package main

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

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

	// Market data
	ValueDate time.Time
	Spot      float64
	Rfr       float64
	Vol       float64
	Sims      int64

	// Results
	FV     float64
	Delta  float64
	Vega   float64
	Rho    float64
	Gamma  float64
	Theta  float64
	Levels []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)
}

// PriceMonteCarlo is the exported method to run the simulations and value
// a vanilla option using Monte Carlo methods
func (opt *Option) PriceMonteCarlo() {
	var i int64
	var level float64

	opt.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
		opt.Levels[i] = gbmSimulation(opt.Spot, opt.Rfr, opt.Vol, tte, randNum)
		opt.FV += math.Max((opt.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)
}