
/*
 Copyright (C) 2000, 2001, 2002, 2003 RiskMap srl

 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/html/license.html

 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.
*/

/*! \file montecarlomodel.hpp
    \brief General purpose Monte Carlo model
*/

#ifndef quantlib_montecarlo_model_h
#define quantlib_montecarlo_model_h

#include <ql/handle.hpp>
#include <ql/MonteCarlo/mctraits.hpp>
#include <ql/Math/statistics.hpp>

namespace QuantLib {

    //! General purpose Monte Carlo model for path samples
    /*! The template arguments of this class correspond to available
        policies for the particular model to be instantiated---i.e.,
        whether it is single- or multi-asset, or whether it should use
        pseudo-random or low-discrepancy numbers for path
        generation. Such decisions are grouped in trait classes so as
        to be orthogonal---see mctraits.hpp for examples.

        The constructor accepts two safe references, i.e. two smart
        pointers, one to a path generator and the other to a path
        pricer.  In case of control variate technique the user should
        provide the additional control option, namely the option path
        pricer and the option value.
    */
    template <class mc_traits,
              class stats_traits = Statistics>
    class MonteCarloModel {
      public:
        // extract traits
        typedef typename mc_traits::rsg_type rsg_type;
        typedef typename mc_traits::path_generator_type path_generator_type;
        typedef typename mc_traits::path_pricer_type path_pricer_type;
        typedef typename path_generator_type::sample_type sample_type;
        typedef typename path_pricer_type::result_type result_type;
        typedef stats_traits stats_type;
        // constructor
        MonteCarloModel(const Handle<path_generator_type>& pathGenerator,
                        const Handle<path_pricer_type>& pathPricer,
                        const stats_type& sampleAccumulator,
                        bool antitheticVariate,
                        const Handle<path_pricer_type>& cvPathPricer 
                        = Handle<path_pricer_type>(),
                        result_type cvOptionValue = result_type())
        : pathGenerator_(pathGenerator), pathPricer_(pathPricer),
          sampleAccumulator_(sampleAccumulator),
          isAntitheticVariate_(antitheticVariate),
          cvPathPricer_(cvPathPricer), cvOptionValue_(cvOptionValue) {
            if (IsNull(cvPathPricer_))
                isControlVariate_ = false;
            else
                isControlVariate_ = true;
        }
        void addSamples(Size samples);
        const stats_type& sampleAccumulator(void) const;
      private:
        Handle<path_generator_type> pathGenerator_;
        Handle<path_pricer_type> pathPricer_;
        stats_type sampleAccumulator_;
        bool isAntitheticVariate_;
        Handle<path_pricer_type> cvPathPricer_;
        result_type cvOptionValue_;
        bool isControlVariate_;
    };


    // inline definitions
    template<class MC, class S>
    inline void MonteCarloModel<MC,S>::addSamples(Size samples) {
        for(Size j = 1; j <= samples; j++) {

            sample_type path = pathGenerator_->next();
            result_type price = (*pathPricer_)(path.value);

            if (isControlVariate_)
                price += cvOptionValue_-(*cvPathPricer_)(path.value);

            if (isAntitheticVariate_) {
                path = pathGenerator_->antithetic();
                result_type price2 = (*pathPricer_)(path.value);
                if (isControlVariate_)
                    price2 += cvOptionValue_-(*cvPathPricer_)(path.value);
                sampleAccumulator_.add((price+price2)/2.0, path.weight);
            } else {
                sampleAccumulator_.add(price, path.weight);
            }
        }
    }

    template<class MC, class S>
    inline const typename MonteCarloModel<MC,S>::stats_type& 
    MonteCarloModel<MC,S>::sampleAccumulator() const {
        return sampleAccumulator_;
    }

}


#endif
