using Qdp.Pricing.Base.Implementations;
using YLErp.Models;

namespace YLErp.QdpModule
{
    /// <summary>
    /// 
    /// </summary>
    public class VolSurfaceVectorBase
    {
        /// <summary>
        /// a vector of time to maturity
        /// </summary>
        public string[] expires { get; set; }

        /// <summary>
        /// a vector of strike prices 
        /// </summary>
        public double[] strikes { get; set; }

        /// <summary>
        /// 解析expires和strikes
        /// </summary>
        /// <param name="volTable">波动率表</param>
        /// <param name="volMap">用于存储strike和expire组成的key对应的波动率(key格式:{strike:F2}^{expire})</param>
        protected static void InnerParse(IEnumerable<SingleVol> volTable, out string[] expires, out double[] strikes, Dictionary<string, SingleVol> volMap = null)
        {
            if (volTable == null || !volTable.Any())
            {
                strikes = new double[0];
                expires = new string[0];
                return;
            }

            var strikeSet = new HashSet<double>();
            var expireSet = new HashSet<string>(StringComparer.OrdinalIgnoreCase);

            foreach (var item in volTable)
            {
                strikeSet.Add(item.Strike);
                expireSet.Add(item.Expire ?? string.Empty);

                if (volMap != null)
                {
                    var key = string.Concat(item.Strike.ToString("F"), "^", item.Expire);
                    volMap[key] = item;
                }
            }

            strikes = strikeSet.ToArray();
            Array.Sort(strikes);

            expires = expireSet.ToArray();
            var terms = expires.ToDictionary(x => x, x => new Term(x));
            Array.Sort(expires, (x, y) => terms[x].CompareTo(terms[y]));
        }
    }
}