using Qdp.Pricing.Base.Implementations;
using YLErp.Modules.CalculationModule;
using YLErp.Modules.EodModule.SettlementModule;
using YLErp.QdpModule;

namespace YLErp.Modules.EodModule
{
    [TestClass]
    public class EodSettlementTest : UnitTestBase
    {
        [TestMethod("收盘估值计算")]
        public void TestCalcPv()
        {
            var settleDate = new DateTime(2021, 4, 27);
            var predicate = PredicateBuilder.Create<trade>(t => t.TradeNumber == "CW20210016E0002");
            var otcTrades = new EodSettleDataQueryService(GetOptUser())
                        .GetOtcTrades(settleDate, predicate, out var tradeCashProvider);
            var td = otcTrades.FirstOrDefault();
            if (td == null)
            {
                Console.WriteLine("没有找到交易");
                return;
            }
            var eodpriceProvider = new YLErp.Modules.DataProviderModule.EodPriceProvider(settleDate);
            var spotPrice = eodpriceProvider.GetPrice(td.UnderlyingCode, SettlementTypeEnum.ClosePrice);
            var req = new OptionValueCalcRequest(td.NoRiskRate ?? 0)
            {
                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
                pricingRequest = QdpPricingRequest.BASIC_GREEKS,
                spotPrices = new[] { spotPrice }
            };
            if (td.TradeType != ConsGlobal.TradeType.CashFlow)
            {
                var volProvider = EodVolProviderFactory.GetEodVolProvider(settleDate, "持仓");
                var vol = volProvider.GetVol(td, spotPrice) ?? ConsGlobal.DefaultVol;
                req.vols = new[] { vol };
            }
            var option = OptionCalculatorV2.GetOptionValueResult(settleDate, td, req, out var underlyings);
            Console.WriteLine($"[{td.TradeType},{td.TradeNumber},{td.id}] pv:{option.Pv}, delta:{option.Delta}");
        }

        [TestMethod("测试盈亏分解--当天新开仓的交易")]
        public void TestCalcPnlExplainV2_NewOtcTradeDeal()
        {
            var db = DbContextFactory.GetYLDbContext();

            var td = db.trade.FirstOrDefault(n => n.TradeNumber == "CW20210016C0001");

            YLErp.BLL.tradeBLL.SetFieldsByTradeType(td);

            var pnl = new EodPnl();

            double spot0 = 5910, spot1 = 5911, pv1 = 53796.37;

            var pS0V1Q1T1 = CalcPnlExplainV2(td, new CalcField
            {
                spot = spot0,
                vol = 0.28,
                dividendRate = 0,
                riskFreeRate = 0.03,
                date = new DateTime(2021, 4, 27)
            }, PricingRequest.Pv | PricingRequest.Delta, x =>
            {

            });

            if (pS0V1Q1T1 != null)
            {
                pnl.PnLVega += NumberHelper.Normalize(pS0V1Q1T1.Pv - ((td.TradeSinglePrice ?? 0) * td.Notional));
                pnl.PnLDelta += NumberHelper.Normalize(pS0V1Q1T1.Delta * (spot1 - spot0));
                pnl.PnLGamma += NumberHelper.Normalize(pv1 - pS0V1Q1T1.Pv - pnl.PnLDelta);
                Console.WriteLine($"pS0V1Q1T1 pv:{pS0V1Q1T1.Pv}, delta:{pS0V1Q1T1.Delta}");
            }
            Console.WriteLine("计算失败");
        }

        //计算pv和delta
        private static TradeValueResult CalcPnlExplainV2(trade td, CalcField f, PricingRequest pricingRequest
            , Action<OptionTradeParamBase> paramOverride = null)
        {
            td.NoRiskRate = f.riskFreeRate;
            td.DividendRate = f.dividendRate;

            var req = new OptionValueCalcRequest(f.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
                pricingRequest = pricingRequest,
                spotPrices = new[] { f.spot },
                vols = new[] { f.vol },
                ParamOverride = paramOverride
            };

            return OptionCalculatorV2.GetOptionValueResult(f.date, td, req, out _);
        }

        class CalcField
        {
            //public double pv;

            public DateTime date;

            public double vol;

            public double dividendRate;

            public double spot;

            public double riskFreeRate;
        }
    }
}