using Qdp.Foundation.Implementations;
using Qdp.Pricing.Base.Enums;
using Qdp.Pricing.Base.Implementations;
using Qdp.Pricing.Base.Utilities;
using Qdp.Pricing.Library.Base.Curves.Interfaces;
using Qdp.Pricing.Library.Common.Interfaces;
using Qdp.Pricing.Library.Common.Market;
using Qdp.Pricing.Library.Options.MonteCarlo;
using Qdp.Pricing.Library.Options.Products.Asian;
using YLErp.BLL.Calculation;
using YLErp.Enums;
using YLErp.Modules.ApiModule.PricingModule.CustomizedAsianPricing;
using YLErp.Modules.CalculationModule;
using YLErp.Modules.PricingModule;
using YLErp.QdpModule;

namespace YLErp.Modules.ApiModule.PricingModule
{
    /// <summary>
    /// 期权定价api服务
    /// </summary>
    public partial class OptionPricingApiService
    {
        /// <summary>
        /// 获取期权定价结果
        /// </summary>
        public CalcOptionPriceResult GetOptionPrice(OptionPricingModelV2 req)
        {
            if (req.ExtendFields != null && req.ExtendFields.Count > 0)
            {
                var dic = new Dictionary<string, string>(StringComparer.OrdinalIgnoreCase);
                foreach (var kv in req.ExtendFields)
                {
                    dic[kv.Key] = req.ExtendFields[kv.Key];
                }
                req.ExtendFields = dic;
            }

            OptionPricingApiHelper.CheckPricingRequestData(req);

            string fixings = null;

            if (req.ExtendFields != null)
            {
                req.ExtendFields.TryGetValue("fixings", out fixings);
            }

            var result = new PriceCalcService(OptUserInfo.SystemUser).CalcOptionPrice(req, req.IsCalcMargin
                , CalcScenarioEnum.Pricing, req.IsCalcGreeks, fixings: fixings);

            return result;
        }

        public CalcOptionPriceResult GetCustomizedAsianOptionPrice(CustomizedAsianPricingModel req)
        {
            var startDate = new Date(req.StartDate.Value);
            var maturityDate = new Date(req.ExerciseDate.Value);
            var callPut = req.CallPut.ToUpper() == "PUT" ? OptionType.Put : OptionType.Call;
            var lockObsStartDate = new Date(req.LockObsStartDate);
            var lockObsEndDate = new Date(req.LockObsEndDate);
            var lockStartDate = new Date(req.LockStartDate);

            var calendar = CalendarImpl.Get("chn");
            var dayCount = CalculatorHelper.GetTradeDayCount().ToDayCountImpl();

            var option = new EnhancedAsianOptionWithLockAndBarrier(
                startDate,
                maturityDate,
                OptionExercise.European,
                callPut,
                strike: req.Strike.Value,
                lockPrice: req.LockPrice,
                barrierPrice: req.BarrierPrice.HasValue ? req.BarrierPrice.Value : double.NaN, // 13659.26,
                isLocked: req.IsLocked,
                lockObsStartDate: lockObsStartDate,
                lockObsEndDate: lockObsEndDate,
                lockStartDate: lockStartDate,
                underlyingInstrumentType: InstrumentType.CommodityFutures,
                calendar: calendar,
                dayCount: dayCount,
                payoffCcy: CurrencyCode.CNY,
                settlementCcy: CurrencyCode.CNY,
                exerciseDates: new Date[] { maturityDate },
                observationDates: calendar.BizDaysBetweenDatesExcluStartDay(lockObsEndDate, maturityDate).ToArray(),
                fixings: QdpHelper.ParseFixingsFromString(req.Fixings),
                avgPriceRate: req.AvgPriceRate.HasValue ? req.AvgPriceRate.Value : 1.0,
                finalPriceSpread: req.FinalPriceSpread.HasValue ? req.FinalPriceSpread.Value : 0.0,
                notional: req.Notional);


            var mcEngine = new GbmMonteCarloEngine(5000, 1e-3, 1e-6, 1, true);

            var vol = req.Vol.Value;
            var spot = req.SpotPrice.Value;
            var r = req.RiskFreeRate.Value;
            var q = req.DividendRate.Value;

            var valueDate = new Date(req.ValueDate.Value);

            //var market = TestHelper.CreateMarket(valueDate, vol: vol, spot: spot, riskFreeRate: r, dividendRate: q);

            var marketProxy = new MarketProxy(valueDate, r);
            marketProxy.SetVolSurface("volsurf", vol);
            var volsurf = marketProxy.QdpMarket.VolSurfaces["volsurf"];

            var dividendCurveName = Guid.NewGuid().ToString();
            var dividendCurve = CalculatorHelper.CreateConstantRiskFreeCurve(dividendCurveName, q);
            marketProxy.SetYieldCurve(dividendCurveName, dividendCurve);

            var market = new MarketCondition(
                    x => x.ValuationDate.Value = marketProxy.QdpMarket.ReferenceDate,
                    x => x.DiscountCurve.Value = marketProxy.QdpMarket.YieldCurves[MarketProxy.RiskFreeDiscountCurve],
                    x => x.DividendCurves.Value = new Dictionary<string, IYieldCurve> { { "", marketProxy.QdpMarket.YieldCurves[dividendCurveName] } },
                    x => x.VolSurfaces.Value = new Dictionary<string, IVolSurface> { { "", volsurf } },
                    x => x.SpotPrices.Value = new Dictionary<string, double> { { "", spot } }
                    );

            var result = mcEngine.Calculate(option, market, QdpPricingRequest.BASIC_GREEKS);

            return new CalcOptionPriceResult()
            {
                CalcId = req.CalcId,
                calcResult = new TradeValueResult(result)                
            };
        }
    }
}