/*
 Copyright (C) 2007 Richard Gomes
 Copyright (C) 2007 Tito Ingargiola

 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.
*/

import org.quantlib.*;

class AsianBasket extends ExternalOption
{
    public DateVector fixingDates()
    {
	DateVector dv = new DateVector();
	dv.add(new Date(5, Month.May, 2010));
	dv.add(new Date(5, Month.May, 2011));
	return dv;
    }

    public long basisSystemDimension()
    {
	return 0;
    }

    /*
      Pays the average of all underlying (so far) at every fixing date.
     */
    public void value(Matrix path, Array payments, Array exercises, ArrayVector states)
    {
	long numberOfAssets = path.rows();
	long numberOfTimes = path.columns();
	double sum = 0.0;

	for (long i = 0; i < numberOfTimes; ++i)
	{
	    for (long j = 0; j < numberOfAssets; ++j)
	    {
		sum += path.get(j, i);
	    }
	    double payoff = sum / (numberOfAssets * (i + 1));
	    payments.set(i, payoff);
	}
    }
}


/**
 * You need to run this with a correctly set library path and something like:
 *
 * -Djava.library.path=/usr/local/lib
 *
 * @author Richard Gomes
 * @author Tito Ingargiola
 */
public class JavaOption {

    static {
        try {
            System.loadLibrary("QuantLibJNI");
        } catch (RuntimeException e) {
            e.printStackTrace();
        }
    }

    public static void main(String[] args) throws Exception {
        long beginTime = System.currentTimeMillis();

        // our option
        double underlying = 100.0;
        double riskFreeRate = 0.06;
        double dividendYield = 0.00;
        double volatility = 0.2;

        Date todaysDate = new Date(15, Month.May, 1998);
        Date settlementDate = new Date(17, Month.May, 1998);
        Settings.instance().setEvaluationDate(todaysDate);

        Date maturity = new Date(17, Month.May, 1999);
        DayCounter dayCounter = new Actual365Fixed();
        Calendar calendar = new TARGET();

        // write column headings
        String fmt = "\n%-35s %-14s %-14s %-14s\n";
        System.out.printf(fmt, "Method", "European", "Bermudan", "American");
        System.out.println("============================================================================");

        // define the underlying asset and the yield/dividend/volatility curves
        QuoteHandle underlyingH = new QuoteHandle(new SimpleQuote(underlying));
        YieldTermStructureHandle flatTermStructure =
            new YieldTermStructureHandle(new FlatForward(
                                  settlementDate, riskFreeRate, dayCounter));
        YieldTermStructureHandle flatDividendYield =
            new YieldTermStructureHandle(new FlatForward(
                                  settlementDate, dividendYield, dayCounter));
        BlackVolTermStructureHandle flatVolatility =
            new BlackVolTermStructureHandle(new BlackConstantVol(
                           settlementDate, calendar, volatility, dayCounter));

        BlackScholesMertonProcess stochasticProcess =
            new BlackScholesMertonProcess(underlyingH,
                                          flatDividendYield,
                                          flatTermStructure,
                                          flatVolatility);

	StochasticProcessVector vsp = new StochasticProcessVector();
	vsp.add(stochasticProcess);
	Matrix corr = new Matrix(1, 1);
	corr.set(0, 0, 1.0);

	StochasticProcessArray asp = new StochasticProcessArray(vsp, corr);

	AsianBasket asianBasket = new AsianBasket();
	Instrument option = asianBasket.option();
	// DO NOT LET asianBasket be collected before option
	// since it contains a hidden reference to asianBasket.

        fmt = "%34s %13.9f %13.9f %13.9f\n";

        // Monte Carlo Method
        int timeSteps = 1;
        int mcSeed = 43;
        int nSamples = 65000;
        int maxSamples = 1048576; // 2^20

        String method = "MC (crude)";
	option.setPricingEngine(
				new MCPathBasketEngine(asp,
						       "PseudoRandom", timeSteps, QuantLib.nullInt(),
						       false, false,
						       nSamples, QuantLib.nullDouble(), maxSamples, mcSeed));
        System.out.printf(fmt, new Object[] { method,
                                              option.NPV(),
                                              Double.NaN,
                                              Double.NaN } );

        method = "MC (Sobol)";
	option.setPricingEngine(
				new MCPathBasketEngine(asp,
						       "LowDiscrepancy", timeSteps, QuantLib.nullInt(),
						       false, false,
						       nSamples, QuantLib.nullDouble(), maxSamples, mcSeed));
        System.out.printf(fmt, new Object[] { method,
                                              option.NPV(),
                                              Double.NaN,
                                              Double.NaN } );


        long msecs = (System.currentTimeMillis()-beginTime);
        System.out.println("Run completed in "+msecs+" ms.");

    }
}