using System.Data;

namespace YLErp.Modules.SkewMapVolModule
{
    public struct SkewMapVolSurface
    {
        public SkewMapVolSurface(Dictionary<string, double> baseVol)
        {
            _baseVol = baseVol;
        }

        public double GetVol(double t, double k, double spot, bool isCall, bool isBuy, int var)
        {
            var basevol = GetBaseVol(t: t);
            return GetVolWithBaseVol(baseVol: basevol, t: t, k: k, spot: spot, isCall: isCall, isBuy: isBuy, var: var);
        }

        public double GetVolWithBaseVol(double baseVol, double t, double k, double spot, bool isCall, bool isBuy, int var)
        {
            var moneyness = k / spot - 1;
            if (isCall)
            {
                moneyness *= -1;
            }

            return InterpolateVol(term: t, moneyness: moneyness, basevol: baseVol, isBuy: isBuy, var: var);
        }

        public double GetBaseVol(double t)
        {
            var m = 21;
            double vol;
            if (t <= 21)
            {
                vol = _baseVol["1M"];
            }
            else if (t > m && t < 3 * m)
            {
                vol = ((3 * m - t) * _baseVol["1M"] + (t - m) * _baseVol["3M"]) / (2 * m);
            }
            else if (t > 3 * m)
            {
                vol = ((6 * m - t) * _baseVol["3M"] + (t - 3 * m) * _baseVol["6M"]) / (3 * m);
            }
            else
            {
                vol = _baseVol["6M"];
            }

            return vol;
        }

        private double InterpolateVol(double term, double moneyness, double basevol, bool isBuy, int var)
        {
            var index = new Dictionary<int, double>();
            var weight = new Dictionary<int, double>();

            if (term <= 10)
            {
                index[1] = index[2] = 10;
                weight[1] = weight[2] = 0.5;
            }
            else if (term >= 80)
            {
                index[1] = index[2] = 80;
                weight[1] = weight[2] = 0.5;
            }
            else
            {
                index[1] = Math.Max(10, Math.Floor(term / 20) * 20);
                index[2] = (Math.Floor(term / 20) + 1) * 20;
                weight[1] = (index[2] - term) / (index[2] - index[1]);
                weight[2] = (term - index[1]) / (index[2] - index[1]);
            }

            if (moneyness <= -0.1)
            {
                index[3] = index[4] = -0.1;
                weight[3] = weight[4] = 0.5;
            }
            else if (moneyness >= 0.1)
            {
                index[3] = index[4] = 0.1;
                weight[3] = weight[4] = 0.5;
            }
            else
            {
                index[3] = Math.Floor(moneyness / 0.01) * 0.01;
                index[4] = (Math.Floor(moneyness / 0.01) + 1) * 0.01;
                weight[3] = (index[4] - moneyness) / (index[4] - index[3]);
                weight[4] = (moneyness - index[3]) / (index[4] - index[3]);
            }

            if (basevol <= 0.1)
            {
                index[5] = index[6] = 0.1;
                weight[5] = weight[6] = 0.5 * basevol / 0.1;
            }
            else if (basevol >= 0.4)
            {
                index[5] = index[6] = 0.4;
                weight[5] = weight[6] = 0.5 * basevol / 0.4;
            }
            else
            {
                index[5] = Math.Floor(basevol / 0.05) * 0.05;
                index[6] = (Math.Floor(basevol / 0.05) + 1) * 0.05;
                weight[5] = (index[6] - basevol) / (index[6] - index[5]);
                weight[6] = (basevol - index[5]) / (index[6] - index[5]);
            }

            double vol = 0;
            for (var i = 1; i <= 2; i++)
            {
                for (var j = 3; j <= 4; j++)
                {
                    for (var k = 5; k <= 6; k++)
                    {
                        var current_weight = weight[i] * weight[j] * weight[k];
                        var vol_to_add = FindSkew(term: index[i], moneyness: index[j], atm: index[k], isBuy: isBuy, var: var);
                        vol += vol_to_add * current_weight;
                    }
                }
            }

            return vol;
        }

        private double FindSkew(double term, double moneyness, double atm, bool isBuy, int var)
        {
            var skewMap = VolSkewMapInitializerSingleton.Instance.GetSkewMapData(isBuy);
            if (skewMap == null)
            {
                throw new Exception("无法获取全局SkewMap数据.");
            }
            var all = from DataRow row in skewMap.Rows
                      where Math.Abs((double)row["term"] - term) < 1e-7 &&
                            Math.Abs((double)row["moneyness"] - moneyness) < 1e-7 &&
                            Math.Abs((double)row["basevol"] - atm) < 1e-7
                      select row;
            var res = all.First();
            return (double)res[var.ToString()];
        }

        private readonly Dictionary<string, double> _baseVol;
    }
}