using Qdp.Foundation.Implementations;
using YLErp.Modules.CalculationModule;
using YLErp.Modules.TradeModule;
using YLErp.QdpModule;

namespace YLErp.Modules.CalcModules
{
    /// <summary>
    /// 区间累计期权计算测试
    /// </summary>
    [TestClass]
    public class RangeAccOptionCalcTest : UnitTestBase
    {
        [TestMethod("区间累计,行权错误")]
        public void BarrierOptionCalcTest1()
        {
            var data = DeserializeFormData<OtcOptionTradeFullFormData>("TradeJson\\RangeAccTrade1.txt");

            Assert.IsTrue(data.trades != null && data.trades.Any());

            var tdfull = data.trades.First();
            var tdconv = TradeConverter.ConvertOptionTrade(tdfull);

            //var tdCash = new TradeCashService(CurUser).ExecutionTradeCash(td,388.44);
            //Assert.IsNotNull(tdCash);

            //SettlementCalcCommons.SetPossibleExec(r, td, r.FinalPrice ?? 0, true);

            new TradeRangeAccrualService(GetOptUser()).CheckRangeAccrualBonus(tdconv, tdconv.trade_rangeaccrual, new DateTime(2021, 5, 28), 388.44);

            Console.WriteLine("haole");
        }

        [TestMethod("区间累计,计算测试")]
        public void BarrierOptionCalcTest2()
        {
            var startDate = new DateTime(2022, 7, 1);
            var endDate = new DateTime(2022, 9, 1);
            var tradeId = Guid.NewGuid().ToString("N");

            var dayCount = QdpCalendarHelper.GetWorkDayCount(startDate, endDate) + 1;

            var tradeParam = new RangeAccrualTradeParam
            {
                annualizedFactor = 1,
                bonusRate = 0.1,
                buysell = "买入",
                callput = Qdp.Pricing.Base.Enums.OptionType.Call,
                dividendRate = 0,
                dividends = null,
                endDate = endDate,
                exerciseDate = endDate,
                exerciseType = ConsGlobal.ExerciseMode.European,

                hasNightMarket = false,
                initialSpotPrice = 100,
                isAnnualized = false,
                isForwardTrade = false,
                isMoneynessOption = false,
                lowerRange = 80,
                notional = 1,
                observationDateStr = null,
                originalExerciseDate = endDate,
                participationRate = 1,
                preciseTimeMode = true,
                principalRate = 0,
                riskFreeRate = 0,
                settlementDate = endDate,
                startDate = startDate,
                strike = 100,
                timeToMaturityDays = double.NaN,
                tradeDate = startDate,
                tradeId = tradeId,
                tradeNumber = tradeId,
                underlyingInstrumentType = ConsGlobal.InstrumentType.CommodityFutures,
                underlyingTickers = new[] { "A00" },
                upperRange = 100,
                volSurfaceNames = new string[] { tradeId },

                fixings = "2022-07-01,90;2022-07-04,90;2022-07-05,90;2022-07-06,90;2022-07-07,90",
                happenedObservations = new List<autocall_observation>()
            };

            DateTime dt;
            var paymentAmount = 100 * 0.1 / dayCount;
            for (dt = new DateTime(2022, 7, 1); dt.Day < 8; dt = dt.AddDays(1))
            {
                tradeParam.happenedObservations.Add(new autocall_observation
                {
                    StartDate = dt,
                    EndDate = dt,
                    CouponRate = 0.1,
                    StockEqvNotional = 100,
                    PaymentAmount = paymentAmount,
                    PaymentDate = dt
                });
            }

            var calcParam = new OptionCalcParam<RangeAccrualTradeParam>(tradeParam)
            {
                CalcDeltaT1 = false,
                calcScenario = Enums.CalcScenarioEnum.RealtimeRisk,
                engineName = null,
                pricingRequest = Qdp.Pricing.Base.Implementations.PricingRequest.Pv,
                quadratureFastMode = false,
                spotPrices = new double[] { 90 }
            };

            using var marketProxy = new MarketProxy(new DateTime(2022, 7, 8), 0);
            marketProxy.SetStockPrice("A00", 90);
            marketProxy.SetVolSurface(tradeId, 0.3);

            var result1 = TradeRiskCalcUtil.GetRangeAccrualValue(marketProxy, calcParam);

            tradeParam.fixings += ";2022-07-08,90";
            dt = new DateTime(2022, 7, 8);
            tradeParam.happenedObservations.Add(new autocall_observation
            {
                StartDate = dt,
                EndDate = dt,
                CouponRate = 0.1,
                StockEqvNotional = 100,
                PaymentAmount = paymentAmount,
                PaymentDate = dt
            });
            var result2 = TradeRiskCalcUtil.GetRangeAccrualValue(marketProxy, calcParam);

            Assert.AreEqual(result1.Pv, result2.Pv, 1e-4);
        }
    }
}