#include "binomial.h"
#include <iostream>
#include <cmath>






BinomialTree::BinomialTree(long double price,
                           long double vol,
                           int _n,
                           long double _tstep)
   : n(_n), S(price), volatility(vol), tstep(_tstep)
{
   tfin = n * tstep;

   upfactor = exp(volatility*sqrt(tstep));

   tree = new BinomialTree::Node * [n];
   for( int i = 0; i < n; i++ )
      tree[i] = new BinomialTree::Node [i+1] ;
   tree[0][0].price = S;
   tree[0][0].time = 0.0;


   long double currtime = 0.0;
   for( int i = 1; i < n; i++ )
   {
      BinomialTree::Node * currnode = tree[i];
      currtime += tstep;
      for( int j = 0; j <= i; j++, currnode++ )
      {
               // the node at ith level and jlocation from the bottom
               // is highnode of i-1,j-1 or low node of i-1,j or both
         if(!j)
         {
            currnode->price = tree[i-1][j].price/upfactor ;
            currnode->time = currtime;
         }
         else
         {
            currnode->price = tree[i-1][j-1].price*upfactor ;
            currnode->time = currtime;
         }
      }
   }
}







long double BinomialTree::getValue(long double K, long double R)
{
   long double discountfactor = exp(-R*tstep);
   return getValue(0, 0, K, discountfactor);
}




long double BinomialTree::getValue(int level, int node, long double K, long double df)
{
   if(level == (n-1))
      return tree[level][node].optionvalue = (K < tree[level][node].price) ?
         (tree[level][node].price - K) : 0.0;
   else
      return tree[level][node].optionvalue = 0.5*df*(getValue(level+1, node+1, K, df) +
                                                      getValue(level+1, node, K, df));
}







void BinomialTree::print()
{
   for(  int i = 0; i < n; i++ )
   {
      for( int j = 0; j <= i; j++ )
      {
         std::cout << "[" << tree[i][j].price << "," << tree[i][j].time << "," <<
            tree[i][j].optionvalue << "]\t";
      }
      std::cout << std::endl;
   }
}