#include <analytic/portflio.hpp>
#include <common/stdio.hpp>
#include <common/math.hpp>

Portfolio::Portfolio(void)
{
}

Portfolio::Portfolio(const Portfolio &portfolio)
{ // private implementation
  *this=portfolio;
}

Portfolio::~Portfolio()
{
}

Portfolio &Portfolio::operator=(const Portfolio &/*portfolio*/)
{ // private implementation
  return *this;
}

BOOL Portfolio::operator==(const Portfolio &portfolio)const
{
  return FALSE;
}

double Portfolio::discount(Rate yield,GlobalData<double> &cashflows)
{
  double price(0.00);

  yield.makeSemiAnnual();
  for(int index=0;index<cashflows.size();index++)price+=cashflows[index]/::pow(1.00+yield.decimalRate(),index+1);
  return price;
}

Rate Portfolio::wac(void)
{
  Rate rate;
  double weighted(0.00);
  double parValue(0.00);

  for(int index=0;index<size();index++)
  {
    rate=operator[](index)->coupon();
    rate.makeAnnual();
    weighted+=rate.decimalRate()*operator[](index)->par();
    parValue+=operator[](index)->par();    
  }
  weighted/=parValue;  
  return Rate(weighted*100.00,Annual);
}

Rate Portfolio::discount(double market,GlobalData<double> &cashflows)
{
  Rate guess(wac());
  Rate maxGuess;
  Rate minGuess;
  double price;
	int maxPly=50;
	int ply=0;

  maxGuess=guess;
  minGuess=guess;
  maxGuess.rate(guess.rate()+12.00);
  minGuess.rate(guess.rate()-12.00);
  if(minGuess.rate()<0.00)minGuess.rate(1.00);
  while(TRUE)
  {
    price=discount(guess,cashflows);
    if(price==market||(price-market<0.00?market-price:price-market)<1.00)break;
    if(market>price)
    {
      maxGuess=guess;
      guess.rate((guess.rate()+minGuess.rate())/2.00);
    }
    else
    {
      minGuess=guess;
      guess.rate((guess.rate()+maxGuess.rate())/2.00);
    }
		if(++ply>maxPly)return Rate(0.00);
  printf("calculated price:%lf market price:%lf\n",price,market);  
  }
  return guess;
}

int Portfolio::getCashflows(GlobalData<double> &sumCashflows)
{
  GlobalData<GlobalData<double> > cashflows;
  int maxFlows(0);

  cashflows.size(size());
  for(int index=0;index<cashflows.size();index++)operator[](index)->cashflows(cashflows[index]);
  for(index=0;index<cashflows.size();index++)
  {
    if(!index)maxFlows=cashflows[index].size();
    else if(cashflows[index].size()>maxFlows)maxFlows=cashflows[index].size();
  }
  sumCashflows.size(maxFlows);  
  for(int pIndex=0;pIndex<cashflows.size();pIndex++)
  {
    GlobalData<double> &cashflow=cashflows[pIndex];
    for(int index=0;index<cashflow.size();index++)sumCashflows[index]=sumCashflows[index]+cashflow[index];  
  }
  return sumCashflows.size();
}

Rate Portfolio::yield(void)
{
  GlobalData<double> cashflows;
  double price(0.00);

  getCashflows(cashflows);
  for(int index=0;index<size();index++)price+=operator[](index)->price();
  return Rate(discount(price,cashflows));
}