/** Pearson correlation of daily log returns between two aligned series (§186). */
export function alignedLogReturns(a: Array<{ date: string; value: number }>, b: Array<{ date: string; value: number }>): Array<[number, number]> {
  const mb = new Map(b.map((p) => [p.date, p.value]));
  const pairs: Array<[number, number]> = [];
  let prevA: number | null = null;
  let prevB: number | null = null;
  for (const p of a) {
    const vb = mb.get(p.date);
    if (vb === undefined) continue;
    if (prevA !== null && prevB !== null && prevA > 0 && prevB > 0 && p.value > 0 && vb > 0) pairs.push([Math.log(p.value / prevA), Math.log(vb / prevB)]);
    prevA = p.value;
    prevB = vb;
  }
  return pairs;
}

export function pearson(pairs: Array<[number, number]>): { r: number; n: number } | null {
  const n = pairs.length;
  if (n < 10) return null;
  const mx = pairs.reduce((s, p) => s + p[0], 0) / n;
  const my = pairs.reduce((s, p) => s + p[1], 0) / n;
  let sxy = 0;
  let sxx = 0;
  let syy = 0;
  for (const [x, y] of pairs) {
    sxy += (x - mx) * (y - my);
    sxx += (x - mx) ** 2;
    syy += (y - my) ** 2;
  }
  if (sxx === 0 || syy === 0) return { r: 0, n };
  return { r: Math.round((sxy / Math.sqrt(sxx * syy)) * 1000) / 1000, n };
}

export function correlationMatrix(series: Record<string, Array<{ date: string; value: number }>>, sinceDate?: string): Array<{ a: string; b: string; r: number; n: number }> {
  const keys = Object.keys(series);
  const out: Array<{ a: string; b: string; r: number; n: number }> = [];
  for (let i = 0; i < keys.length; i++) {
    for (let j = i; j < keys.length; j++) {
      const A = sinceDate ? series[keys[i]!]!.filter((p) => p.date >= sinceDate) : series[keys[i]!]!;
      const B = sinceDate ? series[keys[j]!]!.filter((p) => p.date >= sinceDate) : series[keys[j]!]!;
      const p = pearson(alignedLogReturns(A, B));
      if (p) out.push({ a: keys[i]!, b: keys[j]!, r: i === j ? 1 : p.r, n: p.n });
    }
  }
  return out;
}