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

source(file.path(root.dir, "code", "R", "cds_utils.R"))
source(file.path(root.dir, "code", "R", "cds_functions_generic.R"))
source(file.path(root.dir, "code", "R", "yieldcurve.R"))
source(file.path(root.dir, "code", "R", "optimization.R"))
source(file.path(root.dir, "code", "R", "calibration.R"))
load.index("hy21", "index_definitions_bt.yml")
library(lossdistrib)

n.int <- 250
attach(GHquad(n.int))
Ngrid <- 201

alldates <- seq(as.Date("2014-01-01"), as.Date("2014-01-05"), by="1 day")
rhomat <- c()
deltasmat <- c()
gammasmat <- c()
bus.dates <- as.Date(names(which(isBusinessDay(calendar="UnitedStates/GovernmentBond", alldates))))
for(i in seq_along(bus.dates)){
    tradedate <- bus.dates[i]
    exportYC(tradedate)
    ## calibrate HY21
    ## calibrate the single names curves
    set.singlenamesdata(hy21, tradedate)
    set.tranchedata(hy21, tradedate)

    ## calibrate the tranches using base correlation
    f <- function(rho, index, N, i){
        temp <- BClossdistC(index$defaultprob, index$issuerweights, index$recov, rho, Z, w, N)
        return(abs(tranche.pv(temp$L, temp$R, index$cs, 0, index$K[i+1]) + index$quotes[i]))
    }
    rhovec <- c()
    for(j in 1:(length(hy21$K)-1)){
        ##q <- quotes[i-1]
        rho <- optimize(f, interval=c(0,1), index=hy21, N=Ngrid, i=j)$minimum
        rhovec <- c(rhovec, rho)
    }
    rhovec <- c(0, rhovec)
    hy21$rho <- rhovec
    temp <- BCtranche.delta(hy21, Z, w, Ngrid, tradedate)
    deltasmat <- rbind(deltasmat, temp$deltas)
    gammasmat <- rbind(gammasmat, temp$gammas)
    cl <- c()
    for(j in 1:(length(hy21$K)-1)){
         cl <- c(cl, BCtranche.pv(hy21, hy21$K[j], hy21$K[j+1], rhovec[j], rhovec[j+1], Z, w, Ngrid)$cl)
    }
    duration <- (cl - cdsAccrued(tradedate, hy21$tranche.data$Coupon))/hy21$tranche.data$Coupon
    rhomat <- rbind(rhomat, rhovec)
    cat(i, "\n")
}
write.csv(deltasmat, file="delta.csv")
write.csv(rhomat, file="rho.csv")