#include "TreasuryYieldCurve.h"
#include <ql/quantlib.hpp>

#include <boost/timer.hpp>
#include <iostream>
#include <iomanip>
#include <fstream>
#include <string>
#include <istream>

using namespace QuantLib;
using namespace std;
using namespace boost;

#if defined(QL_ENABLE_SESSIONS)
namespace QuantLib {

Integer sessionId() { return 0; }

}
#endif



int main(int, char* []) {
	try{
		boost::timer timer;
        std::cout << std::endl;
		


	/////////////////***************************/////////////////////////

		DayCounter DMCalcCounter = Actual360();
		Calendar DMCalccalendar = UnitedStates(UnitedStates::GovernmentBond);
	    Date settlementDate(19, September, 2012);
		Natural settlementDays = 1;



	
		Integer fixingDays = 4;

        // must be a business day
        settlementDate = DMCalccalendar.adjust(settlementDate);

        Date todaysDate = DMCalccalendar.advance(settlementDate, -fixingDays, Days);
		cout << "Today is " << todaysDate << endl;
        // nothing to do with Date::todaysDate
        Settings::instance().evaluationDate() = todaysDate;
	
		std::vector<Date> AccuralStart;
		std::vector<double> IndexRate;
		string dummyString, line;
		double dummyNumber;
		double continuousRate;
		std::ifstream AccuralStartFile, IndexRateFile;
		std::ofstream junk;
		junk.open("c:\\temp\\junk.dat");
		QuantLib::Date dd;

		//dates for the zero curve
		AccuralStartFile.open("c:\\temp\\ASDateOriginal.dat");
		while(true){
			AccuralStartFile >> dummyString;
			if(AccuralStartFile.eof()) break;
			dd = DateParser::parse(dummyString, "mm/dd/yyyy");
			AccuralStart.push_back(dd);
		}

		//original index rate for the zero curve
		IndexRateFile.open("c:\\temp\\IndexRateOriginal.dat");
		while(true){
			IndexRateFile >> dummyNumber;
			if(IndexRateFile.eof()) break;
			IndexRate.push_back(dummyNumber);
		}

		//construct a zero curve using original index rate from IndexRate.dat, the evaluation date for the zero curve is 
		boost::shared_ptr<YieldTermStructure> TB13WksRateTermStructure(				//this term structure used as the index rate for the floating rate note
			new InterpolatedZeroCurve <LogLinear> (												
				AccuralStart,														//the first date is the evaluation date!
				IndexRate,															//the evaluation date for TB13WksRateTermStructure is defined 
				DMCalcCounter));													//by the first date in ASDate.dat
		TB13WksRateTermStructure->enableExtrapolation();

		//Define Simple Quote for the discount margin
		Rate Spread = 0.0012;
		Rate DM = 0.0012;
		Handle<Quote> DMQuoteHandle(boost::shared_ptr<Quote>(new SimpleQuote(DM)));

		//construct a term structure discountRateTermStructure that is (TB13WksRateTermStructure + DM) that will be used for deriving the discount factor
		//discountRateTermStructure will be linked to FRNEngine that is used in 'FRN.setPricingEngine(FRNEngine);'
		Handle<YieldTermStructure> zeroCurveHandle(TB13WksRateTermStructure);	//handle to term structure TB13WksRateTermStructure
		boost::shared_ptr<YieldTermStructure> discountRateTermStructure(new ZeroSpreadedTermStructure(zeroCurveHandle, DMQuoteHandle));
		discountRateTermStructure->enableExtrapolation();

		//use ImpliedTermStructure to move evaluation date from the first date in ASDate.dat to Date(13, September, 2012) for discountRateTermStructure
		Handle<YieldTermStructure> discountRateTermStructureHandleImplied(discountRateTermStructure);
		boost::shared_ptr<YieldTermStructure> discountRateTermStructureImplied(new ImpliedTermStructure(discountRateTermStructureHandleImplied, Date(13, September, 2012)));
		discountRateTermStructureImplied->enableExtrapolation();
		

		Real FRNfaceAmount = 1000000;	
		
		//define a handle of the termstructure handle to be used in IborIndex. Eventually the handle will link to discountRateTermStructure
		RelinkableHandle<YieldTermStructure> TreasuryTermStructureHandle;				

		//define FRN's index
		const boost::shared_ptr<IborIndex> FRN13Wks(new USDLibor(Period(13,Weeks),TreasuryTermStructureHandle));

		//link TreasuryTermStructureHandle to original zero rate curve
		TreasuryTermStructureHandle.linkTo(TB13WksRateTermStructure);			//used by <IborIndex> FRN13Wks that is part of FRN definition
	
		//FRN13Wks->addFixing(Date(30, July, 2012), 0.000950);
					 
		//define FRN's schedule
		Schedule FRNSchedule(
			Date(31, July, 2012), 
			Date(31, July, 2014), 
			Period(Quarterly),
			UnitedStates(UnitedStates::GovernmentBond),
			Unadjusted, Unadjusted, 
			DateGeneration::Backward, 
			true);
			
		//define a floating rate note using TreasuryTermStructureHandle that basically orginal zero rate curve
		FloatingRateBond FRN(
			settlementDays,
			FRNfaceAmount,
			FRNSchedule,
			FRN13Wks,
			Actual360(), 
			ModifiedFollowing,
			Natural(1),
			// Gearings
			std::vector<Real>(1, 1.0),
			// Spreads
			std::vector<Rate>(1, 0.0012),
			// Caps
			std::vector<Rate>(),
			// Floors
			std::vector<Rate>(),
			// Fixing in arrears
			true,
			Real(100.0),
			Date(31, July, 2012));
			

		//define the handle of the term structure that is to be used by the DiscountingBondEngine
	    RelinkableHandle<YieldTermStructure> discountRateTermStructureHandle;
		boost::shared_ptr<PricingEngine> FRNEngine(new DiscountingBondEngine(discountRateTermStructureHandle));

		FRN.setPricingEngine(FRNEngine);

		// Coupon pricers
        boost::shared_ptr<IborCouponPricer> FRNpricer(new BlackIborCouponPricer);

		// optionLet volatilities
         Volatility FRNvolatility = 0.0;
         Handle<OptionletVolatilityStructure> FRNvol;
         FRNvol = Handle<OptionletVolatilityStructure>(
                 boost::shared_ptr<OptionletVolatilityStructure>(new
                         ConstantOptionletVolatility(
                                 settlementDays,
                                 DMCalccalendar,
                                 ModifiedFollowing,
                                 FRNvolatility,
                                 Actual360())));

         FRNpricer->setCapletVolatility(FRNvol);
		 //void setCouponPricer(const Leg& leg, const boost::shared_ptr<FloatingRateCouponPricer>&);
		 //to set the price using setCouponPricer
         setCouponPricer(FRN.cashflows(),FRNpricer);		
		 
         // Yield curve bootstrapping
         discountRateTermStructureHandle.linkTo(discountRateTermStructureImplied);		//used by <PricingEngine> FRNEngine


		//print out junks
		junk.precision(9);
		for(int i=0; Date(31, July, 2012) + i*Days < Date(31, July, 2014);i++){
			junk << i <<  "  TB13WksRateTermStructure->zeroRate: " <<Date(31, July, 2012) + i*Days << " | " << TB13WksRateTermStructure->zeroRate(Date(31, July, 2012) + i*Days ,DMCalcCounter, Simple, Daily ) << endl;
			junk << i <<  "  TB13WksRateTermStructure->discount: " << Date(31, July, 2012) + i*Days << " | " << TB13WksRateTermStructure->discount(Date(31, July, 2012) + i*Days) << endl;
			junk << endl;
		}
		
		junk << endl;
		junk << "++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++";
		junk << endl;

		for(int i=0; todaysDate + i*Days < Date(31, July, 2014);i++){
			junk << i <<  "  discountRateTermStructureImplied->zeroRate: " << todaysDate + i*Days << " | " << discountRateTermStructureImplied->zeroRate(todaysDate + i*Days ,DMCalcCounter, Simple, Daily) << endl;
			junk << i <<  "  discountRateTermStructureImplied->discount: " << todaysDate + i*Days << " | " << discountRateTermStructureImplied->discount(todaysDate + i*Days) << endl;
			junk << endl;
		}

		//print out the cashflow of FRN
		ofstream cashfile;
		cashfile.open("c:\\temp\\cashflow.dat");
		cashfile.precision(10);
		std::vector<boost::shared_ptr<CashFlow> > cashflows = FRN.cashflows();
		//cout << "dddddddddddddddd " << cashflows.size() << endl;
		for (int i=0; i<cashflows.size(); ++i) 
			cashfile << cashflows[i]->date() << ": " << cashflows[i]->amount() << endl;
		cashfile.close();




		Size FRNwidths[] = { 18, 18, 18, 18 };
		std::cout << std::setw(FRNwidths[0]) << "FRN Net present value: " << std::setprecision(11) << FRN.NPV() << std::endl;
		std::cout << std::setw(FRNwidths[0]) << "FRN Clean price: " << std::setprecision(11) << FRN.cleanPrice() << std::endl;
		std::cout << std::setw(FRNwidths[0]) << "FRN Dirty price: " << std::setprecision(11) << FRN.dirtyPrice() << std::endl;

		cout << "hello" << endl;
		
		junk.close();

		system("pause");
	}catch (std::exception& e) {
        std::cerr << e.what() << std::endl;
		system("pause");
        return 1;
    } catch (...) {
        std::cerr << "unknown error" << std::endl;
		system("pause");
        return 1;
    }

	system("pause");
}