/******************************************************************************
   Author: Joaquín Béjar García
   Email: jb@taunais.com
   Date: 14/8/24
******************************************************************************/

use optionstratlib::greeks::utils::big_n;
use optionstratlib::model::option::Options;
use optionstratlib::model::types::PositiveF64;
use optionstratlib::model::types::{ExpirationDate, OptionStyle, OptionType, Side};
use optionstratlib::pos;
use optionstratlib::pricing::black_scholes_model::black_scholes;
use optionstratlib::utils::logger::setup_logger;
use rayon::prelude::*;
use tracing::info;

struct OptionSimple {
    strike: PositiveF64,
    market_price: f64,
    implied_volatility: f64,
}

fn black_scholes_local(s: f64, k: f64, t: f64, r: f64, sigma: f64) -> f64 {
    let sqrt_t = t.sqrt();
    let d1 = ((s / k).ln() + (r + sigma * sigma / 2.0) * t) / (sigma * sqrt_t);
    let d2 = d1 - sigma * sqrt_t;

    s * big_n(d1) - k * (-r * t).exp() * big_n(d2)
}

fn volatility_mse(s: f64, options: &[OptionSimple], t: f64, r: f64) -> f64 {
    options
        .par_iter()
        .map(|opt| {
            let calculated_price =
                black_scholes_local(s, opt.strike.value(), t, r, opt.implied_volatility);
            (calculated_price - opt.market_price).powi(2)
        })
        .sum::<f64>()
        / options.len() as f64
}

fn optimize_parameters(s: f64, options: &[OptionSimple]) -> (f64, f64) {
    let t_range: Vec<f64> = (1..30).map(|days| days as f64 / 365.0).collect();
    let r_range: Vec<f64> = (0..100).map(|rate| rate as f64 / 1000.0).collect();

    let (best_t, best_r, _min_mse) = t_range
        .par_iter()
        .flat_map(|&t| {
            r_range.par_iter().map(move |&r| {
                let mse = volatility_mse(s, options, t, r);
                (t, r, mse)
            })
        })
        .min_by(|a, b| a.2.partial_cmp(&b.2).unwrap())
        .unwrap();

    (best_t, best_r)
}

fn get_price_status(theoretical_price: f64, market_price: f64) -> &'static str {
    if theoretical_price < market_price {
        "Expensive"
    } else {
        "Cheap"
    }
}

fn get_option_status(strike: f64, s: f64) -> &'static str {
    if strike < s {
        "ATM"
    } else {
        "OTM"
    }
}

#[rustfmt::skip]
#[allow(clippy::all)]
fn main() {
    setup_logger();

    let s = pos!(2476.6);

    let broker_data = vec![
        OptionSimple { strike: pos!(2380.0), market_price: 97.7, implied_volatility: 0.1975 },
        OptionSimple { strike: pos!(2385.0), market_price: 92.8, implied_volatility: 0.198438 },
        OptionSimple { strike: pos!(2390.0), market_price: 87.8, implied_volatility: 0.19375 },
        OptionSimple { strike: pos!(2395.0), market_price: 83.0, implied_volatility: 0.200313 },
        OptionSimple { strike: pos!(2400.0), market_price: 78.1, implied_volatility: 0.20125 },
        OptionSimple { strike: pos!(2405.0), market_price: 73.3, implied_volatility: 0.202188 },
        OptionSimple { strike: pos!(2410.0), market_price: 68.6, implied_volatility: 0.203125 },
        OptionSimple { strike: pos!(2415.0), market_price: 63.9, implied_volatility: 0.204063 },
        OptionSimple { strike: pos!(2420.0), market_price: 59.4, implied_volatility: 0.205 },
        OptionSimple { strike: pos!(2425.0), market_price: 54.9, implied_volatility: 0.205938 },
        OptionSimple { strike: pos!(2430.0), market_price: 50.6, implied_volatility: 0.206875 },
        OptionSimple { strike: pos!(2435.0), market_price: 46.4, implied_volatility: 0.207813 },
        OptionSimple { strike: pos!(2440.0), market_price: 42.4, implied_volatility: 0.20875 },
        OptionSimple { strike: pos!(2445.0), market_price: 38.5, implied_volatility: 0.212188 },
        OptionSimple { strike: pos!(2450.0), market_price: 34.8, implied_volatility: 0.210625 },
        OptionSimple { strike: pos!(2455.0), market_price: 31.4, implied_volatility: 0.211563 },
        OptionSimple { strike: pos!(2460.0), market_price: 28.2, implied_volatility: 0.21375 },
        OptionSimple { strike: pos!(2465.0), market_price: 25.2, implied_volatility: 0.215313 },
        OptionSimple { strike: pos!(2470.0), market_price: 22.5, implied_volatility: 0.216875 },
        OptionSimple { strike: pos!(2475.0), market_price: 20.0, implied_volatility: 0.218438 },
        OptionSimple { strike: pos!(2480.0), market_price: 17.6, implied_volatility: 0.22 },
        OptionSimple { strike: pos!(2485.0), market_price: 15.4, implied_volatility: 0.22 },
        OptionSimple { strike: pos!(2490.0), market_price: 13.4, implied_volatility: 0.22 },
        OptionSimple { strike: pos!(2495.0), market_price: 11.6, implied_volatility: 0.22 },
        OptionSimple { strike: pos!(2500.0), market_price: 9.9, implied_volatility: 0.22 },
        OptionSimple { strike: pos!(2505.0), market_price: 8.0, implied_volatility: 0.22375 },
        OptionSimple { strike: pos!(2510.0), market_price: 6.7, implied_volatility: 0.2275 },
        OptionSimple { strike: pos!(2515.0), market_price: 5.7, implied_volatility: 0.23125 },
        OptionSimple { strike: pos!(2520.0), market_price: 4.8, implied_volatility: 0.235 },
        OptionSimple { strike: pos!(2525.0), market_price: 4.0, implied_volatility: 0.23875 },
        OptionSimple { strike: pos!(2530.0), market_price: 3.4, implied_volatility: 0.2425 },
        OptionSimple { strike: pos!(2535.0), market_price: 2.8, implied_volatility: 0.245 },
        OptionSimple { strike: pos!(2540.0), market_price: 2.3, implied_volatility: 0.2475 },
        OptionSimple { strike: pos!(2545.0), market_price: 1.9, implied_volatility: 0.25 },
        OptionSimple { strike: pos!(2550.0), market_price: 1.6, implied_volatility: 0.2525 },
        OptionSimple { strike: pos!(2555.0), market_price: 1.3, implied_volatility: 0.255 },
        OptionSimple { strike: pos!(2560.0), market_price: 1.0, implied_volatility: 0.2575 },
        OptionSimple { strike: pos!(2565.0), market_price: 0.8, implied_volatility: 0.26 },
        OptionSimple { strike: pos!(2570.0), market_price: 0.6, implied_volatility: 0.2625 },
        OptionSimple { strike: pos!(2575.0), market_price: 0.4, implied_volatility: 0.265 },
        OptionSimple { strike: pos!(2580.0), market_price: 0.2, implied_volatility: 0.2675 },
        OptionSimple { strike: pos!(2585.0), market_price: 0.2, implied_volatility: 0.27 },
    ];


    let (best_t, best_r) = optimize_parameters(s.value(), &broker_data);

    info!("Best t: {:.4} años ({:.1} days)", best_t, best_t * 365.0);
    info!("Best r: {:.4}", best_r);

    for opt in &broker_data {
        let option = Options::new(
            OptionType::European,
            Side::Long,
            "GOLD".to_string(),
            opt.strike,
            ExpirationDate::Days(best_t * 365.0),
            opt.implied_volatility,
            pos!(1.0),
            s,
            best_r,
            OptionStyle::Call,
            0.0,
            None,
        );
        let theoretical_price = black_scholes(&option);
        let price_status = get_price_status(theoretical_price, opt.market_price);
        let option_status = get_option_status(opt.strike.value(), s.value());

        info!(
            "Strike {}: Market Price = {:.2}, Theoretical Price = {:.2}, VI = {:.2}% is {} is {}",
            opt.strike,
            opt.market_price,
            theoretical_price,
            opt.implied_volatility * 100.0,
            price_status,
            option_status
        );
    }
}