package main

import (
	"fmt"
	"math"
	"math/rand"
	"time"
)

// RFC8601Time is a time.Time wrapper
type RFC8601Time struct {
	time.Time
}

func (t RFC8601Time) Sub(u RFC8601Time) time.Duration {
	return t.Sub(u)
}

func (t RFC8601Time) MarshalJSON() ([]byte, error) {
	fmt.Println("Here!")
	stamp := fmt.Sprintf("\"%s\"", t.Format("2006-01-02"))
	return []byte(stamp), nil
}

// Option struct that holds all the details of an option
// Option details
type Option struct {
	OptType    int64
	Strike     float64
	ExpiryDate RFC8601Time

	// Market data
	ValueDate RFC8601Time
	Spot      float64
	Rfr       float64
	Vol       float64
	Sims      int64

	// Results
	FV    float64
	Delta float64
	Vega  float64
	Rho   float64
	Gamma float64
	Theta float64
}

// Single simulation of Geometric Brownian Motion
func gbmSimulation(spot float64, rfr float64, vol float64, tte float64, randNum float64) float64 {
	var drift, stoch float64

	drift = (rfr - math.Pow(vol, 2)/2) * tte
	stoch = vol * math.Pow(tte, 0.5) * randNum
	return spot * math.Exp(drift+stoch)
}

// RunSimulations is the main function that runs Monte Carlo simulations
// for an option. Note that it runs normal Geometric Brownian Motion
// to calculate the future spot levels
func RunSimulations(opt *Option) {

	var i int64
	var level float64

	levels := make([]float64, opt.Sims)

	tte := opt.ExpiryDate.Sub(opt.ValueDate).Hours() / (24 * 365)

	for i = 0; i < opt.Sims; i++ {
		randNum := rand.NormFloat64()
		// Base
		levels[i] = gbmSimulation(opt.Spot, opt.Rfr, opt.Vol, tte, randNum)
		opt.FV += math.Max((levels[i]-opt.Strike)*float64(opt.OptType), 0)

		// Delta
		level = gbmSimulation(opt.Spot+0.0001, opt.Rfr, opt.Vol, tte, randNum)
		opt.Delta += math.Max((level-opt.Strike)*float64(opt.OptType), 0)

		// Gamma -- TODO: Doesn't look right
		level = gbmSimulation(opt.Spot+0.0001, opt.Rfr, opt.Vol, tte, randNum)
		level += gbmSimulation(opt.Spot-0.0001, opt.Rfr, opt.Vol, tte, randNum)
		level -= 2 * gbmSimulation(opt.Spot, opt.Rfr, opt.Vol, tte, randNum)
		opt.Gamma += math.Max((level-opt.Strike)*float64(opt.OptType), 0)

		// Vega
		level = gbmSimulation(opt.Spot, opt.Rfr, opt.Vol+0.0001, tte, randNum)
		opt.Vega += math.Max((level-opt.Strike)*float64(opt.OptType), 0)

		// Theta
		level = gbmSimulation(opt.Spot, opt.Rfr, opt.Vol, tte-1./365, randNum)
		opt.Theta += math.Max((level-opt.Strike)*float64(opt.OptType), 0)

		// Rho -- TODO: Doesn't look right
		level = gbmSimulation(opt.Spot, opt.Rfr+0.0001, opt.Vol, tte, randNum)
		opt.Rho += math.Max((level-opt.Strike)*float64(opt.OptType), 0)
	}

	df := math.Exp(-opt.Rfr * tte)
	opt.FV = opt.FV / float64(opt.Sims) * df
	opt.Delta = (opt.Delta/float64(opt.Sims)*df - opt.FV) / 0.0001
	opt.Gamma = (opt.Gamma/float64(opt.Sims)*df - opt.FV) / 10000
	opt.Vega = (opt.Vega/float64(opt.Sims)*df - opt.FV) / 0.01
	opt.Theta = (opt.Theta/float64(opt.Sims)*math.Exp(-opt.Rfr*(tte-1./365)) - opt.FV) / -(1. / 365)
	opt.Rho = (opt.Rho/float64(opt.Sims)*math.Exp(-(opt.Rfr+0.01)*tte) - opt.FV)
}

/*
func main() {
	value := time.Date(2016, 12, 30, 0, 0, 0, 0, time.UTC)
	expiry := time.Date(2017, 12, 30, 0, 0, 0, 0, time.UTC)
	opt := Option{optType: 1, strike: 100, expiryDate: expiry, valueDate: value, spot: 100, rfr: 0.03, vol: 0.25, sims: 1000000}
	rand.Seed(time.Now().UTC().UnixNano())
	RunSimulations(&opt)

	fmt.Printf(
		`
		 Valuation date: %s


		 	              | BS Analytic | BS Monte Carlo |
		 	 ---------------------------------------------
		 	 |Type:       | %10s  | %13s  |
		 	 |Spot:       | %10.2f  | %13.2f  |
		 	 |Expiry:     | %s  |    %s  |
		 	 |Strike:     | %10.2f  | %13.2f  |
		 	 |Risk-free:  | %10.2f%% | %13.2f%% |
		 	 |Implied Vol:| %10.2f%% | %13.2f%% |
		 	 ---------------------------------------------
		 	 |Fair value: |   %8.4f  |   %11.4f  |
		 	 |Delta:      |   %8.4f  |   %11.4f  |
		 	 |Gamma:      |   %8.4f  |   %11.4f  |
		 	 |Vega:       |   %8.4f  |   %11.4f  |
		 	 |Theta:      |   %8.4f  |   %11.4f  |
		 	 |Rho:        |   %8.4f  |   %11.4f  |
		 	 |Simulations:|             |   %11d  |
		 	 ---------------------------------------------

`,
		value.Format("2006-01-02"),
		"Call", "Call",
		opt.Spot, opt.Spot,
		expiry.Format("2006-01-02"), expiry.Format("2006-01-02"),
		opt.Strike, opt.Strike,
		opt.Rfr*100, opt.Rfr*100,
		opt.Vol*100, opt.Vol*100,
		opt.FV, opt.FV,
		opt.Delta, opt.Delta,
		opt.Gamma, opt.Gamma,
		opt.Vega, opt.Vega,
		opt.Theta, opt.Theta,
		opt.Rho, opt.Rho,
		opt.Sims)

}
*/