## parse command line arguments
args <- commandArgs(trailingOnly=TRUE)
if(length(args)==0 || args[1]=="-h" || args[1]=="--help"){
    cat("usage:  Rscript calibrate_tranches_BC.R [-u] indexname [tenor]\n")
    cat("        Rscript calibrate_tranches_BC.R [-u] -c configfile\n")
    cat("\n")
    cat("If -u flag is provided, it will update from the last run date\n")
    cat("tenor is 5yr by default\n")
    cat("\n")
    cat("Examples:\n")
    cat("\tRscript calibrate_tranches_BC.R hy19 7yr: will run hy19 7yr from the beginning\n")
    cat("\tRscript calibrate_tranches_BC.R -c conf.yaml: will run the list of indices provided in conf.yml\n")
    quit("no")
}

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

## default values
updateflag <- FALSE
tenor <- "5yr"
if(args[1]=="-u"){
    updateflag <- TRUE
    if(length(args) >=2 && args[2]=="-c"){
        if(length(args) < 3){
            stop("Please provide a config file")
        }else{
            library(yaml)
            runs <- yaml.load_file(file.path(root.dir,"code", "etc", args[3]))
        }
    }else{
        if(length(args) >= 2){
            index.name <- args[2]
        }else{
            stop("Please provind an index name")
        }
        if(length(args) >= 3){
            tenor <- args[3]
        }
    }
}else if(args[1]=="-c"){
    if(length(args) < 2){
        stop("Please provide a config file")
    }else{
        library(yaml)
        runs <- yaml.load_file(file.path(root.dir,"code", "etc", args[2]))
    }
}else{
    index.name <- args[1]
    if(length(args) >= 2){
        tenor <- args[2]
    }
}
if(!exists("runs")){
    runs <- list(name=index.name, tenor=tenor)
}
options(stringsAsFactors = FALSE)

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"), chdir=TRUE)
source(file.path(root.dir, "code", "R", "serenitasdb.R"))
source(file.path(root.dir, "code", "R", "creditIndex.R"))
library(lossdistrib)

for(i in seq_along(runs$name)){
    index.name <- runs$name[i]
    tenor <- runs$tenor[i]
    if(updateflag){##ghetto way of getting the last row of the file
        runfile <- read.csv(file.path(root.dir,"Tranche_data","Runs", paste(index.name,tenor,"csv",sep=".")))
        begin.date <- as.Date(runfile[nrow(runfile),1])+1
    }else{
        begin.date <- switch(index.name,
                             hy10 = as.Date("2014-08-11"),
                             hy15 = as.Date("2014-06-10"),
                             hy17 = as.Date("2013-01-01"),
                             hy19 = as.Date("2013-02-01"),
                             hy21 = as.Date("2013-10-04"),
                             ig9  = as.Date("2013-01-01"),
                             ig19 = as.Date("2013-05-01"),
                             ig21 = as.Date("2013-09-26"))
    }

    alldates <- seq(begin.date, Sys.Date()-1, by="1 day")
    if(index.name=="ig19"){
        alldates <- alldates[alldates!=as.Date("2013-11-29")] ##people are lazy the day after Thanksgiving
    }
	if(index.name=="hy21" & tenor =="3yr"){
        ##alldates <- alldates[alldates!=as.Date("2013-11-29")] ##people are lazy the day after Thanksgiving
    }
    bus.dates <- as.Date(names(which(isBusinessDay(calendar="UnitedStates/GovernmentBond", alldates))))

    ##check if we have all the quotes and save them
    n.tranches <- 4
    if(index.name=="ig9"){
        n.tranches <- 6
    }
    quotes <- matrix(0, length(bus.dates), 2+2*n.tranches)
    for(j in seq_along(bus.dates)){
        tradedate <- bus.dates[j]
        temp <- get.tranchequotes(index.name, tenor, tradedate)
        quotes[j, 1] <- temp$indexrefprice[1]
        quotes[j, 2] <- temp$indexrefspread[1]
        quotes[j, 2+1:n.tranches] <- temp$trancheupfrontmid
        quotes[j, 2+n.tranches+1:n.tranches] <- temp$tranchedelta
    }

    tranche.names <- paste(temp$attach, temp$detach, sep="-")
    colnames(quotes) <- c("indexprice", "indexref",paste(tranche.names, "Upfront"),
                          paste(tranche.names, "Dealer Delta"))
    Attach <- temp$detach
    ##preallocate all the risk matrices
    indexEL <- rep(0, length(bus.dates))
    indexTheta <- rep(0, length(bus.dates))
    indexBasis <- rep(0, length(bus.dates))
    deltas <- matrix(0, length(bus.dates), n.tranches)
    forward.deltas <- matrix(0, length(bus.dates), n.tranches)
    gammas <- matrix(0, length(bus.dates), n.tranches)
    thetas <- matrix(0, length(bus.dates), n.tranches)
    rhos <- matrix(0, length(bus.dates), n.tranches)
    corr01 <- matrix(0, length(bus.dates), n.tranches)
    durations <- matrix(0, length(bus.dates), n.tranches)
    ELmat <- matrix(0, length(bus.dates), n.tranches)

    for(i in seq_along(bus.dates)){
        tradedate <- bus.dates[i]
        cat("calibrating", index.name, tenor, "for", as.character(tradedate), "\n", sep=" ")
        exportYC(tradedate)
        index <- creditIndex(index.name, tenor)
        index <- set.index.desc(index, tradedate)
        ## calibrate the single names curves
        index <- set.singlenamesdata(index, tradedate)
        index <- set.tranchedata(index, tradedate)
        indexBasis[i] <- index$basis
        indexEL[i] <- EL(index)
        indexTheta[i] <- index$theta <- indextheta(index, tradedate)
        ## calibrate the tranches using base correlation
        index$rho <- build.skew(index)
        index <- c(index, BCtranche.delta(index))
        deltas[i,] <- index$deltas
        gammas[i,] <- index$gammas
        index<- c(index, BCtranche.theta(index, method="TLP"))
        thetas[i,] <- index$thetas
        forward.deltas[i,] <- index$forward.deltas
        rhos[i,] <- index$rho[-1]
        corr01[i,] <- index$corr01 <- BCtranche.corr01(index)
        temp <- BCtranche.pv(index, protection=TRUE)
        durations[i,] <- index$tranche.durations <-
            (temp$cl-cdsAccrued(tradedate, index$tranche.running))/index$tranche.running
        ELmat[i,] <- index$tranche.EL <- -temp$pl*diff(index$K)
        save(index, file=file.path(root.dir, "Tranche_data", "Objects",
                        paste0(paste(index.name, tenor, as.character(tradedate), sep="_"),".RData")))
        cat("done\n")
    }

    risk.numbers <- data.frame(deltas, forward.deltas, gammas, thetas, rhos, corr01, durations, ELmat)
    colnames(risk.numbers) <- c(paste(tranche.names, "Model Delta"),
                                paste(tranche.names, "Forward Deltas"),
                                paste(tranche.names, "Gamma"),
                                paste(tranche.names, "Theta"),
                                paste(Attach, "Corr"),
                                paste(tranche.names, "Corr01"),
                                paste(tranche.names, "Dur"),
                                paste(tranche.names, "EL"))
    data <- cbind(bus.dates, quotes, indexBasis, indexEL, indexTheta, risk.numbers)
    colnames(data)[1] <- "date"

    write.table(data, file=file.path(root.dir,"Tranche_data","Runs", paste(index.name,tenor,"csv",sep=".")),
                append=updateflag, col.names=!updateflag, qmethod="double", sep=",", row.names=FALSE)
}