using Qdp.Pricing.Base.Utilities;
using YLErp.Abstract.DataProviders;
using YLErp.BLL;
using YLErp.BLL.Calculation;
using YLErp.Commons;
using YLErp.DBModels.Enums;
using YLErp.Modules.CalculationModule;
using YLErp.Modules.DataProviderModule;
using YLErp.Modules.TradeDalModule;
using YLErp.Office.ExcelModule;
using YLErp.QdpModule;

namespace YLErp.Modules.EodModule
{
    public class eod_varReq
    {
        /// <summary>
        /// 估值日期
        /// </summary>
        public DateTime ValueDate { get; set; }

        /// <summary>
        /// 估值范围结束日期
        /// </summary>
        public DateTime? EndValueDate { get; set; }

        public int VaRType { get; set; }

        public double PvPercent { get; set; }

        public string UnderlyingIds { get; set; }

        public int? AssetId { get; set; }

        public string TradeType { get; set; }

        public bool IsNeedExport { get; set; }

        public int DaysCount { get; set; }
    }

    public class eod_varResult
    {
        public string UnderlyingCode { get; set; }
        public string AssetName { get; set; }
        public double RealPv { get; set; }
        public double CalcPv { get; set; }
        public double WinLoss { get; set; }
        public double WinLossPercent { get; set; }
    }

    /// <summary>
    /// 
    /// </summary>
    public class EodVaRService : YLBaseService
    {
        public EodVaRService(OptUserInfo userInfo) : base(userInfo)
        {
        }

        public EodVaRService(YLBaseService baseService) : base(baseService)
        {
        }

        public void SaveEodVaR(eod_var record)
        {
            if (record.TradeType == null)
            {
                record.TradeType = "";
            }
            var r = DbContext.eod_var.FirstOrDefault(x => x.ValueDate == record.ValueDate && x.VaRType == record.VaRType && x.UnderlyingCode == record.UnderlyingCode && x.TradeType == record.TradeType && x.AssetId == record.AssetId);
            if (r != null)
            {
                r.ValueDate = record.ValueDate;
                r.PvObject = record.PvObject;
                r.VaRValue = record.VaRValue;
                r.RealPv = record.RealPv;
                r.OptId = record.OptId;
                r.OptName = record.OptName;
                r.OptDate = record.OptDate;
            }
            else
            {
                DbContext.eod_var.Add(record);
            }

            DbContext.SaveChanges();
        }

        public void CalcEodVaR(eod_varReq req)
        {
            //目前修改dayCount是覆盖之前数据的,不再另存 8/4
            if (req.TradeType == null)
            {
                req.TradeType = "";
            }
            var PvList = new List<double>();
            var query = DbContext.eod_trade.Where(t => t.ValueDate == req.ValueDate);
            if (!string.IsNullOrWhiteSpace(req.TradeType))
            {
                var tradeType = GlobalDicionary.SupportTradeTypes.Where(O => O != "收益互换" && O != "远期").ToList();
                if (req.TradeType == "场外")
                {
                    query = query.Where(O => tradeType.Contains(O.TradeType));
                }
                else if (req.TradeType == "互换")
                {
                    query = query.Where(O => O.TradeType == "收益互换");
                }
                else if (req.TradeType == "远期")
                {
                    query = query.Where(O => O.TradeType == "远期");
                }
            }
            var eodTradeList = query.ToList();

            //过滤只计算支持的交易
            var tradeList = eodTradeList.Where(t => t.trade != null && t.trade.TradeType != "自定义交易" && t.trade.TradeType != "结构化交易" && GlobalDicionary.SupportTradeTypes.Contains(t.trade.TradeType) && !ConsTrade.TradeCompleteStatus.Contains(t.TradeStatus)).Select(t => t.trade).ToList();

            var trades = DbContext.eod_trade_position
                .Where(t => t.ValueDate == req.ValueDate && ConsTrade.TradeTypesForHedge.Contains(t.TradeType))
                .Select(et => new tradeDto
                {
                    id = et.TradeId,
                    ClientId = et.ClientId,
                    AssetId = et.BookId,
                    TradeType = et.TradeType,
                    UnderlyingId = et.UnderlyingId,
                    UnderlyingCode = et.UnderlyingCode,
                    BuySell = et.PositionType == "long" ? "买入" : "卖出",
                    IsMoneynessOption = "否",
                    Notional = et.Amount,
                    ExchangeOptionCode = et.ExchangeOptionCode
                }).ToList();

            //var attachTrades = DbContext.trade.Where(t => trades.Keys.Contains(t.id) && t.TradeType != "自定义交易" && GlobalDicionary.SupportTradeTypes.Contains(t.TradeType) && ConsTrade.PositionTradeStatusList.Contains(t.TradeStatus)).ToList();

            if (string.IsNullOrWhiteSpace(req.TradeType))
            {
                tradeList.AddRange(trades);
            }

            if (req.TradeType == "场内")
            {
                tradeList = new List<trade>();
                trades = trades.Where(o => o.TradeType == "场内期权" || o.TradeType == "股票").ToList();
                tradeList.AddRange(trades);
            }

            if (req.TradeType == "商品")
            {
                tradeList = new List<trade>();
                trades = trades.Where(o => o.TradeType == "商品期货" || o.TradeType == "商品现货").ToList();
                tradeList.AddRange(trades);
            }

            if (req.AssetId != null && req.AssetId != 0)
            {
                tradeList = tradeList.Where(o => req.AssetId == o.AssetId).ToList();
            }

            if (!tradeList.Any())
            {
                throw new Exception("该交易日未收盘或未找到持仓交易,无法算出VaR值");
            }

            foreach (var td in tradeList)
            {
                if (td.TradeType == "场内期权")
                {
                    var exchangeOption = DataCacheProvider.GetExchangeListOptionDataSource().GetData(td.ExchangeOptionCode);
                    if (exchangeOption != null)
                    {
                        td.ExerciseDate = exchangeOption.MaturityDate;
                        td.ExerciseMode = exchangeOption.ExerciseMode;
                        td.OptionType = exchangeOption.OptionType;
                        td.Strike = exchangeOption.Strike;
                        td.TradeDate = td.StartDate = exchangeOption.OpenDate;
                    }
                }
            }

            tradeBLL.SetFieldsByTradeType(tradeList);
            new TradeDalService(this).SetSubTradeList(tradeList);
            var underlyingDics = tradeList.Select(t => new { t.UnderlyingId, t.UnderlyingCode }).ToHashSet();
            var underlyingIds = underlyingDics.Select(o => o.UnderlyingId);
            var underlyingCodes = underlyingDics.Select(o => o.UnderlyingCode);
            //合成价差期权对应的组合标的
            //var tradeListAssociation = tradeList.Where(x => x.TradeType == "合成价差期权");
            //var underlyingIdsAssociation = tradeListAssociation.Select(t => t.UnderlyingId).ToHashSet();
            //var underlyingCodesAssociation = tradeListAssociation.Select(t => t.UnderlyingCode).ToHashSet();
            var syntheticUnderlyings = DbContext.synthetic_underlying.Where(x => underlyingCodes.Contains(x.Name)).ToList();
            var underlyingCodesAssociation = syntheticUnderlyings.Select(t => t.Name);
            var underlyingIdsAssociation = underlyingDics.Where(t => underlyingCodesAssociation.Contains(t.UnderlyingCode)).Select(t => t.UnderlyingId).ToHashSet();
            var underlyingIdsAssociationChildren = syntheticUnderlyings.Where(x => x.UnderlyingId1 != null).Select(x => x.UnderlyingId1).ToList();
            underlyingIdsAssociationChildren.AddRange(syntheticUnderlyings.Where(x => x.UnderlyingId2 != null).Select(x => x.UnderlyingId2));
            underlyingIdsAssociationChildren.AddRange(syntheticUnderlyings.Where(x => x.UnderlyingId3 != null).Select(x => x.UnderlyingId3));
            underlyingIdsAssociationChildren.AddRange(syntheticUnderlyings.Where(x => x.UnderlyingId4 != null).Select(x => x.UnderlyingId4));
            underlyingIdsAssociationChildren = underlyingIdsAssociationChildren.Distinct().ToList();

            var useClosePrice = TradeCalcHelper.UseClosePrice();
            var teodPriceProvider = new EodPriceProvider(req.ValueDate).Initialize();
            var priceList = teodPriceProvider.GetEodPriceList();
            var tdPriceProvider = teodPriceProvider.GetPriceProvider(useClosePrice ? SettlementTypeEnum.ClosePrice : SettlementTypeEnum.SettlePrice);

            //当日持仓交易的收盘价
            var dayEodPrices = priceList.Where(x => underlyingIds.Contains(x.UnderlyingId)).ToList();
            //当日持仓合成价差期权交易组合标的对应的子标的的收盘价
            var dayEodPricesAssociationChildren = priceList.Where(x => underlyingIdsAssociationChildren.Contains(x.UnderlyingId)).ToList();

            //试算的每一个244天
            var ValueDateCalc = req.ValueDate;
            IPriceProvider dayEodPricesCalc = null;
            IPriceProvider dayEodPricesCalcBefore = null;
            var underlyingPvs = new Dictionary<string, List<double>>();
            var tradePvs = new Dictionary<string, List<double>>();
            for (var i = 0; i < req.DaysCount; i++)
            {
                #region 试算的每一天的标的相应的价格

                //试算交易日的前一工作日
                var ValueDateCalcBefore = valuedateBLL.GetNonHolidayDefore(ValueDateCalc.AddDays(-1));
                dayEodPricesCalc = dayEodPricesCalcBefore ?? tdPriceProvider;
                dayEodPricesCalcBefore = new EodPriceProvider(ValueDateCalcBefore).GetPriceProvider(SettlementTypeEnum.ClosePrice);
                var calcTrades = tradeList;
                var eodPrices = new ManualPriceProvider();
                if (dayEodPrices != null && dayEodPrices.Any())
                {
                    dayEodPrices.ForEach(t =>
                    {
                        //组合标的的模拟价格
                        if (underlyingIdsAssociation.Contains(t.UnderlyingId))
                        {
                            var syntheticUnderlying = syntheticUnderlyings.FirstOrDefault(x => x.Name == t.UnderlyingCode);
                            if (syntheticUnderlying == null)
                            {
                                throw new Exception($"组合标的{t.UnderlyingCode}不存在，计算失败");
                            }
                            double price1 = 0, price2 = 0, price3 = 0, price4 = 0;
                            if (!string.IsNullOrEmpty(syntheticUnderlying.UnderlyingCode1)
                                && tdPriceProvider.TryGetPrice(syntheticUnderlying.UnderlyingCode1, out var price))
                            {
                                price1 = GetCalcUnderlyingPrice(syntheticUnderlying.UnderlyingCode1,
                                    price, ValueDateCalcBefore, dayEodPricesCalc, dayEodPricesCalcBefore);
                            }
                            if (!string.IsNullOrEmpty(syntheticUnderlying.UnderlyingCode2)
                                && tdPriceProvider.TryGetPrice(syntheticUnderlying.UnderlyingCode2, out price))
                            {
                                price2 = GetCalcUnderlyingPrice(syntheticUnderlying.UnderlyingCode2,
                                    price, ValueDateCalcBefore, dayEodPricesCalc, dayEodPricesCalcBefore);
                            }
                            if (!string.IsNullOrEmpty(syntheticUnderlying.UnderlyingCode3)
                                && tdPriceProvider.TryGetPrice(syntheticUnderlying.UnderlyingCode3, out price))
                            {
                                price3 = GetCalcUnderlyingPrice(syntheticUnderlying.UnderlyingCode3,
                                    price, ValueDateCalcBefore, dayEodPricesCalc, dayEodPricesCalcBefore);
                            }
                            if (!string.IsNullOrEmpty(syntheticUnderlying.UnderlyingCode4)
                                && tdPriceProvider.TryGetPrice(syntheticUnderlying.UnderlyingCode4, out price))
                            {
                                price4 = GetCalcUnderlyingPrice(syntheticUnderlying.UnderlyingCode4,
                                    price, ValueDateCalcBefore, dayEodPricesCalc, dayEodPricesCalcBefore);
                            }

                            price = price1 * (syntheticUnderlying.Coefficient1 ?? 0) + price2 * (syntheticUnderlying.Coefficient2 ?? 0)
                                + price3 * (syntheticUnderlying.Coefficient3 ?? 0) + price4 * (syntheticUnderlying.Coefficient4 ?? 0) + (syntheticUnderlying.Constant ?? 0);
                            if (price != 0)
                            {
                                eodPrices.SetPrice(t.UnderlyingCode, price);
                            }
                            else
                            {
                                calcTrades = calcTrades.Where(o => o.UnderlyingCode != t.UnderlyingCode).ToList();
                            }
                        }
                        //普通标的的模拟价格
                        else
                        {
                            var price = GetCalcUnderlyingPrice(t.UnderlyingCode,
                               useClosePrice ? t.ClosePrice : t.SettlePrice, ValueDateCalcBefore, dayEodPricesCalc, dayEodPricesCalcBefore);

                            if (price != 0)
                            {
                                eodPrices.SetPrice(t.UnderlyingCode, price);
                            }
                            else
                            {
                                calcTrades = calcTrades.Where(o => o.UnderlyingCode != t.UnderlyingCode).ToList();
                            }
                        }
                    });
                }

                #endregion

                var tradeRiskResult = CalculatorHelper.CalculateRisksForTrades(
                    //根据模拟价格，对下一个交易日进行模拟试算
                    valueDate: QdpCalendarHelper.GetNonHoliday(req.ValueDate.AddDays(1)),
                    tradeList: calcTrades,
                    calcScenario: Enums.CalcScenarioEnum.EodSettlement,
                    priceProvider: eodPrices,
                    pricingRequest: QdpPricingRequest.PV_ONLY,
                    settlementType: useClosePrice ? SettlementTypeEnum.ClosePrice : SettlementTypeEnum.SettlePrice,
                    isUseTradeVol: PS.Config.IsTradeVol,
                    preciseTimeMode: false);

                foreach (var underlyingPv in underlyingPvs)
                {
                    underlyingPv.Value.Add(0);
                }
                foreach (var result in tradeRiskResult.Results)
                {
                    foreach (var underlying in result.Underlyings)
                    {
                        if (underlying == null)
                        {
                            continue;
                        }
                        if (underlyingPvs.ContainsKey(underlying.UnderlyingCode))
                        {
                            var index = underlyingPvs[underlying.UnderlyingCode].Count() - 1;
                            underlyingPvs[underlying.UnderlyingCode][index] = underlyingPvs[underlying.UnderlyingCode].Last() + (double.IsNaN(result.ValueResult.Pv) ? 0 : result.ValueResult.Pv);
                        }
                        else
                        {
                            underlyingPvs.Add(underlying.UnderlyingCode, new List<double>());
                            underlyingPvs[underlying.UnderlyingCode].Add(double.IsNaN(result.ValueResult.Pv) ? 0 : result.ValueResult.Pv);
                        }
                    }
                    if (req.IsNeedExport)
                    {
                        var t = result.Trade;
                        var postionside = t.BuySell == "买入" ? "long" : "short";
                        var code = !ConsTrade.TradeTypesForHedge.Contains(t.TradeType)
                            ? t.TradeNumber
                            : HedgePnlCalc.GetHedgeUniqueCode(t.AssetId, t.TradeType, t.BuySell, t.UnderlyingCode, t.ExchangeOptionCode);
                        if (!tradePvs.ContainsKey(code))
                        {
                            tradePvs.Add(code, new List<double>() { result.ValueResult.Pv });
                        }
                        else
                        {
                            tradePvs[code].Add(result.ValueResult.Pv);
                        }
                    }
                }

                PvList.Add(tradeRiskResult.Results.Sum(x => double.IsNaN(x.ValueResult.Pv) ? 0 : x.ValueResult.Pv));

                ValueDateCalc = ValueDateCalcBefore;
            }
            var tradeRiskResultToday = CalculatorHelper.CalculateRisksForTrades(
                valueDate: req.ValueDate,
                tradeList: tradeList,
                calcScenario: Enums.CalcScenarioEnum.EodSettlement,
                priceProvider: tdPriceProvider,
                pricingRequest: QdpPricingRequest.PV_ONLY,
                settlementType: useClosePrice ? SettlementTypeEnum.ClosePrice : SettlementTypeEnum.SettlePrice,
                isUseTradeVol: PS.Config.IsTradeVol,
                preciseTimeMode: false);
            if (req.IsNeedExport)
            {
                ExportTradePvs(tradeRiskResultToday, tdPriceProvider, req.ValueDate, tradePvs);
            }
            var realPv = tradeRiskResultToday.Results.Sum(x => double.IsNaN(x.ValueResult.Pv) ? 0 : x.ValueResult.Pv);
            var underlyingRealPvs = new Dictionary<string, double>();
            foreach (var result in tradeRiskResultToday.Results)
            {
                foreach (var underlying in result.Underlyings)
                {
                    if (underlying == null)
                    {
                        continue;
                    }
                    if (underlyingRealPvs.ContainsKey(underlying.UnderlyingCode))
                    {
                        underlyingRealPvs[underlying.UnderlyingCode] += (double.IsNaN(result.ValueResult.Pv) ? 0 : result.ValueResult.Pv);
                    }
                    else
                    {
                        underlyingRealPvs.Add(underlying.UnderlyingCode, 0);
                        underlyingRealPvs[underlying.UnderlyingCode] = (double.IsNaN(result.ValueResult.Pv) ? 0 : result.ValueResult.Pv);
                    }
                }
            }
            var record = new eod_var()
            {
                ValueDate = req.ValueDate,
                PvObject = string.Join(",", PvList),
                RealPv = realPv,
                VaRType = (int)EnumVaRType.HistoricalSimulation,
                OptName = UserName,
                OptId = UserId,
                OptDate = DateTime.Now,
                UnderlyingCode = "",
                TradeType = req.TradeType,
                AssetId = req.AssetId ?? 0

            };
            SaveEodVaR(record);
            foreach (var underlyingRealPv in underlyingRealPvs)
            {
                if (underlyingPvs.TryGetValue(underlyingRealPv.Key, out var underlyingPv))
                {
                    record = new eod_var()
                    {
                        ValueDate = req.ValueDate,
                        PvObject = string.Join(",", underlyingPv),
                        RealPv = underlyingRealPv.Value,
                        VaRType = (int)EnumVaRType.HistoricalSimulation,
                        OptName = UserName,
                        OptId = UserId,
                        OptDate = DateTime.Now,
                        UnderlyingCode = underlyingRealPv.Key,
                        TradeType = req.TradeType,
                        AssetId = req.AssetId ?? 0
                    };
                    SaveEodVaR(record);
                }
            }
        }

        public void CalcSimpleDeltaGammaVaR(eod_varReq req)
        {
            //从日终风险表获得DeltaCash和GammaCash，并按照标的资产合并
            var eodRisks = DbContext.eod_trade_risk.AsNoTracking().Where(r => r.ValueDate == req.ValueDate).ToList();
            if (req.AssetId != null && req.AssetId != 0)
            {
                var tradeIds = DbContext.trade.Where(o => ConsTrade.PositionTradeStatusList.Contains(o.TradeStatus) && o.AssetId == req.AssetId).Select(o => o.id);
                eodRisks = eodRisks.Where(o => tradeIds.Contains(o.TradeId)).ToList();
            }
            var totalPv = (double)eodRisks.Sum(r => r.Pv);
            var underlyingCodes = eodRisks.Where(r => r.Exposure != null).Select(r => r.Exposure).Distinct().ToList();
            var deltaCashDict = underlyingCodes.ToDictionary(c => c, x => 0.0);
            var gammaCashDict = underlyingCodes.ToDictionary(c => c, x => 0.0);
            var thetaDict = underlyingCodes.ToDictionary(c => c, x => 0.0);
            var pvDict = underlyingCodes.ToDictionary(c => c, x => 0.0);

            foreach (var risk in eodRisks)
            {
                if (risk.Exposure == null)
                {
                    continue;
                }
                deltaCashDict[risk.Exposure] += risk.DeltaCash;
                gammaCashDict[risk.Exposure] += risk.GammaCash;
                thetaDict[risk.Exposure] += (double)risk.Theta;
                //underlying totalPv的计算
                pvDict[risk.Exposure] += (double)risk.Pv;
            }

            //获取各标的过去30个交易日的历史波动率            
            var volDict = underlyingCodes.ToDictionary(c => c, x => 0.0);
            var underlyings = DbContext.underlying_manager.AsNoTracking().Where(u => underlyingCodes.Contains(u.UnderlyingCode)).ToList();

            var volCalculator = new VolCaculator();
            var daysInYear = (int)valuedateBLL.TradeDayCount.ToDayCountImpl().DaysInYear();
            foreach (var underlying in underlyings)
            {
                var priceDict = volCalculator.GetHistoricalPrices(underlying, req.ValueDate, 30 + 1);
                var prices = priceDict.Select(f => f.Value).ToList();
                var lnDiffs = volCalculator.GetLnDiffList(prices);
                var vol = volCalculator.GetVolFromUnderlyingLogDiffs(lnDiffs, daysInYear);
                volDict[underlying.UnderlyingCode] = vol;
            }

            //计算各标的资产的VaR
            var varDict = new Dictionary<string, double>();
            var sqrtT = Math.Sqrt(daysInYear);
            foreach (var code in underlyingCodes)
            {
                if (gammaCashDict[code] < 0)
                {
                    if (double.IsNaN(volDict[code]))
                    {
                        volDict[code] = 0;
                    }
                    var priceChange = 3.0 * volDict[code] / sqrtT;
                    varDict[code] = -(Math.Abs(deltaCashDict[code] * priceChange) + 0.5 * gammaCashDict[code] * priceChange * priceChange);
                }
                else
                {
                    varDict[code] = thetaDict[code];
                }
            }
            var totalVar = varDict.Values.Sum();
            foreach (var code in underlyingCodes)
            {
                var value = new eod_var()
                {
                    ValueDate = req.ValueDate,
                    UnderlyingCode = code,
                    RealPv = pvDict[code],
                    VaRType = (int)EnumVaRType.SimpleDeltaGamma,
                    VaRValue = varDict[code],
                    OptName = UserName,
                    OptId = UserId,
                    OptDate = DateTime.Now,
                    TradeType = "",
                    AssetId = req.AssetId ?? 0
                };
                SaveEodVaR(value);
            }
            var record = new eod_var()
            {
                ValueDate = req.ValueDate,
                UnderlyingCode = "",
                RealPv = totalPv,
                VaRType = (int)EnumVaRType.SimpleDeltaGamma,
                VaRValue = totalVar,
                OptName = UserName,
                OptId = UserId,
                OptDate = DateTime.Now,
                TradeType = "",
                AssetId = req.AssetId ?? 0
            };

            SaveEodVaR(record);
        }

        /// <summary>
        /// 根据模拟交易日的标的变化率，试算出一个标的价格
        /// </summary>
        private double GetCalcUnderlyingPrice(string underlyingCode, double? settlePrice,
            DateTime valueDateCalcBefore, IPriceProvider dayEodPricesCalc, IPriceProvider dayEodPricesCalcBefore)
        {
            double price = 0;
            var um = DataCacheProvider.GetUnderlyingDataSource().GetData(underlyingCode);

            if (dayEodPricesCalc.TryGetPrice(underlyingCode, out var dayEodPriceCalc) &&
                dayEodPricesCalcBefore.TryGetPrice(underlyingCode, out var dayEodPriceCalcBefore))
            {
                if (dayEodPriceCalcBefore > 0)
                {
                    price = (settlePrice ?? 0.0) * dayEodPriceCalc / dayEodPriceCalcBefore;
                }
                else
                {
                    throw new ServiceException($"标的{underlyingCode}在交易日{valueDateCalcBefore:yyyy-MM-dd}的标的结算价不合法，试算失败");
                }
            }
            else if (um.UnderlyingInstrumentType == "Stock")
            {
                if (!dayEodPricesCalc.TryGetPrice(underlyingCode, out dayEodPriceCalc))
                {
                    return 0;
                }
                else
                {
                    //取不到前一天的，就取那天的价格
                    return dayEodPriceCalc;
                }
            }
            else//标的不存在收盘价时，用主标的合约的变化率来计算
            {
                var underlyingCodeArray = underlyingCode.TakeWhile(x => char.IsLetter(x)).ToArray();
                var mainUnderlyingCode = new string(underlyingCodeArray) + "00";

                if (!dayEodPricesCalc.TryGetPrice(mainUnderlyingCode, out dayEodPriceCalc))
                {
                    return 0;
                }
                else if (!dayEodPricesCalcBefore.TryGetPrice(mainUnderlyingCode, out dayEodPriceCalcBefore))
                {
                    //取不到前一天的，就取那天的价格
                    return dayEodPriceCalc;
                }

                if (dayEodPriceCalcBefore > 0)
                {
                    price = (settlePrice ?? 0.0) * dayEodPriceCalc / dayEodPriceCalcBefore;
                }
                else
                {
                    throw new ServiceException($"标的{underlyingCode}对应的主标的合约{mainUnderlyingCode}在交易日{valueDateCalcBefore:yyyy-MM-dd}的标的结算价不合法，试算失败");
                }
            }
            return price;
        }

        private void ExportTradePvs(TradeRiskResult resultToday, IPriceProvider priceProvider, DateTime date, Dictionary<string, List<double>> tradePvs)
        {
            var list = resultToday.Results;
            var templateFile = OtcAppContext.MapPath("~/App_Docs/导出模板/EodVar中间数据导出.xlsx");
            var dicList = new List<Dictionary<string, string>>();
            foreach (var result in list)
            {
                var t = result.Trade;
                var postionside = t.BuySell == "买入" ? "long" : "short";
                var code = t.TradeNumber ?? HedgePnlCalc.GetHedgeUniqueCode(t.AssetId, t.TradeType, t.BuySell, t.UnderlyingCode, t.ExchangeOptionCode);
                var dic = new Dictionary<string, string>();
                priceProvider.TryGetPrice(result.Trade.UnderlyingCode, out var underlyingPrice);
                dic["TradeNumber"] = code;
                dic["UnderlyingCode"] = result.Trade.UnderlyingCode;
                dic["UnderlyingPrice"] = underlyingPrice.OtcFormatMoney();
                dic["Vol"] = result.ValueResult.Vol.OtcFormatPercent();
                dic["RealPv"] = result.ValueResult.Pv.OtcFormatMoney();
                dic["Pvs"] = string.Join(",", tradePvs[code]);

                dicList.Add(dic);
            }

            var list2 = dicList.Select(n => new ExpandoDictionary<string, string>(n)).ToArray();

            var bytes = ExcelGenerator.UseTemplateGenerator(templateFile).AddVariable(new { list = list2 }).GenerateBytes();

            var dicPath = OtcAppContext.MapPath(@"\App_Docs\Temp");
            Directory.CreateDirectory(dicPath);
            var xlsxFilePath = Path.Combine(dicPath, $"EodVar中间数据{date:yyyyMMdd}.xlsx");
            File.WriteAllBytes(xlsxFilePath, bytes);
        }
        public List<eod_varResult> GetEodVaR(eod_varReq req)
        {
            if (req.TradeType == null)
            {
                req.TradeType = "";
            }
            //从js里移过来的逻辑;
            req.PvPercent = 1 - req.PvPercent;
            req.AssetId = req.AssetId == null ? 0 : req.AssetId;
            var eodVaRs = DbContext.eod_var.Where(x => x.ValueDate == req.ValueDate && x.VaRType == req.VaRType && x.TradeType == req.TradeType && x.AssetId == req.AssetId);
            List<string> underlyingCodes = new List<string>();
            if (!string.IsNullOrWhiteSpace(req.UnderlyingIds))
            {
                var underlyingIds = req.UnderlyingIds.Split(',');

                foreach (var id in underlyingIds)
                {
                    UnderlyingDataProvider _umProvider = new UnderlyingDataProvider();
                    var um = _umProvider.GetUnderlying(int.Parse(id));
                    underlyingCodes.Add(um.UnderlyingCode);
                }
                eodVaRs = eodVaRs.Where(o => underlyingCodes.Contains(o.UnderlyingCode));
            }

            if (eodVaRs == null || eodVaRs.Count() < 1)
            {
                var service = new EodVaRService(OptUser);
                if (req.EndValueDate == null || req.EndValueDate.Value == req.ValueDate)
                {
                    service.CalcEodVaR(req);
                }
                else
                {
                    var dayCount = (req.EndValueDate.Value - req.ValueDate).TotalDays;
                    for (var i = 0; i <= dayCount; i++)
                    {

                        if (!QdpModule.QdpCalendarHelper.IsHoliday(req.ValueDate))
                        {
                            service.CalcEodVaR(req);
                        }
                    }
                }
                eodVaRs = DbContext.eod_var.Where(x => x.ValueDate == req.ValueDate && x.VaRType == req.VaRType && x.TradeType == req.TradeType && x.AssetId == req.AssetId);
                if (!string.IsNullOrWhiteSpace(req.UnderlyingIds))
                {
                    eodVaRs = eodVaRs.Where(o => underlyingCodes.Contains(o.UnderlyingCode));
                }

            }
            List<eod_varResult> results = new List<eod_varResult>();
            double calcPv = 0;
            var totalVaR = eodVaRs.FirstOrDefault(o => o.UnderlyingCode == null || o.UnderlyingCode == "");

            eodVaRs = eodVaRs.Where(o => o.UnderlyingCode != null && o.UnderlyingCode != "");

            if (underlyingCodes != null && underlyingCodes.Count > 0)
            {
                foreach (var eodVaR in eodVaRs)
                {
                    var AssetName = assetunitBLL.GetAllAssetUnitModel().FirstOrDefault(o => o.id == eodVaR.AssetId)?.Name;
                    AssetName = string.IsNullOrEmpty(AssetName) ? "-- 总计 --" : AssetName;
                    if (req.VaRType == (int)EnumVaRType.HistoricalSimulation)
                    {
                        var pvList = eodVaR.PvObject.Split(',').Select(x => double.TryParse(x, out var temp) ? temp : 0).OrderBy(x => x).ToArray();
                        var index = (int)Math.Floor(pvList.Length * req.PvPercent) - 1;
                        if (index < 0)
                        {
                            index = 0;
                        }
                        calcPv = pvList[index];
                    }
                    else
                    {
                        calcPv = eodVaR.VaRValue ?? 0;
                    }

                    var tempResult = new eod_varResult()
                    {
                        UnderlyingCode = eodVaR.UnderlyingCode,
                        AssetName = AssetName,
                        RealPv = eodVaR.RealPv ?? 0,
                        CalcPv = calcPv,
                        WinLoss = calcPv - (eodVaR.RealPv ?? 0),
                        WinLossPercent = (eodVaR.RealPv ?? 0) == 0 ? 0 : (calcPv - eodVaR.RealPv.Value) / Math.Abs(eodVaR.RealPv.Value)
                    };
                    results.Add(tempResult);
                }
            }

            if (totalVaR != null)
            {
                var AssetName = assetunitBLL.GetAllAssetUnitModel().FirstOrDefault(o => o.id == totalVaR.AssetId)?.Name;
                AssetName = string.IsNullOrEmpty(AssetName) ? "-- 总计 --" : AssetName;
                if (req.VaRType == (int)EnumVaRType.HistoricalSimulation)
                {
                    var pvList = totalVaR.PvObject.Split(',').Select(x => double.TryParse(x, out var temp) ? temp : 0).OrderBy(x => x).ToArray();
                    var index = (int)Math.Floor(pvList.Count() * req.PvPercent) - 1;
                    if (index < 0)
                    {
                        index = 0;
                    }
                    calcPv = pvList[index];
                }
                else
                {
                    calcPv = totalVaR.VaRValue ?? 0;
                }
                results.Add(new eod_varResult()
                {
                    UnderlyingCode = "-- 总计 --",
                    AssetName = AssetName,
                    RealPv = totalVaR.RealPv ?? 0,
                    CalcPv = calcPv,
                    WinLoss = calcPv - (totalVaR.RealPv ?? 0),
                    WinLossPercent = (totalVaR.RealPv ?? 0) == 0 ? 0 : (calcPv - totalVaR.RealPv.Value) / Math.Abs(totalVaR.RealPv.Value)
                });
                return results;
            }
            else
            {
                return results;
            }
        }
    }
}