library(ggplot2)
library(lubridate)
library(doParallel)

if(.Platform$OS.type == "unix"){
  root.dir <- "/home/share/CorpCDOs"
}else{
  root.dir <- "//WDSENTINEL/share/CorpCDOs"
}

hostname <- system("hostname", intern=TRUE)
if(hostname=="debian"){
    registerDoParallel(4)
}else{
    registerDoParallel(8)
}

source(file.path(root.dir, "code", "R", "serenitasdb.R"))
source(file.path(root.dir, "code", "R", "cds_functions_generic.R"))
source(file.path(root.dir, "code", "R", "yieldcurve.R"))

get.indexquotes <- function(index, series, tenors=c("3yr", "5yr", "7yr")){
    arraystring1 <- paste0("Array[''", paste(tenors, collapse = "'', ''"), "'']::tenor[]")
    arraystring2 <- paste0('"', paste(tenors, collapse='" float, "'), '" float')
    sqlstr <- paste("select * from crosstab('select date, tenor, closeprice from index_quotes",
                    "where index=''%s''",
                    "and series=%s order by date, tenor', 'select unnest(%s)')",
                    "AS ct(date date, %s)")
    stmt <- sprintf(sqlstr, index, series, arraystring1, arraystring2)
    df <- dbGetQuery(serenitasdb, stmt)
    return( df )
}

get.indexmaturity <- function(index, series){
    sqlstr <- paste("select maturity, coupon/cast(10000 as float)as running, tenor",
                    "from index_maturity where index='%s'",
                      "and series=%s order by maturity")
    stmt <- sprintf(sqlstr, index, series)
    df <- dbGetQuery(serenitasdb, stmt)
    return( df )
}

fastduration <- function(sc, cs, tradedate, maturities){
    r <- rep(NA, length(maturities))
    if(is.null(sc)){
        return( r )
    }
    startdate <- tradedate+1
    acc <- cdsAccrued(tradedate, 1)
    for(i in seq_along(maturities)){
        if(startdate>maturities[i]){
            r[i] <- NA
        }else{
            r[i] <- couponleg(cs[cs$unadj.dates<=maturities[i],], sc,
                              startdate, accruedondefault=TRUE)-acc
        }
    }
    return( r )
}

fasttheta <- function(sc, cs, recov, tradedate, maturities, quotes){
    r <- rep(NA, length(maturities))
    if(is.null(sc)){
        return(r)
    }
    startdate <- tradedate+1
    acc <- cdsAccrued(tradedate, 1)

    newmaturities <- maturities+years(-1)
    for(i in seq_along(newmaturities)){
        ## never extrapolate, and do not attempt to compute theta if within 1 year
        if(startdate>newmaturities[i] || is.na(quotes[i])){
            next
        }else{
            newcs <- cs[cs$unadj.dates<=newmaturities[i],]
            upfront <- defaultleg(newcs, sc, recov, startdate) -
                (couponleg(newcs, sc, startdate, accruedondefault=TRUE)-acc)*0.05
            r[i] <- quotes[i]-upfront+0.05
        }
    }
    return( r )
}

convertNA <- function(x){
    if(is.na(x)){
        return( "Null" )
    }else{
        return( x )
    }
}


index <- 'HY'
tenors <- c("3yr", "5yr", "7yr")
recov <- 0.3
sqlstr <- paste("UPDATE index_quotes set duration=%s, theta=%s where date='%s' and index='%s'",
                "and series=%s and tenor='%s'")

for(series in c(9, 10, 11, 13, 15, 17, 19, 21, 23)){
    indexquotes <- get.indexquotes(index, series)
    maturities <- get.indexmaturity(index, series)
    maturities <- maturities[maturities$tenor %in% tenors,]
    indexquotes <- indexquotes[indexquotes$date<=maturities$maturity[3],]
    durations <- matrix(0, nrow(indexquotes), length(tenors))
    thetas <- matrix(0, nrow(indexquotes), length(tenors))
    maturity <- maturities[nrow(maturities), "maturity"]
    durandthetas <- foreach(i = 1:nrow(indexquotes), .combine='rbind') %dopar% {
        tradedate <- indexquotes[i, "date"]
        exportYC(tradedate)
        cs <- couponSchedule(IMMDate(tradedate, noadj=TRUE), maturity,"Q", "FIXED", 1,
                             0, tradedate, IMMDate(tradedate, "prev"))
        quotes <- data.frame(upfront=(100-as.numeric(indexquotes[i,-1]))/100, maturities)
        sc <- cdshazardrate(quotes, recov, tradedate, cs)
        c(fastduration(sc, cs, tradedate, maturities$maturity),
          fasttheta(sc, cs, recov, tradedate, maturities$maturity, quotes$upfront))
    }
    df.durations <- data.frame(date=indexquotes$date, durandthetas[,1:3])
    df.thetas <- data.frame(date=indexquotes$date, durandthetas[,4:6])
    colnames(df.durations) <- c("date", tenors)
    colnames(df.thetas) <- c("date", tenors)
    for(i in 1:nrow(df.durations)){
        for(tenor in tenors){
            stmt <- sprintf(sqlstr, convertNA(df.durations[i,tenor]), convertNA(df.thetas[i, tenor]),
                            df.durations[i,"date"], index, series, tenor)
            dbSendQuery(serenitasdb, stmt)
        }
    }
    ## nice plot, now I'm just showing off
    ggplot(df.durations, aes(x=date))+geom_line(aes(y=`3yr`, colour="3yr"))+
        geom_line(aes(y=`5yr`, colour="5yr"))+
            geom_line(aes(y=`7yr`, colour="7yr"))+ylab("duration")+labs(colour="tenor")
    ggsave(filename=paste0("HY", series, " durations.png"))
    ## plot thetas
    ggplot(df.thetas, aes(x=date))+geom_line(aes(y=`3yr`, colour="3yr"))+
        geom_line(aes(y=`5yr`, colour="5yr"))+
            geom_line(aes(y=`7yr`, colour="7yr"))+ylab("theta")+labs(colour="tenor")
    ggsave(filename=paste0("HY", series, " thetas.png"))
}