvention_(paymentConvention),

      paymentFrequency_(paymentFrequency), paymentCalendar_(std::move(paymentCalendar)),

      forwardStart_(forwardStart), overnightSpread_(handleFromVariant(overnightSpread)), pillarChoice_(pillar),

      averagingMethod_(averagingMethod), endOfMonth_(endOfMonth),

      fixedPaymentFrequency_(fixedPaymentFrequency), fixedCalendar_(std::move(fixedCalendar)),

      overnightCalendar_(std::move(overnightCalendar)), convention_(convention),

      fixedDayCount_(std::move(fixedDayCount)), lookbackDays_(lookbackDays), lockoutDays_(lockoutDays),

      applyObservationShift_(applyObservationShift), pricer_(std::move(pricer)), rule_(rule) {

        initialize(overnightIndex, customPillarDate);

    }

    OISRateHelper::OISRateHelper(

        const Date& startDate,

        const Date& endDate,

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

        const ext::shared_ptr<OvernightIndex>& overnightIndex,

        Handle<YieldTermStructure> discount,

        bool telescopicValueDates,

        Integer paymentLag,

        BusinessDayConvention paymentConvention,

        Frequency paymentFrequency,

        Calendar paymentCalendar,

        const std::variant<Spread, Handle<Quote>>& overnightSpread,

        Pillar::Choice pillar,

        Date customPillarDate,

        RateAveraging::Type averagingMethod,

        std::optional<bool> endOfMonth,

        std::optional<Frequency> fixedPaymentFrequency,

        Calendar fixedCalendar,

        Natural lookbackDays,

        Natural lockoutDays,

        bool applyObservationShift,

        ext::shared_ptr<FloatingRateCouponPricer> pricer,

        DateGeneration::Rule rule,

        Calendar overnightCalendar,

        BusinessDayConvention convention,

        DayCounter fixedDayCount)

    : RelativeDateRateHelper(fixedRate, false), startDate_(startDate), endDate_(endDate),

      discountHandle_(std::move(discount)), telescopicValueDates_(telescopicValueDates),

      paymentLag_(paymentLag), paymentConvention_(paymentConvention),

      paymentFrequency_(paymentFrequency), paymentCalendar_(std::move(paymentCalendar)),

      overnightSpread_(handleFromVariant(overnightSpread)), pillarChoice_(pillar),

      averagingMethod_(averagingMethod), endOfMonth_(endOfMonth),

      fixedPaymentFrequency_(fixedPaymentFrequency), fixedCalendar_(std::move(fixedCalendar)),

      overnightCalendar_(std::move(overnightCalendar)), convention_(convention),

      fixedDayCount_(std::move(fixedDayCount)), lookbackDays_(lookbackDays), lockoutDays_(lockoutDays),

      applyObservationShift_(applyObservationShift), pricer_(std::move(pricer)), rule_(rule) {

        initialize(overnightIndex, customPillarDate);

    }

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

                                   Date customPillarDate) {

        overnightIndex_ =

            ext::dynamic_pointer_cast<OvernightIndex>(overnightIndex->clone(termStructureHandle_));

        // We want to be notified of changes of fixings, but we don't

        // want notifications from termStructureHandle_ (they would

        // interfere with bootstrapping.)

        overnightIndex_->unregisterWith(termStructureHandle_);

        registerWith(overnightIndex_);

        registerWith(discountHandle_);

        registerWith(overnightSpread_);

        pillarDate_ = customPillarDate;

        OISRateHelper::initializeDates();

    }

    void OISRateHelper::initializeDates() {

        // 1. do not pass the spread here, as it might be a Quote

        //    i.e. it can dynamically change

        // 2. input discount curve Handle might be empty now but it could

        //    be assigned a curve later; use a RelinkableHandle here

        auto tmp = MakeOIS(tenor_, overnightIndex_)

            .withFixedRate(0.0)

            .withForwardStart(forwardStart_)

            .withDiscountingTermStructure(discountRelinkableHandle_)

            .withEffectiveDate(startDate_)

            .withTerminationDate(endDate_)

            .withTelescopicValueDates(telescopicValueDates_)

            .withPaymentLag(paymentLag_)

            .withPaymentAdjustment(paymentConvention_)

            .withPaymentFrequency(paymentFrequency_)

            .withPaymentCalendar(paymentCalendar_)

            .withAveragingMethod(averagingMethod_)

            .withLookbackDays(lookbackDays_)

            .withLockoutDays(lockoutDays_)

            .withRule(rule_)

            .withConvention(convention_)

            .withTerminationDateConvention(convention_)

            .withObservationShift(applyObservationShift_);

        if (endOfMonth_) {

            tmp.withEndOfMonth(*endOfMonth_);

        }

        if (fixedPaymentFrequency_) {

            tmp.withFixedLegPaymentFrequency(*fixedPaymentFrequency_);

        }

        if (!fixedCalendar_.empty()) {

            tmp.withFixedLegCalendar(fixedCalendar_);

        }

        if (!fixedDayCount_.empty()) {

            tmp.withFixedLegDayCount(fixedDayCount_);

        }

        if (!overnightCalendar_.empty()) {

            tmp.withOvernightLegCalendar(overnightCalendar_);

        }

        // only set settlementDays when no explicit start date, to avoid conflict

        if (startDate_ == Date() && settlementDays_ != Null<Natural>())

            tmp.withSettlementDays(settlementDays_);

        swap_ = tmp;

        if (pricer_)

            setCouponPricer(swap_->overnightLeg(), pricer_);

        simplifyNotificationGraph(*swap_, true);

        earliestDate_ = swap_->startDate();

        maturityDate_ = swap_->maturityDate();

        Date lastPaymentDate = std::max(swap_->overnightLeg().back()->date(),

                                        swap_->fixedLeg().back()->date());

        Date lastFixingDate =

            ext::dynamic_pointer_cast<OvernightIndexedCoupon>(swap_->overnightLeg().back())->fixingDate();

        Date fixingEndDate =

            overnightIndex_->maturityDate(overnightIndex_->valueDate(lastFixingDate));

        latestRelevantDate_ = latestDate_ = std::max({maturityDate_, lastPaymentDate, fixingEndDate});

        switch (pillarChoice_) {

          case Pillar::MaturityDate:

            pillarDate_ = maturityDate_;

            break;

          case Pillar::LastRelevantDate:

            pillarDate_ = latestRelevantDate_;

            break;

          case Pillar::CustomDate:

            // pillarDate_ already assigned at construction time

            QL_REQUIRE(pillarDate_ >= earliestDate_,

                       "pillar date (" << pillarDate_ << ") must be later "

                       "than or equal to the instrument's earliest date (" <<

                       earliestDate_ << ")");

            QL_REQUIRE(pillarDate_ <= latestRelevantDate_,

                       "pillar date (" << pillarDate_ << ") must be before "

                       "or equal to the instrument's latest relevant date (" <<

                       latestRelevantDate_ << ")");

            break;

          default:

            QL_FAIL("unknown Pillar::Choice(" << Integer(pillarChoice_) << ")");

        }

    }

    void OISRateHelper::setTermStructure(YieldTermStructure* t) {

        // do not set the relinkable handle as an observer -

        // force recalculation when needed

        bool observer = false;

        ext::shared_ptr<YieldTermStructure> temp(t, null_deleter());

        termStructureHandle_.linkTo(temp, observer);

        if (discountHandle_.empty())

            discountRelinkableHandle_.linkTo(temp, observer);

        else

            discountRelinkableHandle_.linkTo(*discountHandle_, observer);

        RelativeDateRateHelper::setTermStructure(t);

    }

    Real OISRateHelper::impliedQuote() const {

        QL_REQUIRE(termStructure_ != nullptr, "term structure not set");

        // we didn't register as observers - force calculation

        swap_->deepUpdate();

        // weak implementation... to be improved

        static const Spread basisPoint = 1.0e-4;

        Real floatingLegNPV = swap_->overnightLegNPV();

        Spread spread = overnightSpread_.empty() ? 0.0 : overnightSpread_->value();

        Real spreadNPV = swap_->overnightLegBPS()/basisPoint*spread;

        Real totNPV = - (floatingLegNPV+spreadNPV);

        Real result = totNPV/(swap_->fixedLegBPS()/basisPoint);

        return result;

    }

    void OISRateHelper::accept(AcyclicVisitor& v) {

        auto* v1 = dynamic_cast<Visitor<OISRateHelper>*>(&v);

        if (v1 != nullptr)

            v1->visit(*this);

        else

            RateHelper::accept(v);

    }

}