using Microsoft.VisualStudio.TestTools.UnitTesting;
using Qdp.Pricing.Base.Enums;
using System;
using YLErp.BLL;
using YLErp.BLL.Calculation;
using YLErp.DBModels;
using YLErp.QdpModule;

namespace YLErp.Modules.CalculationModule
{
    /// <summary>
    /// 期权计算比较(新版本和老版本)
    /// </summary>
    [TestClass]
    public class OptionCalculatorCompare
    {
        const double ConstVol = 0.3;
        const double Notional = 1;
        const double SpotPrice = 3000;
        const double RiskFreeRate = 0.03;
        const string ExerciseType = "European";
        const string UnderlyingCode = "RB00";
        const int TTMDays = 36;
        const string InstrumentType = "CommodityFutures";
        static readonly string QdpMarketID = Guid.NewGuid().ToString();
        static readonly DateTime TradeDate = new DateTime(2021, 1, 4);
        static readonly DateTime ExerciseDate = new DateTime(2021, 3, 1);

        [TestMethod]
        public void TestVanillaOption()
        {
            var vols = QdpVolHelper.GetDefaultVolatility(ConstVol);
            var valueDateStr = TradeDate.ToString("yyyy-MM-dd");
            var marketProxy = QdpMarketManager.Instance.GetPrebuiltMarketProxy(QdpMarketID);

            var underlying = new
            {
                UnderlyingCode = UnderlyingCode,
                UnderlyingInstrumentType = InstrumentType,
                Price = SpotPrice
            };

            //使用全局的DiscountCurve以提高计算效率
            var discountCurveName = Guid.NewGuid().ToString();
            var discountCurve = CalculatorHelper.CreateConstantRiskFreeCurve(discountCurveName, valuedateBLL.RiskFreeRate / 100.0);
            marketProxy.AddYieldCurve(discountCurveName, valueDateStr, discountCurve);

            var initParam = new VolSurfaceInitParamsBuilder(QdpMarketID)
                .SetValueDate(TradeDate)
                .SetUnderlying(0, UnderlyingCode, UnderlyingCode)
                .SetVolatility(vols).Build(QdpMarketID);
            VolSurfaceInitializerSingleton.GetInitializer(false).InitializeMarketProxy(initParam);

            var bidMaturityDate = ExerciseDate.ToString(ConsGlobal.DateFormat);

            var tv1 = OptionCalculatorV1.ValueVanillaOptionTrade(
                        marketProxy: marketProxy,
                        valueDate: valueDateStr,
                        underlyingTicker: underlying.UnderlyingCode,
                        underlyingInstrumentType: underlying.UnderlyingInstrumentType,
                        strike: SpotPrice,
                        startDate: valueDateStr,
                        endDate: bidMaturityDate,
                        optionType: "Call",
                        exerciseType: ExerciseType,
                        spotPrice: underlying.Price,
                        notional: Notional,
                        volSurfaceName: initParam.volSurfaceNameKey,
                        riskFreeRate: RiskFreeRate,
                        modelName: null,
                        tradeType: "Buy",
                        exerciseDate: bidMaturityDate,
                        hasNightMarket: false,
                        commodityFuturesPreciseTimeMode: true,
                        discountCurveName: discountCurveName,
                        participationRate: 1.0,
                        principalRate: 0.0,
                        isAnnualized: false,
                        annualizeFactor: 1.0,
                        timeToMaturityDays: TTMDays);

            System.Diagnostics.Debug.WriteLine("V1 PV:" + tv1.Pv);

            var vtParam = new VanillaOptionTradeParam
            {
                annualizedFactor = 0,
                isAnnualized = false,
                buysell = "买入",
                commodityFuturesPreciseTimeMode = true,
                dividendRate = 0,
                dividends = null,
                endDate = ExerciseDate,
                exerciseDate = ExerciseDate,
                exerciseType = ExerciseType,
                hasNightMarket = false,
                initialSpotPrice = SpotPrice,
                isForwardTrade = false,
                isMoneynessOption = false,
                notional = Notional,
                optionType = OptionType.Call,
                participationRate = 1,
                principalRate = 0,
                riskFreeRate = RiskFreeRate,
                settlementDate = ExerciseDate,
                startDate = TradeDate,
                strike = SpotPrice,
                timeToMaturityDays = TTMDays,
                tradeDate = TradeDate,
                tradeId = QdpMarketID,
                underlyingInstrumentType = InstrumentType,
                underlyingTickers = new[] { UnderlyingCode },
                volSurfaceNames = new[] { QdpMarketID }
            };

            TradeValueResult tv2;

            using (var mp = new MarketProxy(TradeDate, 0.03))
            {
                mp.SaveVolSurface(QdpMarketID, vols);

                tv2 = TradeRiskCalcUtil.GetVanillaOptionValue(mp, new OptionCalcParam<VanillaOptionTradeParam>(vtParam)
                {
                    pricingRequest = QdpPricingRequest.BASIC_GREEKS,
                    spotPrices = new[] { 3000d },
                });
            }

            System.Diagnostics.Debug.WriteLine("V2 PV:" + tv2.Pv);

            Assert.AreEqual(tv1.Pv, tv2.Pv, 1e-6);
            Assert.AreEqual(tv1.Delta, tv2.Delta, 1e-6);
            Assert.AreEqual(tv1.Gamma, tv2.Gamma, 1e-6);
            Assert.AreEqual(tv1.Theta, tv2.Theta, 1e-6);
            Assert.AreEqual(tv1.Rho, tv2.Rho, 1e-6);
            Assert.AreEqual(tv1.Vega, tv2.Vega, 1e-6);
        }

        [TestMethod]
        public void TestAsiaOption()
        {
            var vols = QdpVolHelper.GetDefaultVolatility(ConstVol);
            var valueDateStr = TradeDate.ToString("yyyy-MM-dd");
            var marketProxy = QdpMarketManager.Instance.GetPrebuiltMarketProxy(QdpMarketID);

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

            //使用全局的DiscountCurve以提高计算效率
            var discountCurveName = Guid.NewGuid().ToString();
            var discountCurve = CalculatorHelper.CreateConstantRiskFreeCurve(discountCurveName, valuedateBLL.RiskFreeRate / 100.0);
            marketProxy.AddYieldCurve(discountCurveName, valueDateStr, discountCurve);

            var initParam = new VolSurfaceInitParamsBuilder(QdpMarketID)
                .SetValueDate(TradeDate)
                .SetUnderlying(0, UnderlyingCode, UnderlyingCode)
                .SetVolatility(vols).Build(QdpMarketID);
            VolSurfaceInitializerSingleton.GetInitializer(false).InitializeMarketProxy(initParam);

            underlying.Price = SpotPrice;
            underlying.QuotationDate = TradeDate;

            var td = new trade()
            {
                TradeType = "亚式期权",
                UnderlyingCode = underlying.UnderlyingCode,
                UnderlyingInstrumentType = InstrumentType,
                TradeDate = TradeDate,
                StartDate = TradeDate,
                MaturityDate = ExerciseDate,
                ExerciseDate = ExerciseDate,
                OptionType = "看涨",
                ExerciseMode = ExerciseType,
                Strike = SpotPrice,
                SpotPrice = SpotPrice,
                Notional = Notional,
                NoRiskRate = RiskFreeRate,
                BuySell = "Buy",
                QuotationType = "波动率调整",
                TradeOpenVolatility = ConstVol,
                TTMDays = TTMDays,
                trade_asian_option = new trade_asian_option()
                {
                    PayoffType = "ArithmeticAverage",
                    StrikeType = "Fixed",
                    AveragingPeriodStartDate = TradeDate
                }
            };

            var tv1 = OptionCalculatorV1.GetOptionValueResult(QdpMarketID, underlying, td, new[] { SpotPrice },
                useTradeVolMode: true, volSurfaceNames: new[] { initParam.volSurfaceNameKey },
                fixing: $"{TradeDate:yyyy-MM-dd},{SpotPrice}", commodityFuturesPreciseTimeMode: false);

            System.Diagnostics.Debug.WriteLine("V1 PV:" + tv1.Pv);

            var vtParam = new AsianOptionTradeParam
            {
                annualizedFactor = 0,
                isAnnualized = false,
                buysell = "买入",
                commodityFuturesPreciseTimeMode = false,
                dividendRate = 0,
                dividends = null,
                endDate = ExerciseDate,
                exerciseDate = ExerciseDate,
                exerciseType = ExerciseType,
                hasNightMarket = false,
                initialSpotPrice = SpotPrice,
                isForwardTrade = false,
                isMoneynessOption = false,
                notional = 1,
                optionType = OptionType.Call,
                participationRate = 1,
                principalRate = 0,
                riskFreeRate = RiskFreeRate,
                settlementDate = ExerciseDate,
                startDate = TradeDate,
                strike = SpotPrice,
                timeToMaturityDays = TTMDays,
                tradeDate = TradeDate,
                tradeId = QdpMarketID,
                underlyingInstrumentType = InstrumentType,
                underlyingTickers = new[] { UnderlyingCode },
                volSurfaceNames = new[] { QdpMarketID },
                payoffType = "ArithmeticAverage",
                strikeStyle = "Fixed",
                averagingPeriodStartDate = TradeDate
            };

            TradeValueResult tv2;

            using (var mp = new MarketProxy(TradeDate, RiskFreeRate))
            {
                mp.SaveVolSurface(QdpMarketID, vols);

                tv2 = TradeRiskCalcUtil.GetAsianOptionValue(mp, new OptionCalcParam<AsianOptionTradeParam>(vtParam)
                {
                    pricingRequest = QdpPricingRequest.BASIC_GREEKS,
                    spotPrices = new[] { SpotPrice },
                });
            }

            System.Diagnostics.Debug.WriteLine("V2 PV:" + tv2.Pv);

            Assert.AreEqual(tv1.Pv, tv2.Pv, 1e-6);
            Assert.AreEqual(tv1.Delta, tv2.Delta, 1e-6);
            Assert.AreEqual(tv1.Gamma, tv2.Gamma, 1e-6);
            Assert.AreEqual(tv1.Theta, tv2.Theta, 1e-6);
            Assert.AreEqual(tv1.Rho, tv2.Rho, 1e-6);
            Assert.AreEqual(tv1.Vega, tv2.Vega, 1e-6);
        }
    }
}