using Qdp.ComputeService.Data.CommonModels.ValuationParams.Equity;
using Qdp.ComputeServiceV2.Data.CommonModels.TradeInfos.Options;
using Qdp.Pricing.Base.Enums;
using Qdp.Pricing.Base.Implementations;
using Qdp.Pricing.Base.Interfaces;
using Qdp.Pricing.Library.Options.Products.Asian;
using YLErp.BLL.Calculation.Engine;
using YLErp.Modules.CalculationModule;
using YLErp.QdpModule;

namespace YLErp.Modules.CalcModules
{
    /// <summary>
    /// 亚式期权计算测试
    /// </summary>
    [TestClass]
    public class AisanOptionCalcTest : UnitTestBase
    {
        [TestMethod("亚式期权计算测试")]
        public void AisianOptionCalcTest1()
        {
            var param = new AsianOptionTradeParam
            {
                annualizedFactor = 1,
                averagingPeriodStartDate = new Qdp.Foundation.Implementations.Date(2022, 2, 28),
                buysell = "买入",
                callput = OptionType.Put,
                dividendRate = 0.03,
                dividends = null,
                endDate = new Qdp.Foundation.Implementations.Date(2022, 3, 28),
                exerciseDate = new Qdp.Foundation.Implementations.Date(2022, 3, 28),
                exerciseType = "European",
                fixings = "2022-02-28,17690.0;2022-03-01,17535.0;2022-03-02,17565.0;2022-03-03,17470.0;2022-03-04,17465.0;2022-03-07,17765.0;2022-03-08,17580.0;2022-03-09,17770.0;2022-03-10,18000.0;2022-03-11,17735.0;2022-03-14,17460.0;2022-03-15,16910.0",
                hasNightMarket = false,
                initialSpotPrice = 17375,
                isAnnualized = false,
                isForwardTrade = false,
                isMoneynessOption = false,
                notional = 50,
                observationDateStr = null,
                optionType = OptionType.Put,
                participationRate = 1,
                payoffType = "EnhancedArithmeticAverage",
                preciseTimeMode = false,
                principalRate = 0,
                riskFreeRate = 0.03,
                settlementDate = new Qdp.Foundation.Implementations.Date(2022, 3, 28),
                startDate = new Qdp.Foundation.Implementations.Date(2022, 2, 28),
                strike = 21610,
                strikeGearingFactor = 1,
                strikeStyle = "Fixed",
                timeToMaturityDays = double.NaN,
                tradeDate = new Qdp.Foundation.Implementations.Date(2022, 2, 28),
                tradeId = "11111",
                underlyingInstrumentType = ConsGlobal.InstrumentType.CommodityFutures,
                underlyingTickers = new[] { "ceshi_biaodi" },
                volSurfaceNames = new[] { "ceshi_bodonglv" }
            };

            var calcParam = new OptionCalcParam<AsianOptionTradeParam>(param)
            {
                pricingRequest = PricingRequest.Pv | PricingRequest.Delta,
                calcScenario = Enums.CalcScenarioEnum.RealtimeRisk,
                spotPrices = new[] { 16910d }
            };

            using var m = new MarketProxy(new DateTime(2022, 3, 15), 0.03);
            m.SetStockPrice("ceshi_biaodi", 16910d);
            var volatility = QdpVolHelper.GetDefaultVolatility(0.45);
            m.SetVolSurface("ceshi_bodonglv", volatility);
            var result = GetAsianOptionValue(m, calcParam, out var optionTrade1);
            Console.WriteLine($"{result.Pv} -- {result.Delta}");

            m.SetStockPrice("ceshi_biaodi", 16900d);
            var result2 = GetAsianOptionValue(m, calcParam, out var optionTrade2);
            Console.WriteLine($"{result2.Pv} -- {result2.Delta}");
            Assert.AreEqual(Math.Abs(result2.Pv - result.Pv), Math.Abs(result.Delta) * 10, 0.01);

            param.fixings = "2022-02-28,17690.0;2022-03-01,17535.0;2022-03-02,17565.0;2022-03-03,17470.0;2022-03-04,17465.0;2022-03-07,17765.0;2022-03-08,17580.0;2022-03-09,17770.0;2022-03-10,18000.0;2022-03-11,17735.0;2022-03-14,17460.0;2022-03-15,16900.0";//

            var result3 = GetAsianOptionValue(m, calcParam, out var optionTrade3);

            Console.WriteLine($"{result3.Pv} -- {result3.Delta}");

            Assert.AreEqual(Math.Abs(result3.Pv - result.Pv), Math.Abs(result.Delta) * 10, 0.01);
        }

        public static IPricingResult GetAsianOptionValue(MarketProxy marketProxy
            , OptionCalcParam<AsianOptionTradeParam> calcParam
            , out AsianOptionTrade optionTrade)
        {
            optionTrade = QdpTradeBuilder.GetAsianOptionTrade(calcParam.TradeParam);

            var parameters = new OptionValuationParameters(marketProxy.DiscountCurveName ?? MarketProxy.ConstantZeroCurve,
                    MarketProxy.ConstantZeroCurve, calcParam.volSurfaceNames[0], calcParam.underlyingTickers[0]);

            var option = optionTrade.Instrument as AsianOption;
            var factory = OptionEngineFactory.GetEngineFactory("AsianOption");
            var engine = factory.GetEngine(calcParam.engineName, option.Exercise, calcParam.TradeParam.payoffType, option, calcParam.TradeParam.strikeStyle);
            var pricingRequest = calcParam.pricingRequest;
            if (option.AsianType == AsianType.EnhancedArithmeticAverage)
            {
                pricingRequest = QdpPricingRequest.UnionBaiscGreeks(calcParam.pricingRequest);
            }

            return optionTrade.CalculateRisks(marketProxy.QdpMarket, pricingRequest, engine, parameters);
        }

        [TestMethod("亚式期权计算测试2")]
        public void AisianOptionCalcTest2()
        {
            var startDate = new DateTime(2019, 7, 22);
            var endDate = startDate.AddMonths(9);
            var observationDateStr = new StringBuilder(3000);
            for (var dt = startDate; dt <= endDate; dt = dt.AddDays(1))
            {
                observationDateStr.Append(dt.ToString("yyyy-MM-dd")).Append(',');
            }
            observationDateStr.Remove(observationDateStr.Length - 1, 1);
            var param = new AsianOptionTradeParam
            {
                annualizedFactor = 1,
                averagingPeriodStartDate = startDate,
                buysell = "买入",
                callput = OptionType.Call,
                dividendRate = 0.05,
                dividends = null,
                endDate = endDate,
                exerciseDate = endDate,
                exerciseType = "European",
                fixings = "2019-07-22,100",
                hasNightMarket = false,
                initialSpotPrice = 100,
                isAnnualized = false,
                isForwardTrade = false,
                isMoneynessOption = false,
                notional = 1,
                observationDateStr = null,//observationDateStr.ToString(),
                optionType = OptionType.Call,
                participationRate = 1,
                payoffType = "ArithmeticAverage",
                preciseTimeMode = false,
                principalRate = 0,
                riskFreeRate = 0.1,
                settlementDate = null,
                startDate = startDate,
                strike = 100,
                strikeGearingFactor = 1,
                strikeStyle = "Fixed",
                timeToMaturityDays = double.NaN,
                tradeDate = startDate,
                tradeId = "11111",
                underlyingInstrumentType = ConsGlobal.InstrumentType.Stock,
                underlyingTickers = new[] { "ceshi_biaodi" },
                volSurfaceNames = new[] { "ceshi_bodonglv" }
            };

            var calcParam = new OptionCalcParam<AsianOptionTradeParam>(param)
            {
                pricingRequest = PricingRequest.Pv,
                calcScenario = Enums.CalcScenarioEnum.RealtimeRisk,
                spotPrices = new[] { 100d }
            };

            using var m = new MarketProxy(startDate, 0.1);
            m.SetStockPrice("ceshi_biaodi", 100d);
            var volatility = QdpVolHelper.GetDefaultVolatility(0.15);
            m.SetVolSurface("ceshi_bodonglv", volatility);
            var result = GetAsianOptionValue(m, calcParam, out var optionTrade1);
            Console.WriteLine($"{result.Pv}");
        }

        //国信金阳:API是 9.53
        [TestMethod("(国信金阳)亚式期权计算测试")]
        public void AisianOptionCalcTestGuoXin()
        {
            var startDate = new Qdp.Foundation.Implementations.Date(2022, 8, 31);
            var exerciseDate = new Qdp.Foundation.Implementations.Date(2022, 9, 30);

            var valueDate = new DateTime(2022, 9, 6);

            var td = new trade
            {
                BuySell = "买入",
                AnnualizeFactor = 1,
                OptionType = "看跌",
                ExerciseMode = "European",

                StartDate = startDate,
                TradeDate = startDate,

                ExerciseDate = exerciseDate,
                SettlementDate = exerciseDate,

                Notional = 1,
                InitialSpotPrice = 23190,
                Strike = 23380,

                NoRiskRate = 0,
                DividendRate = 0,

                IsAnnualized = false,
                IsMoneynessOption = null,

                UnderlyingCode = "LH2301",
                UnderlyingInstrumentType = ConsGlobal.InstrumentType.CommodityFutures,

                TradeType = "亚式期权",
                trade_asian_option = new trade_asian_option
                {
                    AveragingPeriodStartDate = new DateTime(2022, 9, 1),
                    StrikeType = "Fixed",
                    PayoffType = "EnhancedArithmeticAverage",
                    Fixings = "2022-09-01,23285.0;2022-09-02,23025;2022-09-05,23380.0",
                    StrikeGearingFactor = 1,
                    ObservationDates = null,
                }
            };

            var creq = new OptionValueCalcRequest(0)
            {
                calcDeltaT1 = false,
                calcScenario = Enums.CalcScenarioEnum.RealtimeRisk,
                correlations = null,
                engineName = null,
                fixings = td.trade_asian_option.Fixings,
                isEodCalc = false,
                maturityShift = 0,
                preciseTimeMode = false,
                quadratureFastMode = false,
                pricingRequest = PricingRequest.Pv | PricingRequest.Delta,
                spotPrices = new[] { 23190d },
                timeToMaturityDays = double.NaN,
                vols = new[] { 0.25 }
            };

            void outputResult(TradeValueResult mr)
            {
                var dlots = mr.Delta * 312 / 16;
                var tdays = mr.PricingT * 244;
                Console.WriteLine($"{tdays} -- {mr.Pv} -- {mr.Delta} -- {dlots}");
            }

            var resultA1 = OptionCalculatorV2.GetOptionValueResult(valueDate, td, creq, out _);
            outputResult(resultA1);

            creq.timeToMaturityDays = 18;
            var result = OptionCalculatorV2.GetOptionValueResult(valueDate, td, creq, out _);
            outputResult(result);

            Assert.AreEqual(resultA1.Delta, result.Delta, 1e-4);
        }
    }
}