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 <- read.table(file.path(root.dir, "scripts", "scenarios.txt"))$V1
unlink(file.path(root.dir, "scripts", "scenarios.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()

calibration <- read.table(file.path(root.dir, "Scenarios", "Calibration",
                                    paste0("calibration-", calibration.date,".csv")), sep=",", header=T)
Z <- calibration$Z
w <- calibration$w

rho <- 0.45
Ngrid <- 201
## dealnames <- list.files(file.path(root.dir, "Scenarios", paste0("Portfolios_", calibration.date)),
##                         pattern="*.RData")
## dealnames <- sapply(strsplit(dealnames, "\\."), function(x)x[1])

support <- seq(0, 1, length = Ngrid)
for(deal.name in dealnames){
    load(file.path(root.dir, "Scenarios", paste("Portfolios", workdate, sep="_"),
                   paste(deal.name, "RData", sep=".")))

    dp <- A$DP
    pp <- A$PP
    dpmod <- MFupdate.probC(Z, w, rho, dp)
    ppmod <- MFupdate.probC(-Z, w, rho, pp)
    dist.joint <- MFlossdist.prepay.joint2(w, Z, rho, dp, dpmod, pp, ppmod,
                                           deal.weights, 1-S, Ngrid)

    distDR <- dist.transform(dist.joint)

    ## compute E(R|D)
    R <- matrix(0, Ngrid, ncol(dp))
    for(t in 1:ncol(dp)){
        R[,t] <- (sweep(distDR[t,,], 1, rowSums(distDR[t,,]), "/") %*% support)/support
    }
    R[1,] <- 0
    n.scenarios <- 100
    percentiles <- (seq(0, 1, length=n.scenarios+1)[-1]+
                    seq(0, 1, length=n.scenarios+1)[-(n.scenarios+1)])/2

    ## compute scenariosd
    scenariosd <- matrix(0, n.scenarios, ncol(dp))
    for(t in 1:ncol(dp)){
        D <- rowSums(distDR[t,,])
        D <- D/sum(D)
        Dfun <- splinefun(c(0, cumsum(D)), c(0, support), "monoH.FC")
        ## dvallow <- floor(Dfun(percentiles)*(Ngrid-1))
        ## dvalup <- ceil(Dfun(percentiles)*(Ngrid-1))
        scenariosd[,t] <- Dfun(percentiles)
    }

    ## compute scenariosr
    scenariosr <- matrix(0, n.scenarios, ncol(dp))
    for(t in 1:ncol(dp)){
        Rfun <- approxfun(support, R[,t], rule=2)
        scenariosr[,t] <- Rfun(scenariosd[,t])
    }

    cdr <- cdrfromscenarios(scenariosd, deal.dates)
    intexrecov <- recoveryfromscenarios(scenariosd, scenariosr)
    ## linear approximation for monthly scenarios
    deal.data <- getdealdata(deal.name)
    deal.datesmonthly <- getdealschedule(deal.data, "1 month")
    ## compute reinvestment price
    ## reinvloanprice <- rep(0, length(deal.datesmonthly))
    ## reinvbondprice <- rep(0, length(deal.datesmonthly))
    ## for(i in 1:length(deal.datesmonthly)){
    ##     reinvmaturity <- min(deal.datesmonthly[i]+global.params$rollingmaturity, deal.dates[length(deal.dates)])
    ##     if(deal.datesmonthly[i]>reinvmaturity-45){
    ##         reinvloanprice <- 1
    ##         reinvbondprice <- 1
    ##     }else{
    ##         reinvloanprice[i] <- forwardportfolioprice(deal.portfolio, deal.datesmonthly[i], reinvmaturity, "FLOAT", 0.025)
    ##         reinvbondprice[i] <- forwardportfolioprice(deal.portfolio, deal.datesmonthly[i], reinvmaturity, "FIXED", 0.07)
    ##     }

    ## }
    reinvloanprice <- 0.965
    reinvbondprice <- 0.965
    cdrmonthly <- matrix(0, n.scenarios, length(deal.datesmonthly))
    recoverymonthly <- matrix(0, n.scenarios, length(deal.datesmonthly))
    for(i in 1:n.scenarios){
        cdrmonthly[i,] <- approx(deal.dates, cdr[i,], deal.datesmonthly, rule=2)$y
        recoverymonthly[i,] <- approx(deal.dates, intexrecov[i,], deal.datesmonthly, rule=2)$y
    }

    save.dir <- file.path(root.dir, "Scenarios", paste("Intex curves", workdate, sep="_"), "csv")
    if(!file.exists(save.dir)){
        dir.create(save.dir, recursive = T)
    }
    recoverymonthly <- pmin(recoverymonthly,1)
    write.table(cdrmonthly,
                file= file.path(save.dir, paste0(deal.name,"-cdr.csv")),
                row.names=F, col.names=F, sep=",")
    write.table(100 * recoverymonthly,
                file=file.path(save.dir, paste0(deal.name,"-recovery.csv")),
                row.names=F, col.names=F, sep=",")
    write.table(rbind(100*reinvloanprice, 100*reinvbondprice),
                file = file.path(save.dir, paste0(deal.name,"-reinvprices.csv")),
                row.names=F, col.names=F, sep=",")
    save(scenariosd, scenariosr, file=file.path(save.dir, paste0(deal.name, ".RData")))
    cat("generated scenarios for:", deal.name, "\n")
}