library("RQuantLib")
library("parallel")

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

source(file.path(root.dir, "code", "R", "intex_deal_functions.R"))

dealnames <- unique(dealnamefromcusip(read.table(file.path(root.dir, "scripts", "cusips_to_price.txt"))$V1))
unlink(file.path(root.dir, "scripts", "cusips_to_price.txt"))
source(file.path(root.dir, "code", "R", "index_definitions.R"))

prevBusDay <- function(){
    i <- 1
    while(!isBusinessDay(calendar = "UnitedStates/GovernmentBond", Sys.Date() - i)){
        i <- i+1
    }
    return( Sys.Date() - i )
}

workdate <- Sys.Date()
calibration.date <- prevBusDay()
MarkitData <- getMarkitIRData(calibration.date)

L1m <- buildMarkitYC(MarkitData, dt = 1/12)
L2m <- buildMarkitYC(MarkitData, dt = 1/6)
L3m <-  buildMarkitYC(MarkitData)
L6m <- buildMarkitYC(MarkitData, dt = 1/2)
L12m <- buildMarkitYC(MarkitData, dt = 1)
setEvaluationDate(as.Date(MarkitData$effectiveasof))

bps <- 1e-4
global.params <- list()
global.params$recovery.assumptions <- list("Loan"=0.7,
                                           "Senior Notes"=0.7,
                                           "SecondLien"=0.3,
                                           "Bond"=0.4,
                                           "Mezzanine"=0.15,
                                           "Adj_Covlite"=0.1,
                                           "Credit Default Swap"=0)

global.params$cdoprices <- list("Aaa"=90,
                                "Aa"=88,
                                "A"=80,
                                "Baa"=75,
                                "Ba"=70,
                                "B"=65,
                                "NR"=50)
#reinvest in 7 years assets
global.params$rollingmaturity <- 7 * 365
global.params$defaultedlag <- 90
global.params$defaultcorr <- 0.45
global.params$defaultbondhazardrate <- 1500 * bps
global.params$defaultloanhazardrate <- 1500 * bps
global.params$alpha <- 0.25
global.params$beta <- 15
global.params$shape <- function(T)0.25+(1-exp(-T/5))

cusipdata <- cusip.data()

currdealnames <- dbGetQuery(dbCon, "select updatedate, dealname from latest_deal_model_numbers")
## build portfolio data
for(deal.name in dealnames){
    deal.data <- getdealdata(deal.name, calibration.date)
    if(deal.data$"Curr Collat Bal" < 1 ||is.na(deal.data$maturity)||deal.data$maturity <= today()+90){
        return()
    }
    deal.portfolio <- buildSC.portfolio(deal.name, deal.data, cusipdata, global.params, workdate)
    A <- SPmatrix2(deal.portfolio$SC, deal.data, freq="3 months")
    S <- 1 - sapply(deal.portfolio$SC, attr, "recov")
    deal.weights <- deal.portfolio$notional/sum(deal.portfolio$notional)
    deal.dates <- getdealschedule(deal.data)
    deal.spread <- portfoliospread(deal.portfolio, hy19$maturity)
    save.dir <- file.path(root.dir, "Scenarios", paste("Portfolios", workdate, sep="_"))
    if(!file.exists(save.dir)){
        dir.create(save.dir)
    }
    save(deal.portfolio, A, S, deal.weights, deal.dates, deal.spread,
         file=file.path(save.dir, paste0(deal.name, ".RData")))
    cat(deal.name, "... done\n")
    dealupdatedate <- currdealnames$updatedate[currdealnames$dealname %in% deal.name]
    if(length(dealupdatedate) && dealupdatedate == workdate){
        sqlstring <- sprintf(paste0("UPDATE et_deal_model_numbers SET dealspread = %s, cdopercentage = %s,",
                                    "stalepercentage= %s WHERE dealname= '%s' and updatedate = '%s'"),
                             deal.spread,
                             deal.portfolio$cdopercentage,
                             deal.portfolio$stale,
                             deal.name,
                             as.Date(workdate))
        dbGetQuery(dbCon, sqlstring)
    }else{
        sqlstring <- sprintf(paste0("INSERT INTO et_deal_model_numbers ",
                                    "VALUES('%s', %s, %s, %s, %s, '%s')"),
                             deal.name,
                             deal.portfolio$cdopercentage,
                             deal.portfolio$stale,
                             deal.spread,
                             crossprod(deal.portfolio$notional, deal.portfolio$price)/100,
                             workdate)
        dbGetQuery(dbCon, sqlstring)
        currdealnames <- c(currdealnames, deal.name)
    }
}

write.table(dealnames, file = file.path(root.dir, "scripts", "scenarios.txt"), row.names = F, col.names = F)