/* This class extends euro_opt_params which constains the 
 * parameters of european options on bonds. This class has
 * embedded a diff_BDT class 
*/
/**
 *
 * @author horacio aliaga
 */
#include "diff_BDT.cpp"
#include "euro_opt_params.cpp"
#include "Point.cpp"
#include "Curve.cpp"
#include "Spline.cpp"
#include "SdeIntegrator.h"
#include <vector>
#include <iostream>
#include <fstream>
#include <string>
#include <math.h>
#include <math.h>
#define max(a,b) (((a)>(b))?(a):(b))
using namespace std;

class euro_option_diff_BDT : public euro_opt_params{
public:
	//euro_opt_params p;
	diff_BDT bond;
    
    /**
     * Creates a new instance of euro_option_diff_BDT
     */
public: euro_option_diff_BDT() {
        //bond = new diff_BDT();
        //p = new euro_opt_params();
    }
    /**
     * Creates a new instance of euro_option_diff_BDT
     */
public: euro_option_diff_BDT(double _m,double _p,double _s) {
        //bond = new diff_BDT();
        //p = new euro_opt_params();
        set_O_maturity( _m);
        set_face(_p);
        set_strike(_s);
    }    
public: euro_option_diff_BDT(double _maturity,double _face,double _stk,
                               double _time,double _mu,double _alpha,
                               double _sigma,double _r) {
        //bond = new diff_BDT(_time,_mu,_alpha,_sigma,_r);
        //p = new euro_opt_params();
        set_O_maturity(_maturity);
        set_face(_face);
        set_strike(_stk);
    }
public: void set_euro_option_diff_BDT(
            double _maturity,double _face,double _stk,
            double _time,double _mu,double _alpha,
            double _sigma,double _r) {
        //bond = new diff_BDT(_time,_mu,_alpha,_sigma,_r);
        set_O_maturity(_maturity);
        set_face(_face);
        set_strike(_stk);
    }    
public: double calculate_call_aver(int n_sim,int n_points){
        TwoCurve data;
        double call=0;
        for (int i=0;i<n_sim;i++){
            data=bond.gen_BondandIRvsMaturity(n_points,get_face());
            call=call+calculate_call(data);
        }
        set_opt_price(call/(1.0*n_sim));
        return get_option_price();
    }
public: double calculate_call(TwoCurve data){
        Point* point;
        double call=0;
        double r_aver_bond=0;
        double r_aver_option=0;
        double t=0;
        int n_points=data.c0_getsize();
        for (int i=0;i<n_points;i++){
            point=new Point(data.c0_get(i));
            t=point->get_x();
            r_aver_bond = r_aver_bond + point->get_y();
            if(t<=get_O_maturity()){
                r_aver_option = r_aver_option + point->get_y();
            }
        }
        r_aver_bond=r_aver_bond/n_points;
        r_aver_option=r_aver_option/n_points/get_O_maturity()*bond.get_B_maturity();
        call=max(+exp(-r_aver_bond*bond.get_B_maturity())*get_face()
                      -exp(-r_aver_option*get_O_maturity())*get_strike(),0);
        return call;
    }
public: double calculate_put_aver(int n_sim,int n_points){
        TwoCurve data;
        double put=0;
        for (int i=0;i<n_sim;i++){
            data=bond.gen_BondandIRvsMaturity(n_points,get_face());
            put=put+calculate_put(data);
        }
        set_opt_price(put/(1.0*n_sim));
        return get_opt_price();
    }
public: double calculate_put(TwoCurve data){
        
        Point* point;
       
        double put=0;
        double r_aver_bond=0;
        double r_aver_option=0;
        double t=0;
        int n_points=data.c0_getsize();
        for (int i=0;i<n_points;i++){
            point= new Point(data.c0_get(i));
            t=point->get_x();
            r_aver_bond = r_aver_bond + point->get_y();
            if(t<=get_O_maturity()){
                r_aver_option = r_aver_option + point->get_y();
            }
        }
        r_aver_bond=r_aver_bond/n_points;
        r_aver_option=r_aver_option/n_points/get_O_maturity()*bond.get_B_maturity();
        put=max(-exp(-r_aver_bond*bond.get_B_maturity())*get_face()
                     +exp(-r_aver_option*get_O_maturity())*get_strike(),0);
        return put;
    }
};
/*void main() 
{
	vector<double> time;
	time.push_back(0.);time.push_back(0.12);time.push_back(0.25);time.push_back(0.37); 
    vector<double>frwd;
	frwd.push_back(0.106);frwd.push_back(0.160);frwd.push_back(0.170);frwd.push_back(0.1835); 
    Spline s;
    double* yout = s.spline_array(time,frwd,5,1.0);

}*/