/*
 * (c) Copyright Christian P. Fries, Germany. All rights reserved. Contact: email@christian-fries.de.
 *
 * Created on 15.02.2004
 */
package net.finmath.montecarlo.interestrate.products;

import net.finmath.exception.CalculationException;
import net.finmath.functions.AnalyticFormulas;
import net.finmath.marketdata.model.curves.ForwardCurveInterface;
import net.finmath.marketdata.products.Swap;
import net.finmath.marketdata.products.SwapAnnuity;
import net.finmath.montecarlo.interestrate.LIBORModelMonteCarloSimulationInterface;
import net.finmath.stochastic.RandomVariableInterface;
import net.finmath.time.TimeDiscretization;
import net.finmath.time.TimeDiscretizationInterface;

/**
 * Implements the valuation of a simplified (idealized) swaption under a
 * LIBORModelMonteCarloSimulationInterface
 * 
 * @author Christian Fries
 * @version 1.1
 */
public class SwaptionSimple extends AbstractLIBORMonteCarloProduct {

    public enum ValueUnit {
        VALUE,
        INTEGRATEDVARIANCE,
        VOLATILITY
    }

    private final TimeDiscretizationInterface	tenor;
    private final double						swaprate;
    private final Swaption					swaption;
    private final ValueUnit					valueUnit;

    /**
     * Note: It is implicitly assumed that swapTenor[0] is the exercise date (no forward starting).
     * @param swaprate The strike swaprate of the swaption.
     * @param swapTenor The swap tenor in doubles.
     */
    public SwaptionSimple(double swaprate, TimeDiscretizationInterface swapTenor) {
        this(swaprate, swapTenor.getAsDoubleArray(), ValueUnit.VALUE);
    }

    /**
     * Note: It is implicitly assumed that swapTenor[0] is the exercise date (no forward starting).
     * @param swaprate The strike swaprate of the swaption.
     * @param swapTenor The swap tenor in doubles.
     * @param valueUnit See getValue(AbstractLIBORMarketModel model)
     */
    public SwaptionSimple(double swaprate, double[] swapTenor, ValueUnit valueUnit) {
        super();
        this.tenor = new TimeDiscretization(swapTenor);
        this.swaprate = swaprate;
        this.swaption	= new Swaption(swapTenor[0], tenor, swaprate);
        this.valueUnit	= valueUnit;
    }
    
    /**
     * This method returns the value random variable of the product within the specified model, evaluated at a given evalutationTime.
     * Note: For a lattice this is often the value conditional to evalutationTime, for a Monte-Carlo simulation this is the (sum of) value discounted to evaluation time.
     * Cashflows prior evaluationTime are not considered.
     * 
     * @param evaluationTime The time on which this products value should be observed.
     * @param model The model used to price the product.
     * @return The random variable representing the value of the product discounted to evaluation time
     * @throws net.finmath.exception.CalculationException Thrown if the valuation fails, specific cause may be available via the cause() method.
     */
    @Override
    public RandomVariableInterface getValue(double evaluationTime, LIBORModelMonteCarloSimulationInterface model) throws CalculationException {
    	RandomVariableInterface value = swaption.getValue(evaluationTime, model);

    	if(valueUnit == ValueUnit.VALUE) return value;

    	ForwardCurveInterface forwardCurve	= model.getModel().getForwardRateCurve();
    	ForwardCurveInterface discountCurve	= forwardCurve;

    	double parSwaprate = Swap.getForwardSwapRate(tenor, tenor, forwardCurve);
    	double optionMaturity = tenor.getTime(0);
    	double strikeSwaprate = swaprate;
    	double swapAnnuity = SwapAnnuity.getSwapAnnuity(tenor, discountCurve);
    	
    	double volatility = AnalyticFormulas.blackScholesOptionImpliedVolatility(parSwaprate, optionMaturity, strikeSwaprate, swapAnnuity, value.getAverage());
    	
    	if(valueUnit == ValueUnit.VOLATILITY) {
    		return model.getRandomVariableForConstant(volatility);
    	} else if(valueUnit == ValueUnit.INTEGRATEDVARIANCE) {
    		return model.getRandomVariableForConstant(volatility * volatility * optionMaturity);
    	}
    	
    	throw new UnsupportedOperationException("Provided valueUnit not implemented.");
    }

    /* (non-Javadoc)
	 * @see java.lang.Object#toString()
	 */
	@Override
	public String toString() {
		return "SwaptionSimple [tenor=" + tenor + ", swaprate=" + swaprate
				+ ", valueUnit=" + valueUnit + "]";
	}
}