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

 Copyright (C) 2008 Toyin Akin

 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

 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 <ql/experimental/coupons/quantocouponpricer.hpp>
#include <ql/cashflows/capflooredcoupon.hpp>
#include <ql/cashflows/digitalcoupon.hpp>
#include <ql/cashflows/digitalcmscoupon.hpp>
#include <ql/cashflows/digitaliborcoupon.hpp>
#include <ql/cashflows/rangeaccrual.hpp>
#include <ql/pricingengines/blackformula.hpp>
#include <ql/indexes/interestrateindex.hpp>

namespace QuantLib {

    Rate BlackIborQuantoCouponPricer::adjustedFixing(Real fixing) const {

        if (fixing == Null<Rate>())
            fixing = coupon_->indexFixing();

        // Here we apply the quanto adjustment first, then delegate to
        // the parent class
        Date d1 = coupon_->fixingDate(),
             referenceDate = capletVolatility()->referenceDate();

        if (d1 > referenceDate) {
            Time t1 =
                coupon_->index()->dayCounter().yearFraction(referenceDate, d1);
            Volatility fxsigma =
                fxRateBlackVolatility_->blackVol(t1, fixing, true);
            Volatility sigma = capletVolatility()->volatility(d1, fixing);
            Real rho = underlyingFxCorrelation_->value();

            // Apply Quanto Adjustment.
            // Hull 6th Edition, page 642.
            Real dQuantoAdj = std::exp(sigma*fxsigma*rho*t1);
            fixing *= dQuantoAdj;

        return BlackIborCouponPricer::adjustedFixing(fixing);


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