import pandas as pd
import argparse
from analytics import Index, Swaption
import datetime
from db import dbengine
from functools import partial
from multiprocessing import Pool
from itertools import repeat
serenitas_engine = dbengine('serenitasdb')

def get_data(index, series, date = datetime.date.min):
    df = pd.read_sql_query("SELECT * from swaption_ref_quotes JOIN swaption_quotes " \
                           "USING (quotedate, index, series, expiry) WHERE index=%s and series=%s " \
                           "and quotedate >=%s ORDER BY quotedate",
                           serenitas_engine,
                           params = (index, series, date), parse_dates = ['quotedate', 'expiry'])
    df.loc[(df.quote_source == "GS") & (df['index'] =="HY"),
           ["pay_bid", "pay_offer", "rec_bid", "rec_offer"]] *=100
    try:
        df.quotedate = df.quotedate.dt.tz_localize('UTC')
    except TypeError:
        pass
    finally:
        return df

def get_data_latest():
    df = pd.read_sql_query("SELECT swaption_quotes.*, ref FROM swaption_quotes " \
                           "JOIN swaption_ref_quotes USING (quotedate, index, series, expiry) " \
                           "LEFT JOIN swaption_calib " \
                           "USING (quotedate, index, series, expiry, strike) " \
                           "WHERE swaption_calib.quotedate is NULL",
                           serenitas_engine,
                           parse_dates = ['quotedate', 'expiry'])
    df.loc[(df.quote_source == "GS") & (df['index'] =="HY"),
           ["pay_bid", "pay_offer", "rec_bid", "rec_offer"]] *=100
    try:
        df.quotedate = df.quotedate.dt.tz_localize('UTC')
    except TypeError:
        pass
    finally:
        return df

def calib(option, ref, strike, pay_bid, pay_offer, rec_bid, rec_offer):
    option.ref = ref
    option.strike = strike
    r = []
    for pv_type in ['pv', 'pv_black']:
        for option_type in ['pay', 'rec']:
            if option_type == "pay":
                mid = (pay_bid + pay_offer) / 2 * 1e-4
                option.option_type = 'payer'
            else:
                mid = (rec_bid + rec_offer) / 2 * 1e-4
                option.option_type = 'receiver'
            try:
                setattr(option, pv_type, mid)
            except ValueError as e:
                r.append(None)
                print(e)
            else:
                r.append(option.sigma)
    return [strike] + r

def calibrate(index_type=None, series=None, date=None, nproc=4, latest=False):
    sql_str = ("INSERT INTO swaption_calib VALUES({}) ON CONFLICT DO NOTHING".
               format(",".join(["%s"] * 9)))
    if latest:
        data = get_data_latest()
    else:
        data = get_data(index_type, series, date)

    with Pool(nproc) as pool:
        for k, v in data.groupby([data['quotedate'].dt.date, 'expiry','index', 'series']):
            trade_date, expiry, index_type, series = k
            index = Index.from_name(index_type, series, "5yr", trade_date)
            option = Swaption(index, expiry.date(), 100)
            mycalib = partial(calib, option)

            r = pool.starmap(mycalib, v[['ref', 'strike', 'pay_bid',
                                         'pay_offer', 'rec_bid', 'rec_offer']].
                             itertuples(index=False, name=None))
            to_insert = [[a, index_type, series, expiry] + b for a, b in zip(v.quotedate.tolist(), r)]
            serenitas_engine.execute(sql_str, to_insert)

if __name__ == "__main__":
    parser = argparse.ArgumentParser()
    parser.add_argument('--index', required=False, type=lambda s: s.upper(), dest="index_type")
    parser.add_argument('--series', required=False, type=int, default=27)
    parser.add_argument('--date', required = False, default=datetime.date.min)
    parser.add_argument('--latest', required = False, action="store_true")
    parser.add_argument('--nproc', required = False, type=int, default=4)
    args = parser.parse_args()
    if args.latest:
        calibrate(latest=True, nproc=args.nproc)
    else:
        calibrate(**vars(args))