
//  RQuantLib -- R interface to the QuantLib libraries
//
//  Copyright (C) 2002 - 2024  Dirk Eddelbuettel
//  Copyright (C) 2005 - 2006  Dominick Samperi
//  Copyright (C) 2009 - 2012  Dirk Eddelbuettel and Khanh Nguyen
//
//  RQuantLib is free software: you can redistribute it and/or modify
//  it under the terms of the GNU General Public License as published by
//  the Free Software Foundation, either version 2 of the License, or
//  (at your option) any later version.
//
//  RQuantLib 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
//  GNU General Public License for more details.
//
//  You should have received a copy of the GNU General Public License
//  along with RQuantLib.  If not, see <http://www.gnu.org/licenses/>.

#include <rquantlib_internal.h>

// [[Rcpp::interfaces(r, cpp)]]

QuantLib::Option::Type getOptionType(const std::string &type) {
    QuantLib::Option::Type optionType;
    if (type=="call") {
        optionType = QuantLib::Option::Call;
    } else if (type=="put") {
        optionType = QuantLib::Option::Put;
    } else {
        Rcpp::stop(std::string("Unknown option ") + type);
    }
    return optionType;
}

// cf QuantLib-0.9.0/test-suite/europeanoption.cpp
qlext::shared_ptr<QuantLib::VanillaOption>
makeOption(const qlext::shared_ptr<QuantLib::StrikedTypePayoff>& payoff,
           const qlext::shared_ptr<QuantLib::Exercise>& exercise,
           const qlext::shared_ptr<QuantLib::Quote>& u,
           const qlext::shared_ptr<QuantLib::YieldTermStructure>& q,
           const qlext::shared_ptr<QuantLib::YieldTermStructure>& r,
           const qlext::shared_ptr<QuantLib::BlackVolTermStructure>& vol,
           EngineType engineType,
           QuantLib::Size binomialSteps,
           QuantLib::Size samples) {

    qlext::shared_ptr<QuantLib::GeneralizedBlackScholesProcess> stochProcess = makeProcess(u,q,r,vol);
    qlext::shared_ptr<QuantLib::PricingEngine> engine;

    switch (engineType) {
    case Analytic:
        engine = qlext::make_shared<QuantLib::AnalyticEuropeanEngine>(stochProcess);
        break;
    case JR:
        engine = qlext::make_shared<QuantLib::BinomialVanillaEngine<QuantLib::JarrowRudd>>(stochProcess, binomialSteps);
        break;
    case CRR:
        engine = qlext::make_shared<QuantLib::BinomialVanillaEngine<QuantLib::CoxRossRubinstein>>(stochProcess, binomialSteps);
        break;
    case EQP:
        engine = qlext::make_shared<QuantLib::BinomialVanillaEngine<QuantLib::AdditiveEQPBinomialTree>>(stochProcess, binomialSteps);
        break;
    case TGEO:
        engine = qlext::make_shared<QuantLib::BinomialVanillaEngine<QuantLib::Trigeorgis>>(stochProcess, binomialSteps);
        break;
    case TIAN:
        engine = qlext::make_shared<QuantLib::BinomialVanillaEngine<QuantLib::Tian>>(stochProcess, binomialSteps);
        break;
    case LR:
        engine = qlext::make_shared<QuantLib::BinomialVanillaEngine<QuantLib::LeisenReimer>>(stochProcess, binomialSteps);
        break;
    case JOSHI:
        engine = qlext::make_shared<QuantLib::BinomialVanillaEngine<QuantLib::Joshi4>>(stochProcess, binomialSteps);
        break;
    case FiniteDifferences:
        engine = qlext::make_shared<QuantLib::FdBlackScholesVanillaEngine>(stochProcess, binomialSteps, samples);
        break;
    case Integral:
        engine = qlext::make_shared<QuantLib::IntegralEngine>(stochProcess);
        break;
    case PseudoMonteCarlo:
        engine = QuantLib::MakeMCEuropeanEngine<QuantLib::PseudoRandom>(stochProcess)
            .withStepsPerYear(1)
            .withSamples(samples)
            .withSeed(42);
        break;
    case QuasiMonteCarlo:
        engine = QuantLib::MakeMCEuropeanEngine<QuantLib::LowDiscrepancy>(stochProcess)
            .withStepsPerYear(1)
            .withSamples(samples);
        break;
    default:
        QL_FAIL("Unknown engine type");
    }
    auto option = qlext::make_shared<QuantLib::EuropeanOption>(payoff, exercise);
    option->setPricingEngine(engine);
    return option;
}

// QuantLib option setup utils, copied from the test-suite sources
qlext::shared_ptr<QuantLib::YieldTermStructure> buildTermStructure(Rcpp::List rparam, Rcpp::List tslist) {

    qlext::shared_ptr<QuantLib::YieldTermStructure> curve;

    Rcpp::CharacterVector tsnames = tslist.names();
    QuantLib::Date todaysDate(Rcpp::as<QuantLib::Date>(rparam["tradeDate"]));
    QuantLib::Date settlementDate(Rcpp::as<QuantLib::Date>(rparam["settleDate"]));
    // cout << "TradeDate: " << todaysDate << endl << "Settle: " << settlementDate << endl;

    RQLContext::instance().settleDate = settlementDate;
    QuantLib::Settings::instance().evaluationDate() = todaysDate;

    std::string firstQuoteName = Rcpp::as<std::string>(tsnames[0]);
    //double dt = rparam.getDoubleValue("dt");

    std::string interpWhat, interpHow;
    if (firstQuoteName.compare("flat") != 0) { // Get interpolation method (not needed for "flat" case)
        interpWhat = Rcpp::as<std::string>(rparam["interpWhat"]);
        interpHow  = Rcpp::as<std::string>(rparam["interpHow"]);
    }

    // initialise from the singleton instance
    QuantLib::Calendar calendar = RQLContext::instance().calendar;
    //Integer fixingDays = RQLContext::instance().fixingDays;

    // Any DayCounter would be fine;  ActualActual::ISDA ensures that 30 years is 30.0
    QuantLib::DayCounter termStructureDayCounter = QuantLib::ActualActual(QuantLib::ActualActual::Convention::ISDA);
    double tolerance = 1.0e-15;

    if (firstQuoteName.compare("flat") == 0) {	// Create a flat term structure.
        double rateQuote = Rcpp::as<double>(tslist[0]);
        auto flatRate = qlext::make_shared<QuantLib::SimpleQuote>(rateQuote);
        auto ts = qlext::make_shared<QuantLib::FlatForward>(settlementDate, QuantLib::Handle<QuantLib::Quote>(flatRate), QuantLib::Actual365Fixed());
        curve = ts;
    } else {									// Build curve based on a set of observed rates and/or prices.
        std::vector<qlext::shared_ptr<QuantLib::RateHelper>> curveInput;
        for (int i = 0; i < tslist.size(); i++) {
            std::string name = Rcpp::as<std::string>(tsnames[i]);
            double val = Rcpp::as<double>(tslist[i]);
            qlext::shared_ptr<QuantLib::RateHelper> rh = ObservableDB::instance().getRateHelper(name, val);
            // edd 2009-11-01 FIXME NULL_RateHelper no longer builds under 0.9.9
            // if (rh == NULL_RateHelper)
            if (rh.get() == NULL)
                Rcpp::stop("Unknown rate in getRateHelper");
            curveInput.push_back(rh);
        }
        auto ts = getTermStructure(interpWhat, interpHow, settlementDate, curveInput, termStructureDayCounter, tolerance);
        curve = ts;
    }
    return curve;
}

QuantLib::Schedule getSchedule(Rcpp::List rparam) {

    QuantLib::Date effectiveDate(Rcpp::as<QuantLib::Date>(rparam["effectiveDate"]));
    QuantLib::Date maturityDate(Rcpp::as<QuantLib::Date>(rparam["maturityDate"]));
    QuantLib::Period period = QuantLib::Period(getFrequency(Rcpp::as<double>(rparam["period"])));
    std::string cal = Rcpp::as<std::string>(rparam["calendar"]);
    QuantLib::Calendar calendar;
    if(!cal.empty()) {
        qlext::shared_ptr<QuantLib::Calendar> p = getCalendar(cal);
        calendar = *p;
    }
    QuantLib::BusinessDayConvention businessDayConvention =
        getBusinessDayConvention(Rcpp::as<double>(rparam["businessDayConvention"]));
    QuantLib::BusinessDayConvention terminationDateConvention =
        getBusinessDayConvention(Rcpp::as<double>(rparam["terminationDateConvention"]));
    // keep these default values for the last two parameters for backward compatibility
    // (although in QuantLib::schedule they have no default values)
    QuantLib::DateGeneration::Rule dateGeneration = QuantLib::DateGeneration::Backward;
    if(rparam.containsElementNamed("dateGeneration") ) {
        dateGeneration = getDateGenerationRule(Rcpp::as<double>(rparam["dateGeneration"]));
    }
    bool endOfMonth = false;
    if(rparam.containsElementNamed("endOfMonth") ) {
        endOfMonth = (Rcpp::as<double>(rparam["endOfMonth"]) == 1) ? true : false;
    }

    QuantLib::Schedule schedule(effectiveDate,
                                maturityDate,
                                period,
                                calendar,
                                businessDayConvention,
                                terminationDateConvention,
                                dateGeneration,
                                endOfMonth);
    return schedule;
}

qlext::shared_ptr<QuantLib::FixedRateBond> getFixedRateBond(Rcpp::List bondparam,
                                                            std::vector<double> ratesVec,
                                                            Rcpp::List scheduleparam) {

    // get bond parameters
    double settlementDays = Rcpp::as<double>(bondparam["settlementDays"]);
    double faceAmount = Rcpp::as<double>(bondparam["faceAmount"]);
    QuantLib::DayCounter accrualDayCounter =
        getDayCounter(Rcpp::as<double>(bondparam["dayCounter"]));
    QuantLib::BusinessDayConvention paymentConvention = QuantLib::Following;
    if(bondparam.containsElementNamed("paymentConvention") ) {
        paymentConvention = getBusinessDayConvention(Rcpp::as<double>(bondparam["paymentConvention"]));
    }
    double redemption = 100.0;
    if(bondparam.containsElementNamed("redemption") ) {
        redemption = Rcpp::as<double>(bondparam["redemption"]);
    }
    QuantLib::Date issueDate;
    if(bondparam.containsElementNamed("issueDate") ) {
        issueDate = Rcpp::as<QuantLib::Date>(bondparam["issueDate"]);
    }
    QuantLib::Calendar paymentCalendar;
    if(bondparam.containsElementNamed("paymentCalendar") ) {
        qlext::shared_ptr<QuantLib::Calendar> p = getCalendar(Rcpp::as<std::string>(bondparam["paymentCalendar"]));
        paymentCalendar = *p;
    }
    QuantLib::Period exCouponPeriod;
    if(bondparam.containsElementNamed("exCouponPeriod") ) {
        exCouponPeriod = QuantLib::Period(Rcpp::as<double>(bondparam["exCouponPeriod"]), QuantLib::Days);
    }
    QuantLib::Calendar exCouponCalendar;
    if(bondparam.containsElementNamed("exCouponCalendar") ) {
        qlext::shared_ptr<QuantLib::Calendar> p = getCalendar(Rcpp::as<std::string>(bondparam["exCouponCalendar"]));
        exCouponCalendar = *p;
    }
    QuantLib::BusinessDayConvention exCouponConvention = QuantLib::Unadjusted;
    if(bondparam.containsElementNamed("exCouponConvention") ) {
        exCouponConvention = getBusinessDayConvention(Rcpp::as<double>(bondparam["exCouponConvention"]));
    }
    bool exCouponEndOfMonth = false;
    if(bondparam.containsElementNamed("exCouponEndOfMonth") ) {
        exCouponEndOfMonth = (Rcpp::as<double>(bondparam["exCouponEndOfMonth"]) == 1) ? true : false;
    }

    QuantLib::Schedule schedule = getSchedule(scheduleparam);
    auto result = qlext::make_shared<QuantLib::FixedRateBond>(settlementDays, faceAmount, schedule, ratesVec,
                                                              accrualDayCounter, paymentConvention, redemption,
                                                              issueDate, paymentCalendar, exCouponPeriod,
                                                              exCouponCalendar, exCouponConvention, exCouponEndOfMonth);
    return result;
}

qlext::shared_ptr<QuantLib::YieldTermStructure> rebuildCurveFromZeroRates(std::vector<QuantLib::Date> dates,
                                                                          std::vector<double> zeros) {
    auto rebuilt_curve = qlext::make_shared<QuantLib::InterpolatedZeroCurve<QuantLib::LogLinear>>(dates, zeros,
                                                                                                  QuantLib::Actual365Fixed());
    return rebuilt_curve;
}

qlext::shared_ptr<QuantLib::YieldTermStructure> getFlatCurve(Rcpp::List curve) {
    QuantLib::Rate riskFreeRate = Rcpp::as<double>(curve["riskFreeRate"]);
    QuantLib::Date today(Rcpp::as<QuantLib::Date>(curve["todayDate"]));
    auto rRate = qlext::make_shared<QuantLib::SimpleQuote>(riskFreeRate);
    QuantLib::Settings::instance().evaluationDate() = today;
    return flatRate(today, rRate, QuantLib::Actual360());
}

qlext::shared_ptr<QuantLib::IborIndex> getIborIndex(Rcpp::List rparam, const QuantLib::Date today) {
    std::string type = Rcpp::as<std::string>(rparam["type"]);
    if (type == "USDLibor"){
        double riskFreeRate = Rcpp::as<double>(rparam["riskFreeRate"]);
        double period = Rcpp::as<double>(rparam["period"]);
        auto rRate = qlext::make_shared<QuantLib::SimpleQuote>(riskFreeRate);
        QuantLib::Settings::instance().evaluationDate() = today;
        QuantLib::Handle<QuantLib::YieldTermStructure> curve(flatRate(today, rRate, QuantLib::Actual360()));
        auto iindex = qlext::make_shared<QuantLib::USDLibor>(period * QuantLib::Months, curve);
        return iindex;
    }
    else return qlext::shared_ptr<QuantLib::IborIndex>();
}

// std::vector<double> getDoubleVector(SEXP vecSexp) {
//     if (::Rf_length(vecSexp) == 0) {
//         return(std::vector<double>());
//     } else {
//         return std::vector<double>( Rcpp::as<std::vector< double> >( Rcpp::NumericVector(vecSexp) ) );
//     }
// }

qlext::shared_ptr<QuantLib::YieldTermStructure> makeFlatCurve(const QuantLib::Date& today,
                                                              const qlext::shared_ptr<QuantLib::Quote>& forward,
                                                              const QuantLib::DayCounter& dc) {
    return qlext::make_shared<QuantLib::FlatForward>(today, QuantLib::Handle<QuantLib::Quote>(forward), dc);
}

qlext::shared_ptr<QuantLib::YieldTermStructure> flatRate(const QuantLib::Date& today,
                                                         const qlext::shared_ptr<QuantLib::Quote>& forward,
                                                         const QuantLib::DayCounter& dc) {
    return qlext::make_shared<QuantLib::FlatForward>(today, QuantLib::Handle<QuantLib::Quote>(forward), dc);
}

qlext::shared_ptr<QuantLib::BlackVolTermStructure> makeFlatVolatility(const QuantLib::Date& today,
                                                                      const qlext::shared_ptr<QuantLib::Quote>& vol,
                                                                      const QuantLib::DayCounter dc) {
    return qlext::make_shared<QuantLib::BlackConstantVol>(today, QuantLib::NullCalendar(), QuantLib::Handle<QuantLib::Quote>(vol), dc);
}

qlext::shared_ptr<QuantLib::BlackVolTermStructure> flatVol(const QuantLib::Date& today,
                                                           const qlext::shared_ptr<QuantLib::Quote>& vol,
                                                           const QuantLib::DayCounter& dc) {
    return qlext::make_shared<QuantLib::BlackConstantVol>(today, QuantLib::NullCalendar(), QuantLib::Handle<QuantLib::Quote>(vol), dc);
}

qlext::shared_ptr<QuantLib::GeneralizedBlackScholesProcess> makeProcess(const qlext::shared_ptr<QuantLib::Quote>& u,
                                                                        const qlext::shared_ptr<QuantLib::YieldTermStructure>& q,
                                                                        const qlext::shared_ptr<QuantLib::YieldTermStructure>& r,
                                                                        const qlext::shared_ptr<QuantLib::BlackVolTermStructure>& vol) {
    return qlext::make_shared<QuantLib::BlackScholesMertonProcess>(QuantLib::Handle<QuantLib::Quote>(u),
                                                                   QuantLib::Handle<QuantLib::YieldTermStructure>(q),
                                                                   QuantLib::Handle<QuantLib::YieldTermStructure>(r),
                                                                   QuantLib::Handle<QuantLib::BlackVolTermStructure>(vol));
}

// R uses dates indexed to Jan 1, 1970. RcppDate uses an internal Julian Date representation,
// but Quantlib uses the 'spreadsheet' format indexed to 1905 so we need to adjust
// int dateFromR(const RcppDate &d) {
//     return(d.getJDN() - RcppDate::Jan1970Offset + RcppDate::QLtoJan1970Offset);
// }

//static const unsigned int QLtoJan1970Offset = 25569;  	// Offset between R / Unix epoch

// // R and Rcpp::Date use the same 'days since epoch' representation; QL uses Excel style
// int dateFromR(const Rcpp::Date &d) {
//     static const unsigned int QLtoJan1970Offset = 25569;  	// Offset to R / Unix epoch
//     return(d.getDate() + QLtoJan1970Offset);
// }

QuantLib::DayCounter getDayCounter(const double n){
    if (n==0)
        return QuantLib::Actual360();
    else if (n==1)
        return QuantLib::Actual365Fixed();
    else if (n==2)
        return QuantLib::ActualActual(QuantLib::ActualActual::ISDA); // reasonable default for back compatibility
    else if (n==3)
        return QuantLib::Business252();
    else if (n==4)
        return QuantLib::OneDayCounter();
    else if (n==5)
        return QuantLib::SimpleDayCounter();
    else if (n==6)
        return QuantLib::Thirty360(QuantLib::Thirty360::BondBasis);  // reasonable default for back compatibility
    else if (n==7)
#if QL_HEX_VERSION >= 0x011600f0 && !defined(RQUANTLIB_USE_ACTUAL365NOLEAP)
        return QuantLib::Actual365Fixed(QuantLib::Actual365Fixed::NoLeap);
#else
        return QuantLib::Actual365NoLeap();
#endif
    else if (n==8)
        return QuantLib::ActualActual(QuantLib::ActualActual::ISMA);
    else if (n==9)
        return QuantLib::ActualActual(QuantLib::ActualActual::Bond);
    else if (n==10)
        return QuantLib::ActualActual(QuantLib::ActualActual::ISDA);
    else if (n==11)
        return QuantLib::ActualActual(QuantLib::ActualActual::Historical);
    else if (n==12)
        return QuantLib::ActualActual(QuantLib::ActualActual::AFB);
    else if (n==13)
        return QuantLib::ActualActual(QuantLib::ActualActual::Euro);
    else if (n==14)
        return QuantLib::Thirty360(QuantLib::Thirty360::USA);
    else if (n==15)
        return QuantLib::Thirty360(QuantLib::Thirty360::BondBasis);
    else if (n==16)
        return QuantLib::Thirty360(QuantLib::Thirty360::European);
    else if (n==17)
        return QuantLib::Thirty360(QuantLib::Thirty360::EurobondBasis);
    else if (n==18)
        return QuantLib::Thirty360(QuantLib::Thirty360::Italian);
    else if (n==19)
        return QuantLib::Thirty360(QuantLib::Thirty360::German);
    else
        // Stop on verbose error -- Do not silently default to the arbitrarily
        // last else statement because it can conceal bugs in user code.
        Rcpp::stop("Unknown option '%d'", n);
}

QuantLib::BusinessDayConvention getBusinessDayConvention(const double n){
    if (n==0)
        return QuantLib::Following;
    else if (n==1)
        return QuantLib::ModifiedFollowing;
    else if (n==2)
        return QuantLib::Preceding;
    else if (n==3)
        return QuantLib::ModifiedPreceding;
    else if (n==4)
        return QuantLib::Unadjusted;
    else if (n==5)
        return QuantLib::HalfMonthModifiedFollowing;
    else if (n==6)
        return QuantLib::Nearest;
    else
        return QuantLib::Unadjusted;
}

QuantLib::Compounding getCompounding(const double n){
    if (n==0)
        return QuantLib::Simple;
    else if (n==1)
        return QuantLib::Compounded;
    else if (n==2)
        return QuantLib::Continuous;
    else
        return QuantLib::SimpleThenCompounded;
}

QuantLib::Frequency getFrequency(const double n){

    if (n==-1)
        return QuantLib::NoFrequency;
    else if (n==0)
        return QuantLib::Once;
    else if (n==1)
        return QuantLib::Annual;
    else if (n==2)
        return QuantLib::Semiannual;
    else if (n==3)
        return QuantLib::EveryFourthMonth;
    else if (n==4)
        return QuantLib::Quarterly;
    else if (n==6)
        return QuantLib::Bimonthly;
    else if (n==12)
        return QuantLib::Monthly;
    else if (n==13)
        return QuantLib::EveryFourthWeek;
    else if (n==26)
        return QuantLib::Biweekly;
    else if (n==52)
        return QuantLib::Weekly;
    else if (n==365)
        return QuantLib::Daily;
    else
        return QuantLib::OtherFrequency;
}

QuantLib::Period periodByTimeUnit(int length, std::string unit){
    QuantLib::TimeUnit tu = QuantLib::Years;
    if (unit=="Days")
        tu = QuantLib::Days;
    if (unit=="Weeks")
        tu = QuantLib::Weeks;
    if (unit=="Months")
        tu = QuantLib::Months;
    return QuantLib::Period(length, tu);
}

QuantLib::TimeUnit getTimeUnit(const double n){
    if (n==0)
        return QuantLib::Days;
    else if (n==1)
        return QuantLib::Weeks;
    else if (n==2)
        return QuantLib::Months;
    else
        return QuantLib::Years;
}

QuantLib::DateGeneration::Rule getDateGenerationRule(const double n){
    if (n==0)
        return QuantLib::DateGeneration::Backward;
    else if (n==1)
        return QuantLib::DateGeneration::Forward;
    else if (n==2)
        return QuantLib::DateGeneration::Zero;
    else if (n==3)
        return QuantLib::DateGeneration::ThirdWednesday;
    else if (n==4)
        return QuantLib::DateGeneration::Twentieth;
    else if (n==5)
        return QuantLib::DateGeneration::TwentiethIMM;
    else if (n==6)
        return QuantLib::DateGeneration::OldCDS;
    else if (n==7)
        return QuantLib::DateGeneration::CDS;
    else
        return QuantLib::DateGeneration::TwentiethIMM;
}

qlext::shared_ptr<QuantLib::IborIndex> buildIborIndex(std::string type,
                                                      const QuantLib::Handle<QuantLib::YieldTermStructure>& iborStrc){
#if QL_HEX_VERSION >= 0x013500c0
    if (type == "EuriborSW") return qlext::make_shared<QuantLib::Euribor1W>(iborStrc);
    if (type == "Euribor1M") return qlext::make_shared<QuantLib::Euribor>(1*QuantLib::Months, iborStrc);
    if (type == "Euribor2M") return qlext::make_shared<QuantLib::Euribor>(2*QuantLib::Months, iborStrc);
    if (type == "Euribor2W") return qlext::make_shared<QuantLib::Euribor>(2*QuantLib::Months, iborStrc);
    if (type == "Euribor3M") return qlext::make_shared<QuantLib::Euribor>(3*QuantLib::Months, iborStrc);
    if (type == "Euribor3W") return qlext::make_shared<QuantLib::Euribor>(3*QuantLib::Months, iborStrc);
    if (type == "Euribor4M") return qlext::make_shared<QuantLib::Euribor>(4*QuantLib::Months, iborStrc);
    if (type == "Euribor5M") return qlext::make_shared<QuantLib::Euribor>(5*QuantLib::Months, iborStrc);
    if (type == "Euribor6M") return qlext::make_shared<QuantLib::Euribor>(6*QuantLib::Months, iborStrc);
    if (type == "Euribor7M") return qlext::make_shared<QuantLib::Euribor>(7*QuantLib::Months, iborStrc);
    if (type == "Euribor8M") return qlext::make_shared<QuantLib::Euribor>(8*QuantLib::Months, iborStrc);
    if (type == "Euribor9M") return qlext::make_shared<QuantLib::Euribor>(9*QuantLib::Months, iborStrc);
    if (type == "Euribor10M") return qlext::make_shared<QuantLib::Euribor>(10*QuantLib::Months, iborStrc);
    if (type == "Euribor11M") return qlext::make_shared<QuantLib::Euribor>(11*QuantLib::Months, iborStrc);
    if (type == "Euribor1Y")  return qlext::make_shared<QuantLib::Euribor>(1*QuantLib::Years, iborStrc);
#else
    if (type == "EuriborSW") return qlext::make_shared<QuantLib::EuriborSW>(iborStrc);
    if (type == "Euribor1M") return qlext::make_shared<QuantLib::Euribor1M>(iborStrc);
    if (type == "Euribor2M") return qlext::make_shared<QuantLib::Euribor2M>(iborStrc);
    if (type == "Euribor2W") return qlext::make_shared<QuantLib::Euribor2W>(iborStrc);
    if (type == "Euribor3M") return qlext::make_shared<QuantLib::Euribor3M>(iborStrc);
    if (type == "Euribor3W") return qlext::make_shared<QuantLib::Euribor3W>(iborStrc);
    if (type == "Euribor4M") return qlext::make_shared<QuantLib::Euribor4M>(iborStrc);
    if (type == "Euribor5M") return qlext::make_shared<QuantLib::Euribor5M>(iborStrc);
    if (type == "Euribor6M") return qlext::make_shared<QuantLib::Euribor6M>(iborStrc);
    if (type == "Euribor7M") return qlext::make_shared<QuantLib::Euribor7M>(iborStrc);
    if (type == "Euribor8M") return qlext::make_shared<QuantLib::Euribor8M>(iborStrc);
    if (type == "Euribor9M") return qlext::make_shared<QuantLib::Euribor9M>(iborStrc);
    if (type == "Euribor10M") return qlext::make_shared<QuantLib::Euribor10M>(iborStrc);
    if (type == "Euribor11M") return qlext::make_shared<QuantLib::Euribor11M>(iborStrc);
    if (type == "Euribor1Y") return qlext::make_shared<QuantLib::Euribor1Y>(iborStrc);
#endif
    return qlext::shared_ptr<QuantLib::IborIndex>();
}

Rcpp::DataFrame getCashFlowDataFrame(const QuantLib::Leg &bondCashFlow) {
    Rcpp::DateVector dates(bondCashFlow.size());
    Rcpp::NumericVector amount(bondCashFlow.size());

    for (unsigned int i = 0; i< bondCashFlow.size(); i++){
        QuantLib::Date d = bondCashFlow[i]->date();
        dates[i] = Rcpp::Date(d.month(), d.dayOfMonth(), d.year());
        amount[i] = bondCashFlow[i]->amount();
    }
    return Rcpp::DataFrame::create(Rcpp::Named("Date") = dates,
                                   Rcpp::Named("Amount") = amount);
}


QuantLib::DividendSchedule getDividendSchedule(Rcpp::DataFrame divScheDF) {

    QuantLib::DividendSchedule dividendSchedule;
    Rcpp::CharacterVector s0v = divScheDF[0];
    Rcpp::NumericVector n1v = divScheDF[1];
    Rcpp::NumericVector n2v = divScheDF[2];
    Rcpp::NumericVector n3v = divScheDF[3];
    int nrow = s0v.size();

    for (int row=0; row<nrow; row++){
        int type = (s0v[row] == "Fixed") ? 1 : 0; //  (table[row][0].getStringValue()=="Fixed") ? 1 : 0;
        double amount = n1v[row]; // table[row][1].getDoubleValue();
        double rate = n2v[row]; // table[row][2].getDoubleValue();
        Rcpp::Date rd = Rcpp::Date(n3v[row]);
        QuantLib::Date d(Rcpp::as<QuantLib::Date>(Rcpp::wrap(rd))); //table[row][3].getDateValue()));
        if (type==1) {
            dividendSchedule.push_back(qlext::make_shared<QuantLib::FixedDividend>(amount, d));
        } else {
            dividendSchedule.push_back(qlext::make_shared<QuantLib::FractionalDividend>(rate, amount, d));
        }
    }
    return dividendSchedule;
}

QuantLib::CallabilitySchedule getCallabilitySchedule(Rcpp::DataFrame callScheDF) {

    QuantLib::CallabilitySchedule callabilitySchedule;

    // QuantLib::Callability::Price triggers 'deprecated' under clang++-9
    // yet the new QuantLib::Bond::Price appeared only in QuantLib 1.17 so
    // it is a little nice to protect buildability under 1.16 with this
    // it also shortens the line a little below :)
#if QL_HEX_VERSION >= 0x011700f0
    typedef QuantLib::Bond::Price QlBondPrice;
#else
    typedef QuantLib::Callability::Price QlBondPrice;
#endif

    // RcppFrame rcppCallabilitySchedule(callabilityScheduleFrame);
    // std::vector<std::vector<ColDatum> > table = rcppCallabilitySchedule.getTableData();
    // int nrow = table.size();
    Rcpp::NumericVector n0v = callScheDF[0];
    Rcpp::CharacterVector s1v = callScheDF[1];
    Rcpp::NumericVector n2v = callScheDF[2];
    int nrow = n0v.size();
    for (int row=0; row<nrow; row++) {
        double price = n0v[row]; //table[row][0].getDoubleValue();
        int type = (s1v[row]=="P") ? 1 : 0;
        Rcpp::Date rd = Rcpp::Date(n2v[row]);
        QuantLib::Date d(Rcpp::as<QuantLib::Date>(Rcpp::wrap(rd)));
        if (type==1){
            callabilitySchedule.push_back(qlext::make_shared<QuantLib::Callability>(QlBondPrice(price, QlBondPrice::Clean), QuantLib::Callability::Put, d));
        } else {
            callabilitySchedule.push_back(qlext::make_shared<QuantLib::Callability>(QlBondPrice(price, QlBondPrice::Clean), QuantLib::Callability::Call, d));
        }
    }
    return callabilitySchedule;
}

QuantLib::Duration::Type getDurationType(const double n) {
    if (n==0)
        return QuantLib::Duration::Simple;
    else if (n==1)
        return QuantLib::Duration::Macaulay;
    else if (n==2)
        return QuantLib::Duration::Modified;
    else {
        Rcpp::stop(std::string("Invalid duration type ") + std::to_string(n));
    }
}

//' This function returns the QuantLib version string as encoded in the header
//' file \code{config.hpp} and determined at compilation time of the QuantLib library.
//'
//' @title Return the QuantLib version number
//' @return A character variable
//' @references \url{https://www.quantlib.org} for details on \code{QuantLib}.
//' @author Dirk Eddelbuettel
//' @examples
//'   getQuantLibVersion()
// [[Rcpp::export]]
std::string getQuantLibVersion() {
#ifdef QL_PACKAGE_VERSION
    return std::string(QL_PACKAGE_VERSION); //autotools
#else
    return std::string(PACKAGE_VERSION); //cmake
#endif
}

//' This function returns a named vector of boolean variables describing several
//' configuration options determined at compilation time of the QuantLib library.
//'
//' Not all of these features are used (yet) by RQuantLib.
//' @title Return configuration options of the QuantLib library
//' @return A named vector of logical variables
//' @references \url{https://www.quantlib.org} for details on \code{QuantLib}.
//' @author Dirk Eddelbuettel
//' @examples
//'   getQuantLibCapabilities()
// [[Rcpp::export]]
Rcpp::LogicalVector getQuantLibCapabilities() {
    bool hasSessions = false,        	// not (yet?) used by RQuantLib
        hasHighResolutionDate=false,    // supported as of RQuantLib 0.4.2
        hasNegativeRates=false;         // not explicitly supported or denied

#ifdef QL_ENABLE_SESSIONS
    hasSessions = true;
#endif

#ifdef QL_HIGH_RESOLUTION_DATE
    hasHighResolutionDate=true;
#endif

#ifdef QL_NEGATIVE_RATES
    hasNegativeRates=true;
#endif

    return Rcpp::LogicalVector::create(Rcpp::Named("sessions") = hasSessions,
                                       Rcpp::Named("intradayDate") = hasHighResolutionDate,
                                       Rcpp::Named("negativeRates") = hasNegativeRates);
}

QuantLib::Date getFutureDate(const QuantLib::Date today, double maturity) {
    // depending on the compile-time option, this is either intra-day or not
    #ifdef QL_HIGH_RESOLUTION_DATE

    // in minutes
    auto length = boost::posix_time::minutes(boost::uint64_t(maturity * 360 * 24 * 60));
    return QuantLib::Date{today.dateTime() + length}; // high-res time ctos

    #else

    int length  = int(maturity * 360 + 0.5); 		// FIXME: this could be better
    return QuantLib::Date{today + length};

    #endif
}

QuantLib::Date getFutureDate(const QuantLib::Date today,
                             Rcpp::Nullable<double> maturity,
                             Rcpp::Nullable<QuantLib::Date> exDate) {
    if (exDate.isUsable()) {
        return Rcpp::as<QuantLib::Date>(exDate);
    } else if (maturity.isUsable()) {
        double mat = Rcpp::as<double>(maturity);
        // depending on the compile-time option, this is either intra-day or not
        #ifdef QL_HIGH_RESOLUTION_DATE
            // in minutes
            auto length = boost::posix_time::minutes(boost::uint64_t(mat * 360 * 24 * 60));
            return QuantLib::Date{today.dateTime() + length}; // high-res time ctos
        #else
            int length  = int(mat * 360 + 0.5); 			  // FIXME: this could be better
            return QuantLib::Date{today + length};
        #endif
    } else {
        Rcpp::stop("Excactly one of 'maturity' or 'exDate' needs to be supplied and be non-null.");
        return QuantLib::Date(); // not reached
    }
}
