/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */

/*
 Copyright (C) 2007 Ferdinando Ametrano
 Copyright (C) 2007 Marco Bianchetti
 Copyright (C) 2007 Cristina Duminuco
 Copyright (C) 2007 Mark Joshi

 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
 <https://www.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.
*/

#include "toplevelfixture.hpp"
#include "utilities.hpp"
#include <ql/models/marketmodels/correlations/cotswapfromfwdcorrelation.hpp>
#include <ql/models/marketmodels/correlations/timehomogeneousforwardcorrelation.hpp>
#include <ql/models/marketmodels/models/piecewiseconstantabcdvariance.hpp>
#include <ql/models/marketmodels/models/capletcoterminalswaptioncalibration.hpp>
#include <ql/models/marketmodels/models/cotswaptofwdadapter.hpp>
#include <ql/models/marketmodels/models/pseudorootfacade.hpp>
#include <ql/models/marketmodels/products/multistep/multistepcoterminalswaps.hpp>
#include <ql/models/marketmodels/products/multistep/multistepcoterminalswaptions.hpp>
#include <ql/models/marketmodels/products/multistep/multistepswap.hpp>
#include <ql/models/marketmodels/products/multiproductcomposite.hpp>
#include <ql/models/marketmodels/accountingengine.hpp>
#include <ql/models/marketmodels/utilities.hpp>
#include <ql/models/marketmodels/evolvers/lognormalcotswapratepc.hpp>
#include <ql/models/marketmodels/evolvers/lognormalfwdratepc.hpp>
#include <ql/models/marketmodels/correlations/expcorrelations.hpp>
#include <ql/models/marketmodels/models/flatvol.hpp>
#include <ql/models/marketmodels/models/abcdvol.hpp>
#include <ql/models/marketmodels/browniangenerators/mtbrowniangenerator.hpp>
#include <ql/models/marketmodels/browniangenerators/sobolbrowniangenerator.hpp>
#include <ql/models/marketmodels/swapforwardmappings.hpp>
#include <ql/models/marketmodels/curvestates/coterminalswapcurvestate.hpp>
#include <ql/methods/montecarlo/genericlsregression.hpp>
#include <ql/legacy/libormarketmodels/lmlinexpcorrmodel.hpp>
#include <ql/legacy/libormarketmodels/lmextlinexpvolmodel.hpp>
#include <ql/time/schedule.hpp>
#include <ql/time/calendars/nullcalendar.hpp>
#include <ql/time/daycounters/simpledaycounter.hpp>
#include <ql/pricingengines/blackformula.hpp>
#include <ql/pricingengines/blackcalculator.hpp>
#include <ql/utilities/dataformatters.hpp>
#include <ql/math/integrals/segmentintegral.hpp>
#include <ql/math/statistics/convergencestatistics.hpp>
#include <ql/math/statistics/sequencestatistics.hpp>
#include <sstream>

using namespace QuantLib;
using namespace boost::unit_test_framework;

BOOST_FIXTURE_TEST_SUITE(QuantLibTests, TopLevelFixture)

BOOST_AUTO_TEST_SUITE(MarketModelSmmCapletCalibrationTests)

Date todaysDate_, startDate_, endDate_;
std::vector<Time> rateTimes_;
std::vector<Real> accruals_;
Calendar calendar_;
DayCounter dayCounter_;
std::vector<Rate> todaysForwards_, todaysSwaps_;
std::vector<Real> coterminalAnnuity_;
Size numberOfFactors_;
Real alpha_, alphaMax_, alphaMin_;
Spread displacement_;
std::vector<DiscountFactor> todaysDiscounts_;
std::vector<Volatility> swaptionDisplacedVols_, swaptionVols_;
std::vector<Volatility> capletDisplacedVols_, capletVols_;
Real a_, b_, c_, d_;
Real longTermCorrelation_, beta_;
Size measureOffset_;
unsigned long seed_;
Size paths_, trainingPaths_;
bool printReport_ = false;

void setup() {

    // Times
    calendar_ = NullCalendar();
    todaysDate_ = Settings::instance().evaluationDate();
    //startDate = todaysDate + 5*Years;
    endDate_ = todaysDate_ + 66*Months;
    Schedule dates(todaysDate_, endDate_, Period(Semiannual),
                   calendar_, Following, Following, DateGeneration::Backward, false);
    rateTimes_ = std::vector<Time>(dates.size()-1);
    accruals_ = std::vector<Real>(rateTimes_.size()-1);
    dayCounter_ = SimpleDayCounter();
    for (Size i=1; i<dates.size(); ++i)
        rateTimes_[i-1] = dayCounter_.yearFraction(todaysDate_, dates[i]);
    for (Size i=1; i<rateTimes_.size(); ++i)
        accruals_[i-1] = rateTimes_[i] - rateTimes_[i-1];

    // Rates & displacement
    todaysForwards_ = std::vector<Rate>(accruals_.size());
    numberOfFactors_ = 3;
    alpha_ = -0.05;
    alphaMax_ = 1.0;
    alphaMin_ = -1.0;
    displacement_ = 0.0;
    for (Size i=0; i<todaysForwards_.size(); ++i) {
        todaysForwards_[i] = 0.03 + 0.0025*i;
        //todaysForwards_[i] = 0.03;
    }
    LMMCurveState curveState_lmm(rateTimes_);
    curveState_lmm.setOnForwardRates(todaysForwards_);
    todaysSwaps_ = curveState_lmm.coterminalSwapRates();

    // Discounts
    todaysDiscounts_ = std::vector<DiscountFactor>(rateTimes_.size());
    todaysDiscounts_[0] = 0.95;
    for (Size i=1; i<rateTimes_.size(); ++i)
        todaysDiscounts_[i] = todaysDiscounts_[i-1] /
            (1.0+todaysForwards_[i-1]*accruals_[i-1]);

    //// Swaption Volatilities
    //Volatility mktSwaptionVols[] = {
    //                        0.15541283,
    //                        0.18719678,
    //                        0.20890740,
    //                        0.22318179,
    //                        0.23212717,
    //                        0.23731450,
    //                        0.23988649,
    //                        0.24066384,
    //                        0.24023111,
    //                        0.23900189,
    //                        0.23726699,
    //                        0.23522952,
    //                        0.23303022,
    //                        0.23076564,
    //                        0.22850101,
    //                        0.22627951,
    //                        0.22412881,
    //                        0.22206569,
    //                        0.22009939
    //};

    //a = -0.0597;
    //b =  0.1677;
    //c =  0.5403;
    //d =  0.1710;

    a_ = 0.0;
    b_ = 0.17;
    c_ = 1.0;
    d_ = 0.10;

    Volatility mktCapletVols[] = {
        0.1640,
        0.1740,
        0.1840,
        0.1940,
        0.1840,
        0.1740,
        0.1640,
        0.1540,
        0.1440,
        0.1340376439125532
    };

    //swaptionDisplacedVols = std::vector<Volatility>(todaysSwaps.size());
    //swaptionVols = std::vector<Volatility>(todaysSwaps.size());
    //capletDisplacedVols = std::vector<Volatility>(todaysSwaps.size());
    capletVols_.resize(todaysSwaps_.size());
    for (Size i=0; i<todaysSwaps_.size(); i++) {
        //    swaptionDisplacedVols[i] = todaysSwaps[i]*mktSwaptionVols[i]/
        //                              (todaysSwaps[i]+displacement);
        //    swaptionVols[i]= mktSwaptionVols[i];
        //    capletDisplacedVols[i] = todaysForwards[i]*mktCapletVols[i]/
        //                            (todaysForwards[i]+displacement);
        capletVols_[i]= mktCapletVols[i];
    }

    // Cap/Floor Correlation
    longTermCorrelation_ = 0.5;
    beta_ = 0.2;
    measureOffset_ = 5;

    // Monte Carlo
    seed_ = 42;

#ifdef _DEBUG
    paths_ = 127;
    trainingPaths_ = 31;
#else
    paths_ = 32767; //262144-1; //; // 2^15-1
    trainingPaths_ = 8191; // 2^13-1
#endif
}

enum MarketModelType { ExponentialCorrelationFlatVolatility,
                       ExponentialCorrelationAbcdVolatility/*,
                                                             CalibratedMM*/
};

enum MeasureType { ProductSuggested, Terminal,
                   MoneyMarket, MoneyMarketPlus };

enum EvolverType { Ipc, Pc , NormalPc };


BOOST_AUTO_TEST_CASE(testFunction) {

    BOOST_TEST_MESSAGE("Testing GHLS caplet calibration "
                       "in a lognormal coterminal swap market model...");

    setup();

    Size numberOfRates = todaysForwards_.size();

    EvolutionDescription evolution(rateTimes_);
    // Size numberOfSteps = evolution.numberOfSteps();

    ext::shared_ptr<PiecewiseConstantCorrelation> fwdCorr(new
        ExponentialForwardCorrelation(rateTimes_,
                                      longTermCorrelation_,
                                      beta_));

    ext::shared_ptr<LMMCurveState> cs(new LMMCurveState(rateTimes_));
    cs->setOnForwardRates(todaysForwards_);

    ext::shared_ptr<PiecewiseConstantCorrelation> corr(new
        CotSwapFromFwdCorrelation(fwdCorr, *cs, displacement_));

    std::vector<ext::shared_ptr<PiecewiseConstantVariance> >
                                    swapVariances(numberOfRates);
    for (Size i=0; i<numberOfRates; ++i) {
        swapVariances[i] = ext::shared_ptr<PiecewiseConstantVariance>(new
            PiecewiseConstantAbcdVariance(a_, b_, c_, d_,
                                          i, rateTimes_));
    }

    // create calibrator
    std::vector<Real> alpha(numberOfRates, alpha_);
    bool lowestRoot = true;
    bool useFullApprox = false;
    if (printReport_) {
        BOOST_TEST_MESSAGE("caplet market vols: " << std::fixed <<
                           std::setprecision(4) << io::sequence(capletVols_));
        BOOST_TEST_MESSAGE("alpha:              " << alpha_);
        BOOST_TEST_MESSAGE("lowestRoot:         " << lowestRoot);
        BOOST_TEST_MESSAGE("useFullApprox:      " << useFullApprox);
    }
    CTSMMCapletOriginalCalibration calibrator(evolution,
                                              corr,
                                              swapVariances,
                                              capletVols_,
                                              cs,
                                              displacement_,
                                              alpha,
                                              lowestRoot,
                                              useFullApprox);
    // calibrate
    Natural maxIterations = 2;
    Real capletTolerance = 0.0001;
    Natural innerMaxIterations = 50;
    Real innerTolerance = 1e-9;
    if (printReport_) {
        BOOST_TEST_MESSAGE("alpha:              " << alpha_);
        BOOST_TEST_MESSAGE("lowestRoot:         " << lowestRoot);
        BOOST_TEST_MESSAGE("useFullApprox:      " << useFullApprox);
    }
    bool result = calibrator.calibrate(numberOfFactors_,
                                       maxIterations,
                                       capletTolerance/10,
                                       innerMaxIterations,
                                       innerTolerance);
    if (!result)
        BOOST_ERROR("calibration failed");

    const std::vector<Matrix>& swapPseudoRoots = calibrator.swapPseudoRoots();
    ext::shared_ptr<MarketModel> smm(new
        PseudoRootFacade(swapPseudoRoots,
                         rateTimes_,
                         cs->coterminalSwapRates(),
                         std::vector<Spread>(numberOfRates, displacement_)));
    CotSwapToFwdAdapter flmm(smm);
    Matrix capletTotCovariance = flmm.totalCovariance(numberOfRates-1);

    std::vector<Volatility> capletVols(numberOfRates);
    for (Size i=0; i<numberOfRates; ++i) {
        capletVols[i] = std::sqrt(capletTotCovariance[i][i]/rateTimes_[i]);
    }
    if (printReport_) {
        BOOST_TEST_MESSAGE("caplet smm implied vols: " << std::fixed <<
                           std::setprecision(4) << io::sequence(capletVols));
        BOOST_TEST_MESSAGE("failures: " << calibrator.failures());
        BOOST_TEST_MESSAGE("deformationSize: " << calibrator.deformationSize());
        BOOST_TEST_MESSAGE("capletRmsError: " << calibrator.capletRmsError());
        BOOST_TEST_MESSAGE("capletMaxError: " << calibrator.capletMaxError());
        BOOST_TEST_MESSAGE("swaptionRmsError: " << calibrator.swaptionRmsError());
        BOOST_TEST_MESSAGE("swaptionMaxError: " << calibrator.swaptionMaxError());
    }

    // check perfect swaption fit
    Real error, swapTolerance = 1e-14;
    Matrix swapTerminalCovariance(numberOfRates, numberOfRates, 0.0);
    for (Size i=0; i<numberOfRates; ++i) {
        Volatility expSwaptionVol = swapVariances[i]->totalVolatility(i);
        swapTerminalCovariance += swapPseudoRoots[i] * transpose(swapPseudoRoots[i]);
        Volatility swaptionVol = std::sqrt(swapTerminalCovariance[i][i]/rateTimes_[i]);
        error = std::fabs(swaptionVol-expSwaptionVol);
        if (error>swapTolerance)
            BOOST_ERROR("failed to reproduce " << io::ordinal(i+1) << " swaption vol:"
                        "\n expected:  " << io::rate(expSwaptionVol) <<
                        "\n realized:  " << io::rate(swaptionVol) <<
                        "\n error:     " << error <<
                        "\n tolerance: " << swapTolerance);
    }

    // check caplet fit
    for (Size i=0; i<numberOfRates; ++i) {
        error = std::fabs(capletVols[i]-capletVols_[i]);
        if (error>capletTolerance)
            BOOST_ERROR("failed to reproduce " << io::ordinal(i+1) << " caplet vol:"
                        "\n expected:         " << io::rate(capletVols_[i]) <<
                        "\n realized:         " << io::rate(capletVols[i]) <<
                        "\n percentage error: " << error/capletVols_[i] <<
                        "\n error:            " << error <<
                        "\n tolerance:        " << capletTolerance);
    }
}

BOOST_AUTO_TEST_SUITE_END()

BOOST_AUTO_TEST_SUITE_END()
