using YLErp.Models;

namespace YLErp.Modules.TradeRiskCalcModule
{
    static class TradeRiskHelper
    {
        /// <summary>
        /// 计算每笔期权的盈亏
        /// </summary>
        public static void CalculateOptionTradePnlWithHedge(IEnumerable<TradingRiskParameter> list)
        {
            //计算每个标的期权的Delta总值
            var optionDeltaTotalDict = new Dictionary<string, double>();
            var optionList = list.Where(x => x.IsOption).ToArray();
            foreach (var option in optionList)
            {
                if (!string.IsNullOrEmpty(option.UnderlyingCode))
                {
                    if (optionDeltaTotalDict.ContainsKey(option.UnderlyingCode))
                    {
                        optionDeltaTotalDict[option.UnderlyingCode] += option.Delta;
                    }
                    else
                    {
                        optionDeltaTotalDict[option.UnderlyingCode] = option.Delta;
                    }
                }
            }

            //计算每个标的对冲交易的总盈亏汇总
            var hedgeTradeTotalPnlDict = new Dictionary<string, double>();
            var hedgeTradeList = list.Where(x => !x.IsOption).ToArray();
            foreach (var trade in hedgeTradeList)
            {
                if (hedgeTradeTotalPnlDict.ContainsKey(trade.UnderlyingCode))
                {
                    hedgeTradeTotalPnlDict[trade.UnderlyingCode] += trade.TotalPnl;
                }
                else
                {
                    hedgeTradeTotalPnlDict[trade.UnderlyingCode] = trade.TotalPnl;
                }
            }

            //计算每个标的期权交易单位Delta的对冲盈亏值
            var hedgePnlPerDelta = new Dictionary<string, double>();
            foreach (var kv in optionDeltaTotalDict)
            {
                if (!hedgePnlPerDelta.ContainsKey(kv.Key) && kv.Value != 0 && hedgeTradeTotalPnlDict.ContainsKey(kv.Key))
                {
                    hedgePnlPerDelta[kv.Key] = hedgeTradeTotalPnlDict[kv.Key] / kv.Value;
                }
            }

            foreach (var item in list)
            {
                if (item.IsOption)
                {
                    item.TotalPnlWithHedge = item.TotalPnl;
                    if (!string.IsNullOrEmpty(item.UnderlyingCode) && hedgePnlPerDelta.ContainsKey(item.UnderlyingCode) && item.TradeType != "收益互换")
                    {
                        item.PnlWithHedge = hedgePnlPerDelta[item.UnderlyingCode] * item.Delta;
                        item.TotalPnlWithHedge += hedgePnlPerDelta[item.UnderlyingCode] * item.Delta;
                    }
                }
            }
        }

        /// <summary>
        /// 是否计算T+1日Delta
        /// </summary>
        public static bool IsCalcDeltaT1()
        {
            //光子在15点以后计算T+1日Delta
            return PS.Config.Company == Configuration.CompanyEnum.光大光子 || PS.Config.Company == Configuration.CompanyEnum.润和;
        }
    }
}