using YLErp.Models;

namespace YLErp.QdpModule
{
    /// <summary>
    /// 波动率曲面向量
    /// </summary>
    public class VolSurfaceVector : VolSurfaceVectorBase
    {
        /// <summary>
        /// a vector European call prices gotten from the market for the same underlying asset
        /// </summary>
        public double[,] vols { get; set; }

        /// <summary>
        /// 
        /// </summary>
        /// <param name="volTable"></param>
        /// <param name="addVol">加点值或加点比例</param>
        /// <param name="isAddVolPercent"></param>
        public static VolSurfaceVector Create(IEnumerable<SingleVol> volTable, double addVol = 0, bool isAddVolPercent = true)
        {
            if (isAddVolPercent)
            {
                addVol += 1;
            }

            var dic = new Dictionary<string, SingleVol>(StringComparer.OrdinalIgnoreCase);

            InnerParse(volTable, out var expires, out var strikes, dic);

            var vols = new double[expires.Length, strikes.Length];

            for (var i = 0; i < expires.Length; i++)
            {
                var expire = expires[i];
                for (int j = 0; j < strikes.Length; j++)
                {
                    var key = string.Concat(strikes[j].ToString("F"), "^", expire);
                    if (dic.TryGetValue(key, out var vol))
                    {
                        vols[i, j] = isAddVolPercent ? addVol * vol.Vol : addVol + vol.Vol;
                    }
                }
            }

            return new VolSurfaceVector
            {
                strikes = strikes,
                expires = expires,
                vols = vols
            };
        }
    }
}