using Dapper;
using Org.BouncyCastle.Asn1.Mozilla;
using Org.BouncyCastle.Ocsp;
using Qdp.Foundation.Implementations;
using System;
using System.Collections.Generic;
using System.Data.Common;
using System.Linq;
using System.Text;
using System.Threading.Tasks;
using YLErp.Abstract.DataProviders;
using YLErp.DBModels;
using YLErp.Model;
using YLErp.Modules.CalculationModule;
using YLErp.Modules.DataProviderModule;
using YLErp.Modules.MarketRiskMoudule.Dto;

namespace YLErp.Modules.EodModule
{
    /// <summary>
    /// 国联民生 希腊字母计算
    /// </summary>
    public class GLMSGreeksHandleService
    {
        private readonly List<string> calcInstrumentTypes = new List<string>() { ConsGlobal.InstrumentType.TBonds, ConsGlobal.InstrumentType.CreditBonds, ConsGlobal.InstrumentType.OtherBonds,
            ConsGlobal.InstrumentType.RateYield,ConsGlobal.InstrumentType.BondIndex,ConsGlobal.InstrumentType.TBFutures };

        private readonly List<string> instrumentBondsTypes = new List<string>() { ConsGlobal.InstrumentType.TBonds, ConsGlobal.InstrumentType.CreditBonds, ConsGlobal.InstrumentType.OtherBonds };

        Dictionary<string, double?> _pDic = new Dictionary<string, double?>();
        Dictionary<string, double?> _dDic = new Dictionary<string, double?>();
        Dictionary<string, double?> _cDic = new Dictionary<string, double?>();
        Dictionary<string, double?> _ytmDic = new Dictionary<string, double?>();
        //期货对应的债券代码
        Dictionary<string, string> _TFeaturesBondCodeDic = new Dictionary<string, string>();


        public void InitData(DateTime valueDate,List<string> underlyingCodes)
        {
            var umDatas = DataCacheProvider.GetUnderlyingDataSource().AsQueryable().Where(p => underlyingCodes.Contains(p.UnderlyingCode) && calcInstrumentTypes.Contains(p.UnderlyingInstrumentType)).ToList();
            if (umDatas == null || umDatas.Count == 0)
            {
                return;
            }

            var eodPriceProvier = new EodPriceProvider(valueDate);
            eodPriceProvier.Initialize(underlyingCodes);
            underlyingCodes.ForEach(e => {
                _pDic.Add(e, eodPriceProvier.GetPrice(e, SettlementTypeEnum.ClosePrice));
            });
            using var db = DbContextFactory.GetYLDbContext();
            var conn = db.Database.GetDbConnection();
            var bondsUmCodes = umDatas.Where(p => instrumentBondsTypes.Contains(p.UnderlyingInstrumentType)).Select(p => p.UnderlyingCode).Distinct().ToList();
            if (bondsUmCodes != null && bondsUmCodes.Count > 0)
            {
                var datas = db.china_bond_valuation.AsNoTracking().Where(p => p.valuation_date == valueDate && bondsUmCodes.Contains(p.bond_id)).Select(p => new
                {
                    p.bond_id,
                    p.modi_dura,
                    p.convexity,
                    p.yield
                }).ToList();
                if (datas != null && datas.Count > 0)
                {
                    foreach (var item in datas)
                    {
                        _dDic.Add(item.bond_id, item.modi_dura != null ? (double)item.modi_dura : null);
                        _cDic.Add(item.bond_id, item.convexity != null ? (double)item.convexity : null);
                        _ytmDic.Add(item.bond_id, item.yield != null ? (double)item.yield : null);
                    }
                }
            }

            var bondIndexUmInnerCodes = umDatas.Where(p => ConsGlobal.InstrumentType.BondIndex.Equals(p.UnderlyingInstrumentType)).Select(p => p.InnerCode??0).Distinct().ToList();
            if (bondIndexUmInnerCodes != null && bondIndexUmInnerCodes.Count > 0)
            {
                var querySql = "SELECT InnerCode,Duration1,Convexity1,YTM FROM bond_chinabondindexquote WHERE TradingDay = @ValueDate AND InnerCode IN @InnerCodes";
                
                var bondIndexQuoteDatas = conn.Query<ChinaBondIndexQuoteQueryDto>(querySql, new
                {
                    ValueDate = valueDate,
                    InnerCodes = bondIndexUmInnerCodes
                }, commandTimeout: 1800).ToList();

                if (bondIndexQuoteDatas != null && bondIndexQuoteDatas.Count > 0)
                {
                    foreach (var item in bondIndexQuoteDatas)
                    {
                        var umCode = umDatas.First(d => d.InnerCode == item.InnerCode).UnderlyingCode;
                        _dDic.Add(umCode, item.Duration1 != null ? (double)item.Duration1 : null);
                        _cDic.Add(umCode, item.Convexity1 != null ? (double)item.Convexity1 : null);
                        _ytmDic.Add(umCode, item.YTM != null ? (double)item.YTM : null);
                    }
                }
            }

            var bondFeatureUmCodes = umDatas.Where(p => ConsGlobal.InstrumentType.TBFutures.Equals(p.UnderlyingInstrumentType)).Select(p => p.UnderlyingCode).Distinct().ToList();
            if (bondFeatureUmCodes != null && bondFeatureUmCodes.Count > 0)
            {
                var tFeatureBondInnerCodeDic = GetTFeatureBondInnerCode(bondFeatureUmCodes, valueDate, conn);
                if (tFeatureBondInnerCodeDic != null && tFeatureBondInnerCodeDic.Count > 0)
                {
                    var contractInnerCodeBondInnerCodeDic = new Dictionary<long, long>();
                    foreach (var item in tFeatureBondInnerCodeDic)
                    {
                        var bondUm = DataCacheProvider.GetUnderlyingDataSource().AsQueryable().FirstOrDefault(p => p.InnerCode == item.Value);
                        if (bondUm != null)
                        {
                            _TFeaturesBondCodeDic.Add(item.Key, bondUm.UnderlyingCode);
                        }
                        var um = DataCacheProvider.GetUnderlyingDataSource().GetData(item.Key);
                        if (um.InnerCode != null)
                        {
                            contractInnerCodeBondInnerCodeDic.Add(um.InnerCode ?? 0, item.Value);
                        }
                    }
                    if (tFeatureBondInnerCodeDic.Count > 0)
                    {

                    }
                }
            }




        }


        public void Handle(EodPositionRisksDTO dto,underlying_manager um)
        {
            var calcDto = new GreeksCalcDto
            {
                Delta = dto.Delta,
                Gamma = dto.Gamma,
                Vega = dto.Vega,
            };
            handle(calcDto, um);
            dto.Delta_r = calcDto.Delta_r;
            dto.Gamma_r = calcDto.Gamma_r;
            dto.Vega_r = calcDto.Vega_r;
            dto.Delta_r_1bp = calcDto.Delta_r_1bp;
            dto.Dv01 = calcDto.Dv01;
            dto.Gamma_r_1bp = calcDto.Gamma_r_1bp;
            dto.Vega_r_1bp = calcDto.Vega_r_1bp;
        }


        public void Handle(trade td,TradeValueResult calRes, underlying_manager um)
        {
            var calcDto = new GreeksCalcDto
            {
                Delta = calRes.Delta,
                Gamma = calRes.Gamma,
                Vega = calRes.Vega,
            };
            handle(calcDto, um);
            calRes.Delta_r = calcDto.Delta_r;
            calRes.Gamma_r = calcDto.Gamma_r;
            calRes.Vega_r = calcDto.Vega_r;
            calRes.Delta_r_1bp = calcDto.Delta_r_1bp;
            calRes.Dv01 = calcDto.Dv01;
            calRes.Gamma_r_1bp = calcDto.Gamma_r_1bp;
            calRes.Vega_r_1bp = calcDto.Vega_r_1bp;
        }


        private Dictionary<string,long> GetTFeatureBondInnerCode(List<string> underlyingCodes,DateTime valueDate,DbConnection conn)
        {
            var sql = "SELECT contractcode,deliverableinnercode,spread FROM fut_cgbderiv WHERE TradingDay = @ValueDate AND pricetype = 3 AND (contractcode,irr) IN (SELECT contractcode,MAX(irr) FROM fut_cgbderiv WHERE TradingDay = @ValueDate AND contractcode IN (@UmCodes) AND pricetype = 3 GROUP BY contractcode);";
            var datas = conn.Query<TFeatureBondInnerCodeQueryDto>(sql, new
            {
                ValueDate = valueDate,
                UmCodes = underlyingCodes
            }, commandTimeout: 1800).ToList();
            var res = new Dictionary<string,long>();
            if (datas != null && datas.Count > 0)
            {
                res = datas.GroupBy(p => p.contractcode).ToDictionary(p => p.Key, p => p.OrderBy(d => d.spread).First().deliverableinnercode);
            }
            return res;
        }

        private GLMSGreeksCalcArgs GetCalcArgs(string underlyingCode,string underlyingInstrumentType)
        {
            if (ConsGlobal.InstrumentType.RateYield.Equals(underlyingInstrumentType))
            {
                return null;
            }
            return new GLMSGreeksCalcArgs
            {

            };
        }

        private Dictionary<long, double> GetCFDatas(Dictionary<long, long> contractInnerCodeBondInnerCodeDic, DbConnection conn)
        {
            var sql = "SELECT infopubldate,contractinnercode,ibmarketinnercode,conversionfactors FROM fut_conversionfactors WHERE (contractinnercode,ibmarketinnercode) IN ((2059453,477500));";
            return null;
        }

        private void handle(GreeksCalcDto dto, underlying_manager um)
        {
            if (!calcInstrumentTypes.Contains(um.UnderlyingInstrumentType))
            {
                return;
            }

            

            var calcArgs = GetCalcArgs(um.UnderlyingCode, um.UnderlyingInstrumentType);

            if (ConsGlobal.InstrumentType.RateYield.Equals(um.UnderlyingInstrumentType))
            {
                //利率收益率
                dto.Delta_r = dto.Delta * -1;
                dto.Gamma_r = dto.Gamma;
                dto.Vega_r = dto.Vega;
            }
            else if (instrumentBondsTypes.Contains(um.UnderlyingInstrumentType))
            {
                //利率债、信用债、其它债券
                dto.Delta_r = dto.Delta * calcArgs.P * calcArgs.D;
                dto.Gamma_r = dto.Delta * calcArgs.P * calcArgs.C + (calcArgs.P * calcArgs.D) * (calcArgs.P * calcArgs.D) * dto.Gamma;
                dto.Vega_r = dto.Vega * calcArgs.D * calcArgs.Ytm;
            }
            else if (ConsGlobal.InstrumentType.BondIndex.Equals(um.UnderlyingInstrumentType))
            {
                //债券指数
                dto.Delta_r = dto.Delta * calcArgs.P * calcArgs.D;
                dto.Gamma_r = dto.Delta * calcArgs.P * calcArgs.C + (calcArgs.P * calcArgs.D) * (calcArgs.P * calcArgs.D) * dto.Gamma;
                dto.Vega_r = dto.Vega * calcArgs.D * calcArgs.Ytm;
            }
            else if (ConsGlobal.InstrumentType.TBFutures.Equals(um.UnderlyingInstrumentType))
            {
                //国债期货
                dto.Delta_r = dto.Delta * calcArgs.P * calcArgs.D / calcArgs.CF;
                dto.Gamma_r = dto.Delta * calcArgs.P * calcArgs.C / calcArgs.CF + (calcArgs.P * calcArgs.D / calcArgs.CF) * (calcArgs.P * calcArgs.D / calcArgs.CF) * dto.Gamma;
                dto.Vega_r = dto.Vega * calcArgs.D * calcArgs.Ytm;
            }

            dto.Delta_r_1bp = dto.Delta_r * 0.0001;
            dto.Dv01 = dto.Delta_r_1bp;
            dto.Gamma_r_1bp = dto.Gamma_r * 0.0001 * 0.0001;
            dto.Vega_r_1bp = dto.Vega_r * 0.0001;
        }
    }


    public class GLMSGreeksCalcArgs
    {
        //计算日的全价
        public double? P { get; set; }

        public double? D { get; set; }

        public double? CF { get; set; }

        public double? C { get; set; }

        public double? Ytm { get; set; }
    }


    public class GreeksCalcDto
    {
        public double? Delta { get; set; }

        public double? Gamma { get; set; }

        public double? Vega { get; set; }


        /// <summary>
        /// Delta_R
        /// </summary>
        public double? Delta_r { get; set; }

        public double? Delta_r_1bp { get; set; }


        public double? Dv01 { get; set; }

        public double? Gamma_r { get; set; }

        public double? Gamma_r_1bp { get; set; }

        public double? Vega_r { get; set; }

        public double? Vega_r_1bp { get; set; }

    }

    public class ChinaBondIndexQuoteQueryDto
    {
        public long InnerCode { get; set; }

        public decimal? Duration1 { get; set; }

        public decimal? Convexity1 { get; set; }

        public decimal? YTM { get; set; }
    }

    public class TFeatureBondInnerCodeQueryDto
    {
        public string contractcode { get; set; }

        public long deliverableinnercode { get; set; }

        public decimal? spread { get; set; }
    }
}