using YLErp.DBModels.Consts;
using YLErp.Modules.CalculationModule;
using YLErp.QdpModule;

namespace YLErp.Modules.EodModule.SettlementModule.V2
{
    /// <summary>
    /// 临时存放
    /// </summary>
    class EodPositionSettleServiceTemp<TRisk, TPosition, TPnl> : EodSettleServiceBaseV2
            where TPnl : EodPnl, new()
            where TRisk : EodTradeRisk, new()
            where TPosition : EodTradePosition, new()
    {
        public EodPositionSettleServiceTemp(EodSettlementContextV2 context) : base(context)
        {

        }

        #region----盈亏分解V1----

        //判断是否可以进行盈亏分解计算
        private bool CanCalcPnlExplain(OtcTradeBase td)
        {
            switch (td.TradeType)
            {
                case "远期":
                case "收益互换":
                case "自定义交易":
                    return false;
                default:
                    return true;
            }
        }

        private void CalcPnlExplainV1(trade td, TPnl pnl1, TRisk risk1, double spotPrice1, double riskFreeRate1)
        {
            if (!CanCalcPnlExplain(td))
            {
                return;
            }

            var preRisk = DbContext.Set<TRisk>().Where(n => n.ValueDate < _context.SettleDate && n.TradeId == td.id)
                .OrderByDescending(n => n.ValueDate).Select(n => new { n.ValueDate, n.Vol, n.Pv }).FirstOrDefault();

            if (preRisk == null)
            {
                return;
            }

            DateTime date0;

            double spotPrice0, vol0, riskFreeRate0, PV0, vol1 = risk1.Vol;

            var hisData = DbContext.TradeHisData.Where(n => n.TradeId == td.id && n.ValueDate < _context.SettleDate && n.ValueType == ConsTradeField.NoRiskRate)
                .OrderByDescending(n => n.ValueDate).Select(n => new { n.Value }).FirstOrDefault();

            spotPrice0 = _context.GetPreEodPriceProvider().GetPrice(td.UnderlyingCode, td.SettlementType);

            PV0 = preRisk.Pv;
            vol0 = preRisk.Vol;
            date0 = preRisk.ValueDate;

            riskFreeRate0 = hisData?.Value ?? td.NoRiskRate ?? riskFreeRate1;

            var sdiff = spotPrice1 - spotPrice0;
            pnl1.PnLDelta = risk1.Delta * sdiff;
            pnl1.PnLGamma = risk1.Gamma * sdiff * sdiff / 2;
            pnl1.PnLVega = risk1.Vega * (risk1.Vol - vol0) * 100;
            pnl1.PnLTheta = risk1.Theta * (_context.SettleDate - _context.PreSettleDate).TotalDays;
            pnl1.PnLRho = risk1.Rho * (riskFreeRate1 - riskFreeRate0);

            //交易在上一交易日使用当前交易日的标的价格计算出的Pv
            var PV0s1 = CalcPnlExplainV1(td, date0, spotPrice1, vol0, riskFreeRate0);

            //交易在上一交易日使用当前交易日的波动率计算出的Pv
            var PV0v1 = CalcPnlExplainV1(td, date0, spotPrice0, vol1, riskFreeRate0);

            //交易在上一交易日使用当前交易日的标的价格和波动率计算出的Pv
            var PV0s1v1 = CalcPnlExplainV1(td, date0, spotPrice1, vol1, riskFreeRate0);

            pnl1.PnLPrice = PV0s1 - PV0;
            pnl1.PnLVol = PV0v1 - PV0;
            pnl1.PnLPriceVolCross = PV0s1v1 - PV0 - pnl1.PnLPrice - pnl1.PnLVol;
        }

        private static double CalcPnlExplainV1(trade td, DateTime valueDate, double spotPrice, double vol, double riskFreeRate)
        {
            var req = new OptionValueCalcRequest(riskFreeRate)
            {
                correlations = null,//不计算彩虹等多标的期权暂时不需要
                engineName = null,
                preciseTimeMode = false, //日终一定是false
                isEodCalc = true,
                pricingRequest = QdpPricingRequest.PV_ONLY,
                spotPrices = new[] { spotPrice },
                vols = new[] { vol }
            };

            var result = OptionCalculatorV2.GetOptionValueResult(valueDate, td, req, out _);

            return NumberHelper.Normalize(result.Pv);
        }

        #endregion
    }
}