using Qdp.Pricing.Library.Common.MathMethods.VolTermStructure;

namespace YLErp.QdpModule
{
    /// <summary>
    /// 光大光子的SkewMap模式的波动率曲面的初始化类
    /// </summary>
    public class SkewMapVolSurfaceInitializer : IVolSurfaceInitializer
    {
        public void InitializeMarketProxy(VolSurfaceInitParams initParams)
        {
            var marketProxy = QdpMarketManager.Instance.GetPrebuiltMarketProxy(initParams.userId);
            InitializeMarketProxy(marketProxy, initParams);
        }

        public void InitializeMarketProxy(IQdpMarketProxy marketProxy, VolSurfaceInitParams initParams)
        {
            if (string.IsNullOrWhiteSpace(initParams.valueDate))
            {
                throw new ArgumentException("缺少valueDate", nameof(initParams.valueDate));
            }

            marketProxy.CreateMarket(initParams.valueDate);

            Dictionary<string, double> baseVols = null;
            try
            {
                baseVols = initParams.vols.ToDictionary(x => x.Expire, x => x.Vol * (1.0 + initParams.addVolRate));
            }
            catch (Exception ex)
            {
                throw new Exception($"{initParams.UnderlyingCode}的BaseVol格式不正确", ex);
            }

            if (baseVols == null)
            {
                throw new Exception($"{initParams.UnderlyingCode}的BaseVol为空");
            }

            if (!baseVols.ContainsKey("BidVar") || !baseVols.ContainsKey("AskVar"))
            {
                throw new Exception($"{initParams.UnderlyingCode}的BidVar或AskVar缺失");
            }

            var baseVolSurface = new SkewMapBaseVolSurface
            {
                BaseVol = baseVols,
                BidVar = baseVols["BidVar"],
                AskVar = baseVols["AskVar"]
            };

            var surfaceType = (initParams.volSurfaceMode != null && initParams.volSurfaceMode == "MoneynessVol") ? "MoneynessVol" : "StrikeVol";
            var volSurfaceName = initParams.volSurfaceNameKey;
            if (string.IsNullOrWhiteSpace(volSurfaceName))
            {
                volSurfaceName = initParams.UnderlyingCode;
            }
            marketProxy.SaveSkewMapBaseVolSurface(
                initParams.valueDate,
                volSurfaceName,
                baseVolSurface);
        }
    }
}