/*
 Copyright (C) 2005 Dominic Thuillier

 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
 <http://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.
*/

using System;
using QuantLib;

namespace BermudanSwaption
{
    class Run
    {
        private const int numRows = 5;
        private const int numCols = 5;

        private static int[] swapLenghts = { 1, 2, 3, 4, 5 };
        private static double[] swaptionVols = {
            0.1490, 0.1340, 0.1228, 0.1189, 0.1148,
            0.1290, 0.1201, 0.1146, 0.1108, 0.1040,
            0.1149, 0.1112, 0.1070, 0.1010, 0.0957,
            0.1047, 0.1021, 0.0980, 0.0951, 0.1270,
            0.1000, 0.0950, 0.0900, 0.1230, 0.1160 };

        private static void calibrateModel(
            ShortRateModel model,
            CalibrationHelperVector helpers,
            double lambda ) 
        {
            Simplex om = new Simplex( lambda );
            model.calibrate(helpers, om,
                            new EndCriteria(1000, 250, 1e-7, 1e-7, 1e-7));

            // Output the implied Black volatilities
            for (int i=0; i<numRows; i++) 
            {
                int j = numCols - i -1; // 1x5, 2x4, 3x3, 4x2, 5x1
                int k = i*numCols + j;
                double npv = helpers[i].modelValue();
                double implied = helpers[i].impliedVolatility(
                    npv,
                    1e-4,
                    1000,
                    0.05,
                    0.50 );
                double diff = implied - swaptionVols[k];

                Console.WriteLine( "{0}x{1}: model {2}, market {3} ({4})",
                    i+1, swapLenghts[j], implied, swaptionVols[k], diff );
            }
        }

        /// <summary>
        /// The main entry point for the application.
        /// </summary>
        [STAThread]
        static void Main(string[] args)
        {
            DateTime startTime = DateTime.Now;

            Date todaysDate = new Date(15, Month.February, 2002);
            Calendar calendar = new TARGET();
            Date settlementDate = new Date(19, Month.February, 2002);
            Settings.instance().setEvaluationDate( todaysDate );

            // flat yield term structure impling 1x5 swap at 5%
            Quote flatRate = new SimpleQuote(0.04875825);
            FlatForward myTermStructure = new FlatForward(
                settlementDate,
                new QuoteHandle( flatRate ),
                new Actual365Fixed() );
            RelinkableYieldTermStructureHandle rhTermStructure =
                new RelinkableYieldTermStructureHandle();
            rhTermStructure.linkTo( myTermStructure );

            // Define the ATM/OTM/ITM swaps
            Period fixedLegTenor = new Period(1,TimeUnit.Years);
            BusinessDayConvention fixedLegConvention =
                BusinessDayConvention.Unadjusted;
            BusinessDayConvention floatingLegConvention =
                BusinessDayConvention.ModifiedFollowing;
            DayCounter fixedLegDayCounter =
                new Thirty360( Thirty360.Convention.European );
            Period floatingLegTenor = new Period(6,TimeUnit.Months);
            double dummyFixedRate = 0.03;
            IborIndex indexSixMonths = new Euribor6M( rhTermStructure );

            Date startDate = calendar.advance(settlementDate,1,TimeUnit.Years,
                floatingLegConvention);
            Date maturity = calendar.advance(startDate,5,TimeUnit.Years,
                floatingLegConvention);
            Schedule fixedSchedule = new Schedule(startDate,maturity,
                fixedLegTenor,calendar,fixedLegConvention,fixedLegConvention,
                DateGeneration.Rule.Forward,false);
            Schedule floatSchedule = new Schedule(startDate,maturity,
                floatingLegTenor,calendar,floatingLegConvention,
                floatingLegConvention,DateGeneration.Rule.Forward,false);
            VanillaSwap swap = new VanillaSwap(
                       VanillaSwap.Payer, 1000.0,
                       fixedSchedule, dummyFixedRate, fixedLegDayCounter,
                       floatSchedule, indexSixMonths, 0.0,
                       indexSixMonths.dayCounter());
            DiscountingSwapEngine swapEngine =
                new DiscountingSwapEngine(rhTermStructure);
            swap.setPricingEngine(swapEngine);
            double fixedATMRate = swap.fairRate();
            double fixedOTMRate = fixedATMRate * 1.2;
            double fixedITMRate = fixedATMRate * 0.8;

            VanillaSwap atmSwap = new VanillaSwap(
                       VanillaSwap.Payer, 1000.0,
                       fixedSchedule, fixedATMRate, fixedLegDayCounter,
                       floatSchedule, indexSixMonths, 0.0,
                       indexSixMonths.dayCounter() );
            VanillaSwap otmSwap = new VanillaSwap(
                       VanillaSwap.Payer, 1000.0,
                       fixedSchedule, fixedOTMRate, fixedLegDayCounter,
                       floatSchedule, indexSixMonths, 0.0,
                       indexSixMonths.dayCounter());
            VanillaSwap itmSwap = new VanillaSwap(
                       VanillaSwap.Payer, 1000.0,
                       fixedSchedule, fixedITMRate, fixedLegDayCounter,
                       floatSchedule, indexSixMonths, 0.0,
                       indexSixMonths.dayCounter());
            atmSwap.setPricingEngine(swapEngine);
            otmSwap.setPricingEngine(swapEngine);
            itmSwap.setPricingEngine(swapEngine);

            // defining the swaptions to be used in model calibration
            PeriodVector swaptionMaturities = new PeriodVector();
            swaptionMaturities.Add( new Period(1, TimeUnit.Years) );
            swaptionMaturities.Add( new Period(2, TimeUnit.Years) );
            swaptionMaturities.Add( new Period(3, TimeUnit.Years) );
            swaptionMaturities.Add( new Period(4, TimeUnit.Years) );
            swaptionMaturities.Add( new Period(5, TimeUnit.Years) );

            CalibrationHelperVector swaptions = new CalibrationHelperVector();

            // List of times that have to be included in the timegrid
            DoubleVector times = new DoubleVector();

            for ( int i=0; i<numRows; i++) {
                int j = numCols - i -1; // 1x5, 2x4, 3x3, 4x2, 5x1
                int k = i*numCols + j;
                Quote vol = new SimpleQuote( swaptionVols[k] );
                SwaptionHelper helper = new SwaptionHelper(
                                swaptionMaturities[i],
                               new Period(swapLenghts[j], TimeUnit.Years),
                               new QuoteHandle(vol),
                               indexSixMonths,
                               indexSixMonths.tenor(),
                               indexSixMonths.dayCounter(),
                               indexSixMonths.dayCounter(),
                               rhTermStructure );
                swaptions.Add( helper );
                times.AddRange( helper.times() );
            }

            // Building time-grid
            TimeGrid grid = new TimeGrid( times, 30);

            // defining the models
            // G2 modelG2 = new G2(rhTermStructure));
            HullWhite modelHW = new HullWhite( rhTermStructure );
            HullWhite modelHW2 = new HullWhite( rhTermStructure );
            BlackKarasinski modelBK = new BlackKarasinski( rhTermStructure );

            // model calibrations

//          Console.WriteLine( "G2 (analytic formulae) calibration" );
//          for (int i=0; i<swaptions.Count; i++)
//              swaptions[i].setPricingEngine( new G2SwaptionEngine( modelG2, 6.0, 16 ) );
//
//          calibrateModel( modelG2, swaptions, 0.05);
//          Console.WriteLine( "calibrated to:" );
//          Console.WriteLine( "a     = " + modelG2.parameters()[0] );
//          Console.WriteLine( "sigma = " + modelG2.parameters()[1] );
//          Console.WriteLine( "b     = " + modelG2.parameters()[2] );
//          Console.WriteLine( "eta   = " + modelG2.parameters()[3] );
//          Console.WriteLine( "rho   = " + modelG2.parameters()[4] );

            Console.WriteLine( "Hull-White (analytic formulae) calibration" );
            for (int i=0; i<swaptions.Count; i++)
                swaptions[i].setPricingEngine(
                                       new JamshidianSwaptionEngine(modelHW));

            calibrateModel( modelHW, swaptions, 0.05);
//          Console.WriteLine( "calibrated to:" );
//            Console.WriteLine( "a = " + modelHW.parameters()[0] );
//            Console.WriteLine( "sigma = " + modelHW.parameters()[1] );


            Console.WriteLine( "Hull-White (numerical) calibration" );
            for (int i=0; i<swaptions.Count; i++)
                swaptions[i].setPricingEngine(
                                       new TreeSwaptionEngine(modelHW2,grid));

            calibrateModel(modelHW2, swaptions, 0.05);
//        std::cout << "calibrated to:\n"
//                  << "a = " << modelHW2->params()[0] << ", "
//                  << "sigma = " << modelHW2->params()[1]
//                  << std::endl << std::endl;


            Console.WriteLine( "Black-Karasinski (numerical) calibration" );
            for (int i=0; i<swaptions.Count; i++)
                swaptions[i].setPricingEngine(
                                        new TreeSwaptionEngine(modelBK,grid));

            calibrateModel(modelBK, swaptions, 0.05);
//        std::cout << "calibrated to:\n"
//                  << "a = " << modelBK->params()[0] << ", "
//                  << "sigma = " << modelBK->params()[1]
//                  << std::endl << std::endl;

            // ATM Bermudan swaption pricing

            Console.WriteLine( "Payer bermudan swaption struck at {0} (ATM)",
                               fixedATMRate );

            DateVector bermudanDates = new DateVector();
            Schedule schedule = new Schedule(startDate,maturity,
                new Period(3,TimeUnit.Months),calendar,
                BusinessDayConvention.Following,
                BusinessDayConvention.Following,
                DateGeneration.Rule.Forward,false);

            for (uint i=0; i<schedule.size(); i++)
                bermudanDates.Add( schedule.date( i ) );
            Exercise bermudaExercise = new BermudanExercise( bermudanDates );

            Swaption bermudanSwaption =
                new Swaption( atmSwap, bermudaExercise);
            bermudanSwaption.setPricingEngine(
                              new TreeSwaptionEngine(modelHW, 50));
            Console.WriteLine( "HW: " + bermudanSwaption.NPV() );

            bermudanSwaption.setPricingEngine(
                                       new TreeSwaptionEngine(modelHW2, 50));
            Console.WriteLine( "HW (num): " + bermudanSwaption.NPV() );

            bermudanSwaption.setPricingEngine(
                                       new TreeSwaptionEngine(modelBK, 50));
            Console.WriteLine( "BK (num): " + bermudanSwaption.NPV() );

            DateTime endTime = DateTime.Now;
            TimeSpan delta = endTime - startTime;
            Console.WriteLine();
            Console.WriteLine("Run completed in {0} s", delta.TotalSeconds);
            Console.WriteLine();
        }
    }
}
