using Qdp.Pricing.Base.Utilities;
using YLErp.DBModels;
using YLErp.QdpModule;

namespace YLErp.Modules.TradeModule.ExoticOptionModule
{
    /// <summary>
    /// 专业版雪球观察帮助类
    /// </summary>
    public class SpecialSnowballObservationHelper
    {
        private readonly OtcTradeBase _otcTrade;
        private readonly trade_snowball _snowball;

        public SpecialSnowballObservationHelper(OtcTradeBase otcTrade, trade_snowball snowball)
        {
            _otcTrade = otcTrade ?? throw new ArgumentNullException(nameof(otcTrade));
            _snowball = snowball ?? throw new ArgumentNullException(nameof(snowball));
        }

        /// <summary>
        /// 获取雪球观察结果(买方)
        /// </summary>
        public SnowballObservationResult GetObservationResultForBuySide(DateTime valueDate, double closePrice, double tradeNotional)
        {
            System.Diagnostics.Debug.Assert(_snowball.KnockInOutStatus != ConsTrade.KnockState.KnockedOut);

            //敲出检查

            var koResult = GetKoPayoff(valueDate, closePrice, tradeNotional, out var isKoObservationDay, out var koBarrier);

            if (koResult != null)
            {
                return koResult;
            }

            var resultType = _snowball.IsInitialKnockedIn || _snowball.KnockInOutStatus == ConsTrade.KnockState.KnockedIn
                ? SnowballObservationResultType.KnockedIn
                : (isKoObservationDay ? SnowballObservationResultType.Monitoring : SnowballObservationResultType.NonObservationDay);

            //敲入检查
            if (resultType != SnowballObservationResultType.KnockedIn && IsNeedCheckKnockIn(valueDate))
            {
                var kiBarrier = _otcTrade.IsMoneynessOptionData ? _snowball.KIBarrier * (_otcTrade.SpotPrice ?? 0) : _snowball.KIBarrier;

                // 发生敲入事件(看涨 - 向下敲入,看跌 - 向上敲入)

                resultType = (ConsGlobal.CallPut.IsCall(_otcTrade.CallPut) ? closePrice <= kiBarrier : closePrice >= kiBarrier)
                    ? SnowballObservationResultType.KnockedIn
                    : SnowballObservationResultType.Monitoring;
            }

            SnowballObservationResult result;

            //到期检查
            if (valueDate == _otcTrade.ExerciseDate.Value)
            {
                result = resultType == SnowballObservationResultType.KnockedIn
                   ? GetKiPayoffAtEndDate(closePrice, tradeNotional) : GetNKiPayoffAtEndDate(tradeNotional);
            }
            else
            {
                result = new SnowballObservationResult { ResultType = resultType };
            }

            result.KoBarrier = koBarrier ??
                (_otcTrade.IsMoneynessOptionData ? _snowball.KOBarrier * (_otcTrade.SpotPrice ?? 0) : _snowball.KOBarrier);

            return result;
        }

        /// <summary>
        /// 获取雪球观察结果(交易员角度)
        /// </summary>
        public SnowballObservationResult GetObservationResultForTraderSide(DateTime valueDate, double closePrice, double tradeNotional)
        {
            var result = GetObservationResultForBuySide(valueDate, closePrice, tradeNotional);

            if (_otcTrade.BuySell == "卖出")
            {
                result.PaymentAmount = -result.PaymentAmount;

                result.Payoff?.InvertSign();
            }
            return result;
        }

        /// <summary>
        /// 获取累积票息(tradeNotional为负值时是卖方角度)
        /// </summary>
        public PrepaymentSnowballKoPayoff GetEffectiveObservation(DateTime valueDate, double tradeNotional)
        {
            var koObservationParseResult = ParseKoObservation(valueDate);

            //非敲出观察日
            if (koObservationParseResult == null)
            {
                return null;
            }

            var payoff = new PrepaymentSnowballKoPayoff
            {
                CouponStartDate = _otcTrade.StartDate.Value,
                CouponEndDate = valueDate,
                CouponRate = koObservationParseResult.KoRebate,
                //票息支付金额
                CouponPaymentAmount = koObservationParseResult.KoRebate * tradeNotional * (_otcTrade.SpotPrice ?? 0)
            };

            //票息计息年化方式处理
            if (!string.IsNullOrWhiteSpace(_snowball.CouponDayCount))
            {
                //首日是否计息
                var startDate = _snowball.CouponIncludeStartDate == true
                    ? _otcTrade.StartDate.Value.AddDays(-1) : _otcTrade.StartDate.Value;

                //是否支付日计息
                var endDate = valueDate;
                if (_snowball.CouponUsePaymentDate == true)
                {
                    endDate = GetKoPaymentDate(_snowball.KOObservationSettleDates, koObservationParseResult.KoDateIndex, valueDate);
                }

                //终日是否计息
                if (_snowball.CouponIncludeEndDate == false)
                {
                    endDate = endDate.AddDays(-1);
                }

                //票息年化计息
                var couponDayCount = _snowball.CouponDayCount.ToDayCountImpl();
                var dayFraction = couponDayCount.CalcDayCountFraction(startDate, endDate);
                payoff.CouponPaymentAmount *= dayFraction;
            }

            return payoff;
        }

        #region----到期日敲入收益----

        /// <summary>
        /// 获取到期日敲入收益
        /// </summary>
        private SnowballObservationResult GetKiPayoffAtEndDate(double closePrice, double tradeNotional)
        {
            var strike = _otcTrade.IsMoneynessOption == "是"
                ? (_snowball.SpreadStrikeAtMaturity1 ?? 0) * (_otcTrade.SpotPrice ?? 0)
                : _snowball.SpreadStrikeAtMaturity1 ?? 0;

            //敲入转香草期权，买卖方向需要反一下，通过notional体现
            var notional = -tradeNotional * (_snowball.KIParticipationRate ?? 1);

            var isCall = ConsGlobal.CallPut.IsCall(_otcTrade.OptionType);

            var payoff = new PrepaymentSnowballKiPayoff();

            //期权支付

            if (_snowball.PrincipalProtectionRate.HasValue && _snowball.PrincipalProtectionRate.Value != 0)
            {
                var spread = (1 - _snowball.PrincipalProtectionRate.Value) * (_otcTrade.SpotPrice ?? 0);

                if (isCall)
                {
                    //熊市价差
                    payoff.OptionPaymentAmount = Math.Min(Math.Max(strike - closePrice, 0), spread) * notional;
                }
                else
                {
                    //牛市价差
                    payoff.OptionPaymentAmount = Math.Min(Math.Max(closePrice - strike, 0), spread) * notional;
                }
            }
            else if (isCall)
            {
                //看跌期权
                payoff.OptionPaymentAmount = Math.Max(strike - closePrice, 0) * notional;
            }
            else
            {
                //看涨期权
                payoff.OptionPaymentAmount = Math.Max(closePrice - strike, 0) * notional;
            }

            //预付金返还
            if (_snowball.PrepaymentRatio.HasValue)
            {
                payoff.PrepaymentAmount = tradeNotional * (_otcTrade.SpotPrice ?? 0) * _snowball.PrepaymentRatio.Value;

                //利息金额
                if (_snowball.PrepaymentInterestRate.HasValue)
                {
                    payoff.InterestAmount = payoff.PrepaymentAmount * _snowball.PrepaymentInterestRate.Value;

                    //年化计息
                    if (!string.IsNullOrWhiteSpace(_snowball.CouponDayCount))
                    {
                        //首日是否计息
                        var startDate = _snowball.CouponIncludeStartDate == true
                            ? _otcTrade.StartDate.Value.AddDays(-1) : _otcTrade.StartDate.Value;

                        //终日是否计息
                        var endDate = _snowball.CouponIncludeEndDate == true
                            ? _otcTrade.ExerciseDate.Value : _otcTrade.ExerciseDate.Value.AddDays(-1);

                        var couponDayCount = _snowball.CouponDayCount.ToDayCountImpl();

                        var dayFraction = couponDayCount.CalcDayCountFraction(startDate, endDate);

                        payoff.InterestAmount *= dayFraction;
                    }
                }
            }

            return new SnowballObservationResult
            {
                Payoff = payoff,
                PaymentAmount = payoff.TotalAmount(),
                PaymentDate = _otcTrade.ExerciseDate.Value,
                ResultType = SnowballObservationResultType.KiPayoffAtEndDate
            };
        }

        #endregion

        #region----获取到期日未敲入收益----

        /// <summary>
        /// 获取到期日未敲入收益
        /// </summary>
        private SnowballObservationResult GetNKiPayoffAtEndDate(double tradeNotional)
        {
            var notionalValue = tradeNotional * (_otcTrade.SpotPrice ?? 0);

            var payoff = new PrepaymentSnowballNkiPayoff();

            //红利票息支付金额
            payoff.CouponPaymentAmount = _snowball.Coupon * notionalValue;

            //预付金返还
            if (_snowball.PrepaymentRatio.HasValue)
            {
                payoff.PrepaymentAmount = notionalValue * _snowball.PrepaymentRatio.Value;

                //利息金额
                if (_snowball.PrepaymentInterestRate.HasValue)
                {
                    payoff.InterestAmount = payoff.PrepaymentAmount * _snowball.PrepaymentInterestRate.Value;
                }
            }

            //年化计息
            if (!string.IsNullOrWhiteSpace(_snowball.CouponDayCount))
            {
                //首日是否计息
                var startDate = _snowball.CouponIncludeStartDate == true
                    ? _otcTrade.StartDate.Value.AddDays(-1) : _otcTrade.StartDate.Value;

                //终日是否计息
                var endDate = _snowball.CouponIncludeEndDate == true
                    ? _otcTrade.ExerciseDate.Value : _otcTrade.ExerciseDate.Value.AddDays(-1);

                var couponDayCount = _snowball.CouponDayCount.ToDayCountImpl();

                var dayFraction = couponDayCount.CalcDayCountFraction(startDate, endDate);

                payoff.InterestAmount *= dayFraction;

                payoff.CouponPaymentAmount *= dayFraction;
            }

            return new SnowballObservationResult
            {
                Payoff = payoff,
                PaymentAmount = payoff.TotalAmount(),
                PaymentDate = _otcTrade.ExerciseDate.Value,
                ResultType = SnowballObservationResultType.NkiPayoffAtEndDate
            };
        }

        #endregion

        #region----获取敲出收益----

        /// <summary>
        /// 获取敲出收益
        /// </summary>
        private SnowballObservationResult GetKoPayoff(DateTime valueDate, double closePrice, double tradeNotional
            , out bool isObservationDay, out double? koBarrier)
        {
            var koObservationParseResult = ParseKoObservation(valueDate);

            koBarrier = koObservationParseResult?.KoBarrier;

            isObservationDay = koObservationParseResult != null;

            //非敲出观察日
            if (!isObservationDay)
            {
                return null;
            }

            var isCall = ConsGlobal.CallPut.IsCall(_otcTrade.CallPut);

            // 发生敲出事件(看涨 - 向上敲出支付票息,看跌 - 向下敲出支付票息)

            if (isCall ? closePrice < koObservationParseResult.KoBarrier : closePrice > koObservationParseResult.KoBarrier)
            {
                return null;
            }

            var payoff = new PrepaymentSnowballKoPayoff
            {
                CouponStartDate = _otcTrade.StartDate.Value,
                CouponEndDate = valueDate,
                CouponRate = koObservationParseResult.KoRebate
            };

            var notionalValue = tradeNotional * (_otcTrade.SpotPrice ?? 0);

            //增强收益支付金额
            if (_snowball.EnhancedParticipationRate.HasValue)
            {
                payoff.EnhancedPaymentAmount = (closePrice - koObservationParseResult.KoBarrier) * tradeNotional * _snowball.EnhancedParticipationRate.Value;
                if (!isCall)
                {
                    payoff.EnhancedPaymentAmount = -payoff.EnhancedPaymentAmount;
                }
            }

            //票息支付金额
            payoff.CouponPaymentAmount = koObservationParseResult.KoRebate * notionalValue;

            //预付金返还
            if (_snowball.PrepaymentRatio.HasValue)
            {
                payoff.PrepaymentAmount = notionalValue * _snowball.PrepaymentRatio.Value;

                //利息金额
                if (_snowball.PrepaymentInterestRate.HasValue)
                {
                    payoff.InterestAmount = payoff.PrepaymentAmount * _snowball.PrepaymentInterestRate.Value;
                }
            }

            //票息支付日
            var paymentDate = GetKoPaymentDate(_snowball.KOObservationSettleDates, koObservationParseResult.KoDateIndex, valueDate);

            //票息计息年化方式处理
            if (!string.IsNullOrWhiteSpace(_snowball.CouponDayCount))
            {
                //首日是否计息
                var startDate = _snowball.CouponIncludeStartDate == true
                    ? _otcTrade.StartDate.Value.AddDays(-1) : _otcTrade.StartDate.Value;

                //是否支付日计息
                var endDate = valueDate;
                if (_snowball.CouponUsePaymentDate == true)
                {
                    endDate = paymentDate;
                }

                //终日是否计息
                if (_snowball.CouponIncludeEndDate == false)
                {
                    endDate = endDate.AddDays(-1);
                }

                payoff.CouponEndDate = endDate;

                //票息年化计息
                var couponDayCount = _snowball.CouponDayCount.ToDayCountImpl();
                var dayFraction = couponDayCount.CalcDayCountFraction(startDate, endDate);
                payoff.CouponPaymentAmount *= dayFraction;

                //年化利息金额
                payoff.InterestAmount *= dayFraction;
            }

            //返回敲出观察结果
            var result = new SnowballObservationResult
            {
                Payoff = payoff,
                PaymentDate = paymentDate,
                ResultType = SnowballObservationResultType.KoPayoff,
                PaymentAmount = payoff.TotalAmount(),
                KoBarrier = koObservationParseResult.KoBarrier
            };

            if (_snowball.KORebateType == RebateTypeEnum.AtEnd)
            {
                result.PaymentDate = _otcTrade.ExerciseDate.Value;
            }

            return result;
        }

        /// <summary>
        /// 解析敲出观察频率
        /// </summary>
        private KoObservationParseResult ParseKoObservation(DateTime valueDate)
        {
            (var koDates, var koBarries, var koCoupons)
                = QdpHelper.ParseAutocallCustomizedInfo(_snowball.KOObservationDates);

            koDates ??= QdpObservationHelper.GetDefaultKoObservationDatesForSnowbalV2(_otcTrade.StartDate.Value, _otcTrade.ExerciseDate.Value);

            var koDateIndex = koDates.Select(x => x.DateTime).ToList().IndexOf(valueDate);

            if (koDateIndex < 0)
            {
                return null;
            }

            var result = new KoObservationParseResult
            {
                KoDateIndex = koDateIndex,
                KoRebate = koCoupons != null && koCoupons.Length > koDateIndex ? koCoupons[koDateIndex] : _snowball.KORebate,
                KoBarrier = koBarries != null && koBarries.Length > koDateIndex ? koBarries[koDateIndex] : _snowball.KOBarrier
            };

            if (_otcTrade.IsMoneynessOptionData)
            {
                result.KoBarrier *= _otcTrade.SpotPrice ?? 1.0;
            }

            return result;
        }

        /// <summary>
        /// 获取票息支付日
        /// </summary>
        private static DateTime GetKoPaymentDate(string paymentDatesStr, int koDateIndex, DateTime koObservationDate)
        {
            var paymentDates = string.IsNullOrWhiteSpace(paymentDatesStr) ? null
                : paymentDatesStr.Split(new char[] { ',', ';', '，', '；' }).Select(x => DateTime.Parse(x)).ToArray();

            if (paymentDates != null && paymentDates.Length > koDateIndex)
            {
                var paymentDate = paymentDates[koDateIndex];

                //预防错误的支付日数据
                if (paymentDate < koObservationDate)
                {
                    paymentDate = koObservationDate;
                }

                return paymentDate;
            }

            return koObservationDate;
        }

        /// <summary>
        /// 是否需要观察敲入
        /// </summary>
        private bool IsNeedCheckKnockIn(DateTime observationDate)
        {
            //已在观察日之前敲入则不需要观察是否敲入
            if (_snowball.KnockInOutStatus == ConsTrade.KnockState.KnockedIn && _snowball.KnockInOutDate < observationDate)
            {
                return false;
            }

            //仅在到期日观察
            if (_snowball.KIObservationType == KIObservationType.OnlyEndDate)
            {
                return observationDate == _otcTrade.ExerciseDate;
            }

            //每日观察
            return true;
        }

        class KoObservationParseResult
        {
            /// <summary>
            /// 观察日在敲出观察频率中的索引
            /// </summary>
            public int KoDateIndex { get; set; }

            /// <summary>
            /// 敲出障碍价格
            /// </summary>
            public double KoBarrier { get; set; }

            /// <summary>
            /// 敲出支付票息率
            /// </summary>
            public double KoRebate { get; set; }
        }

        #endregion
    }
}