using Qdp.Foundation.Implementations;
using Qdp.Pricing.Base.Implementations;
using YLErp.BLL;
using YLErp.BLL.Calculation;
using YLErp.BLL.Calculation.V2;
using YLErp.BLL.Calculation.V2.Parameter;
using YLErp.Modules.CalculationModule;
using YLErp.Modules.ClientModule;
using YLErp.Modules.VolatilityModule;
using YLErp.QdpModule;

namespace YLErp.Modules.TQuoteModule
{
    /// <summary>
    /// 自定义手机报价
    /// </summary>
    public class CustomizedQuoteService
    {
        public static HandleResult<List<DateTime>> GetHolidaysBetween(DateTime startDate, DateTime endDate)
        {
            var result = new List<DateTime>();
            var days = (endDate - startDate).Days;
            var calendar = CalendarImpl.Get("chn");
            for (var i = 0; i < days; i++)
            {
                var date = startDate.AddDays(i);
                if (date >= endDate) { break; }
                if (calendar.IsHoliday(new Date(date)))
                {
                    result.Add(date);
                }
            }
            return new HandleResult<List<DateTime>>(result);
        }

        /// <summary>
        /// 
        /// </summary>
        public static CustomizedQuoteResult CustomizedQuoteV2(CustomizedQuoteRequest request, string userGroup = "")
        {
            if (request.MaturityDate < request.ValueDate)
            {
                return new CustomizedQuoteResult() { Info = "到期日小于估值日", StatusCode = -1 };
            }

            var qdpMarketId = Guid.NewGuid().ToString();
            var marketProxy = QdpMarketManager.Instance.GetPrebuiltMarketProxy(qdpMarketId);
            var valueDate = request.ValueDate;
            var maturityDate = request.MaturityDate;

            volatility bidVol = null, askVol = null;
            underlying_manager underlying = null;
            Variety variety = null;

            using (var db = new YLContext())
            {
                underlying = DataCacheProvider.GetUnderlyingDataSource().GetData(request.UnderlyingCode);
                if (underlying != null)
                {
                    variety = db.variety.FirstOrDefault(x => x.VarietyCode != null && x.id == underlying.UnderlyingTypeId);
                    if (request.BidVol <= 0 && request.AskVol <= 0)
                    {
                        underlying.QuotationDate = request.ValueDate;
                        if (PS.Config.ErpElement.SkewMapVolConstruction)
                        {
                            bidVol = askVol = VolatilityHelper.GetVol(DateTime.Today, "交易", underlying.UnderlyingCode, userGroup ?? "");
                        }
                        else
                        {
                            bidVol = VolatilityHelper.GetVol(DateTime.Today, "报价Bid", underlying.UnderlyingCode, userGroup ?? "");
                            askVol = VolatilityHelper.GetVol(DateTime.Today, "报价Ask", underlying.UnderlyingCode, userGroup ?? "");
                        }
                    }
                }
            }

            //如果用户未指定标的，构造一个虚拟标的
            if (string.IsNullOrWhiteSpace(request.UnderlyingCode))
            {
                underlying = new underlying_manager()
                {
                    UnderlyingCode = "dummy_code",
                    UnderlyingInstrumentType = "CommodityFutures",
                    QuotationDate = request.ValueDate,
                    Price = request.SpotPrice,
                    PrevClosePrice = request.SpotPrice,
                    MaturityDate = request.MaturityDate
                };
            }

            //根据用户设置的bid/ask天数调整规则来分别调整到期日
            //TODO: bidMaturityShift和askMaturityShift应该从某数据库表读取
            var bidMaturityShift = 0;
            var askMaturityShift = 0;
            var otherInfo = "";
            var client_param = ClientPricingParamService.GetPricingParam(request.ValueDate.Date, request.MaturityDate.Date);
            if (client_param != null)
            {
                askMaturityShift = client_param.ask_tuning_day ?? 0;
                bidMaturityShift = client_param.bid_tuning_day ?? 0;
                otherInfo = client_param.ToJson();//$"ask到期日偏离{askMaturityShift}天,bid到期日偏离{bidMaturityShift}天";
            }
            var dayCount = CalculatorHelper.GetTradeDayCount();
            var bidMaturityDate = QdpCalendarHelper.ShiftDate(maturityDate, dayCount, bidMaturityShift).DateTime;
            var askMaturityDate = QdpCalendarHelper.ShiftDate(maturityDate, dayCount, askMaturityShift).DateTime;

            if (underlying == null)
            {
                return null;
            }

            // 如果未传入最新价格，则使用系统里的最新价格; 如果未传入无风险利率，则使用系统里的无风险利率
            var spotPrice = (request.SpotPrice <= 0) ? (underlying.Price ?? 0) : request.SpotPrice;
            var riskFreeRate = (request.RiskFreeRate <= 0) ? (valuedateBLL.RiskFreeRate / 100.0) : request.RiskFreeRate;
            var strike = (request.Strike <= 0) ? spotPrice : request.Strike;

            //使用全局的DiscountCurve以提高计算效率
            var discountCurveName = Guid.NewGuid().ToString();
            var discountCurve = CalculatorHelper.CreateConstantRiskFreeCurve(discountCurveName, riskFreeRate);
            marketProxy.AddYieldCurve(discountCurveName, valueDate, discountCurve);

            var trade = new trade()
            {
                TradeType = "香草期权",
                TradeDate = request.ValueDate,
                ExerciseMode = request.Exercise,
                Strike = strike,
                Notional = request.Notional
            };

            var parameter = new VanillaOptionParameter()
            {
                ValueDate = request.ValueDate,
                DiscountCurveName = discountCurveName,
                SpotPrices = new Dictionary<string, double>() { { underlying.UnderlyingCode, spotPrice } },
                HasNightMarket = variety.HasNightMarket,
                PreciseTimeMode = request.commodityFuturesPreciseTimeMode
            };

            trade.OptionType = "看涨";
            trade.MaturityDate = bidMaturityDate;
            trade.ExerciseDate = bidMaturityDate;
            parameter.Volatility =
                bidVol == null ?
                request.BidVol :
                VolatilityHelper.GetInterpolatedVol(
                    volConstructionType: PS.Config.ErpElement.SkewMapVolConstruction ? VolConstructionType.SkewMap : VolConstructionType.Normal,
                    volSurface: bidVol,
                    valueDate: valueDate,
                    underlyingCode: underlying.UnderlyingCode,
                    exerciseDate: bidMaturityDate,
                    strike: strike,
                    isBuy: true,
                    isCall: true,
                    spotPrice: spotPrice,
                    isMoneynessOption: false);
            var callBidResult = ValueCalculator.CalculateTradeValue(qdpMarketId, trade, underlying, parameter);

            trade.OptionType = "看跌";
            parameter.Volatility =
                bidVol == null ?
                request.BidVol :
                VolatilityHelper.GetInterpolatedVol(
                    volConstructionType: PS.Config.ErpElement.SkewMapVolConstruction ? VolConstructionType.SkewMap : VolConstructionType.Normal,
                    volSurface: bidVol,
                    valueDate: valueDate,
                    underlyingCode: underlying.UnderlyingCode,
                    exerciseDate: bidMaturityDate,
                    strike: strike,
                    isBuy: true,
                    isCall: false,
                    spotPrice: spotPrice,
                    isMoneynessOption: false);
            var putBidResult = ValueCalculator.CalculateTradeValue(qdpMarketId, trade, underlying, parameter);

            trade.OptionType = "看涨";
            trade.MaturityDate = askMaturityDate;
            trade.ExerciseDate = askMaturityDate;
            parameter.Volatility =
                askVol == null ?
                request.AskVol :
                VolatilityHelper.GetInterpolatedVol(
                    volConstructionType: PS.Config.ErpElement.SkewMapVolConstruction ? VolConstructionType.SkewMap : VolConstructionType.Normal,
                    volSurface: askVol,
                    valueDate: valueDate,
                    underlyingCode: underlying.UnderlyingCode,
                    exerciseDate: askMaturityDate,
                    strike: strike,
                    isBuy: false,
                    isCall: true,
                    spotPrice: spotPrice,
                    isMoneynessOption: false);
            var callAskResult = ValueCalculator.CalculateTradeValue(qdpMarketId, trade, underlying, parameter);

            trade.OptionType = "看跌";
            parameter.Volatility =
                askVol == null ?
                request.AskVol :
                VolatilityHelper.GetInterpolatedVol(
                    volConstructionType: PS.Config.ErpElement.SkewMapVolConstruction ? VolConstructionType.SkewMap : VolConstructionType.Normal,
                    volSurface: askVol,
                    valueDate: valueDate,
                    underlyingCode: underlying.UnderlyingCode,
                    exerciseDate: askMaturityDate,
                    strike: strike,
                    isBuy: false,
                    isCall: false,
                    spotPrice: spotPrice,
                    isMoneynessOption: false);
            var putAskResult = ValueCalculator.CalculateTradeValue(qdpMarketId, trade, underlying, parameter);

            var valueResult = new CustomizedQuoteResult()
            {
                CallAskPrice = callAskResult.Pv / request.Notional,
                CallBidPrice = callBidResult.Pv / request.Notional,
                Strike = strike,
                PutAskPrice = putAskResult.Pv / request.Notional,
                PutBidPrice = putBidResult.Pv / request.Notional,
                BidVol = callBidResult.Vol,
                AskVol = callAskResult.Vol,
                RiskFreeRate = riskFreeRate
            };

            valueResult.LatestPrice = underlying.Price.Value;
            if (underlying.PrevClosePrice.HasValue && underlying.PrevClosePrice.Value > 0.0)
            {
                valueResult.Change = underlying.Price.Value - underlying.PrevClosePrice.Value;
                valueResult.ChangePercent = valueResult.Change / underlying.PrevClosePrice.Value;
            }
            else
            {
                valueResult.Change = 0.0;
                valueResult.ChangePercent = 0.0;
            }

            QdpMarketManager.Instance.RemovePrebuiltMarketProxy(qdpMarketId);
            return valueResult;
        }

        /// <summary>
        /// 
        /// </summary>
        public static double Pricing(OptionStrategyCodeParts part, string userGroup)
        {
            var valueDate = DateTime.Today;
            var maturityDate = QdpHelper.getMaturityDate(valueDate, part.Maturity);
            var exercisType = "European";

            var underlying = DataCacheProvider.GetUnderlyingDataSource().GetData(part.UnderlyingCode);

            if (underlying == null)
            {
                throw new Exception("未找到标的" + part.UnderlyingCode);
            }

            var variety = DataCacheProvider.GetVarietyDataSource().GetData(underlying.UnderlyingTypeId);

            if (variety == null)
            {
                throw new Exception("未找到标的品种" + underlying.UnderlyingType);
            }

            var vol = VolatilityHelper.GetVol(DateTime.Today, part.IsSell ? "报价Bid" : "报价Ask", underlying.UnderlyingCode, userGroup);

            if (vol == null)
            {
                throw new Exception("未找到波动率曲面");
            }

            var riskFreeRate = valuedateBLL.RiskFreeRate / 100.0;

            using (var mp = new MarketProxy(valueDate, riskFreeRate))
            {
                var volsurfaceName = mp.SaveVolSurface(vol);

                var tdParam = new VanillaOptionTradeParam
                {
                    underlyingTickers = new[] { part.UnderlyingCode },
                    underlyingInstrumentType = underlying.UnderlyingInstrumentType,
                    strike = part.Strike,
                    startDate = valueDate,
                    endDate = maturityDate,
                    optionType = QdpConverter.ConvertOptionType(part.OptionType),
                    exerciseType = exercisType,
                    initialSpotPrice = underlying.Price ?? 0,
                    notional = part.Notional,
                    volSurfaceNames = new[] { volsurfaceName },
                    riskFreeRate = riskFreeRate,
                    buysell = part.IsSell ? "Sell" : "Buy",
                    exerciseDate = maturityDate,
                    hasNightMarket = variety.HasNightMarket,
                    preciseTimeMode = true,
                    participationRate = 1.0,
                    principalRate = 0.0,
                    isAnnualized = false,
                    annualizedFactor = 1.0
                };

                var result = TradeRiskCalcUtil.GetVanillaOptionValue(mp, new OptionCalcParam<VanillaOptionTradeParam>(tdParam)
                {
                    spotPrices = new[] { underlying.Price ?? 0 },
                    pricingRequest = PricingRequest.Pv
                });

                return result.Pv;
            }
        }
    }
}