## parse command line arguments
code.dir <- Sys.getenv("CODE_DIR")
tranchedata.dir <- file.path(Sys.getenv("BASE_DIR"), "Tranche_data")
library(logging)
basicConfig()
if(!interactive()) {
    removeHandler('basic.stdout')
    addHandler(writeToFile, file=file.path(Sys.getenv("LOG_DIR"), "calibrate_tranches_BC.log"))
    library(optparse)
    option_list <- list(
        make_option(c("-u", "--update"), action="store_true", default=FALSE,
                    help="Update from the last run date [default %default]"),
        make_option(c("-c", "--config"), metavar="config_file",
                    help="Runs the list of indices provided in CONFIG_FILE"),
        make_option(c("-i", "--index"), help="Index name we want to run"),
        make_option("--tenor", default="5yr", help="Tenor we want to run [default %default]"),
        make_option("--until", default=Sys.Date()-1, type="integer",
                    help="last date to run [default %default]"))
    args <- parse_args(OptionParser(option_list=option_list))
    ## default values
    if(is.null(args$config)) {
        if(is.null(args$index)) {
            stop("Please provide an index name")
        }
        config <- list(runs=list(c(args$index, args$tenor)))
    } else {
        config <- yaml::yaml.load_file(file.path(code.dir, "etc", args$config))
    }
} else {
    ## args <- list(config=yaml::yaml.load_file(file.path(code.dir, "etc", "runs.yml")),
    ##              until = Sys.Date()-1,
    ##              update = TRUE)
    args <- list(update = F, until = Sys.Date()-1)
    config <- list(runs = list(c("hy29", "5yr")))
    options(error=recover)
}

class(args$until) <- "Date"
options(stringsAsFactors = FALSE)
source("yieldcurve.R")
source("optimization.R")
source("calibration.R")
source("serenitasdb.R")
source("creditIndex.R")
source("tranche_functions.R")

for(run in config$runs) {
    index.name <- run[1]
    tenor <- run[2]
    filename <- file.path(tranchedata.dir, "Runs",
                          paste(tolower(index.name), tenor, "csv", sep="."))
    ## if(!file.exists(filename)){
    ##     args$update <- FALSE
    ## }
    if(args$update && !is.na(begin.date <- getlastdate(index.name, tenor))) {
    } else {
        begin.date <- switch(index.name,
                             hy10 = as.Date("2014-08-11"),
                             hy15 = as.Date("2014-06-10"),
                             hy17 = as.Date("2013-01-01"),
                             hy19 = as.Date("2013-02-01"),
                             hy21 = as.Date("2013-10-04"),
                             hy23 = as.Date("2014-10-16"),
                             hy25 = as.Date("2015-10-01"),
                             hy27 = as.Date("2016-10-04"),
                             hy29 = as.Date("2017-10-03"),
                             ig9  = as.Date("2013-01-01"),
                             ig19 = as.Date("2013-05-01"),
                             ig21 = as.Date("2013-09-26"),
                             ig23 = as.Date("2014-10-14"),
                             ig25 = as.Date("2015-09-22"),
                             ig27 = as.Date("2016-09-27"),
                             ig29 = as.Date("2017-09-26"),
                             xo22 = as.Date("2014-10-20"),
                             xo24 = as.Date("2015-09-28"),
                             xo26 = as.Date("2016-09-27"),
                             xo28 = as.Date("2017-09-28"),
                             eu9  = as.Date("2014-09-15"),
                             eu19 = as.Date("2013-04-03"),
                             eu21 = as.Date("2014-03-27"),
                             eu22 = as.Date("2014-10-22"),
                             eu24 = as.Date("2015-09-23"),
                             eu26 = as.Date("2016-09-27"),
                             eu28 = as.Date("2017-09-28"))
    }
    if(begin.date > as.Date(args$until)) {
        next
    }
    alldates <- seq(begin.date, as.Date(as.character(args$until)), by="1 day")
    if(tolower(substr(index.name,1,2)) %in% c("xo", "eu")) {
        curr <- "EUR"
        cal <- Calendar$new("TARGET")
    } else {
        curr <- "USD"
        cal <- Calendar$new("UnitedStates/GovernmentBond")
    }
    bus.dates <- alldates[cal$isBusinessDay(alldates)]

    for(j in seq_along(bus.dates)) {
        tradedate <- bus.dates[j]
        loginfo(paste("calibrating", index.name, tenor, "for", as.character(tradedate)))
        exportYC(tradedate, curr)
        index <- creditIndex(index.name, tenor)
        index <- set.index.desc(index, tradedate)
        ## calibrate the single names curves
        index <- set.singlenamesdata(index, tradedate)
        index <- tryCatch(set.tranchedata(index, tradedate),
                          error = function(e) logerror(e$message))
        if(is.null(index)) {
            loginfo(paste("skipping", index.name, tenor))
            next
        }
        temp <- BCindex.pv(index)
        index$EL <- -temp$pl
        index$duration <- temp$cl - cdsAccrued(tradedate, 1)
        index$theta <- indextheta(index, tradedate)

        ## calibrate the tranches using base correlation
        index$rho <- build.skew(index)

        ## compute various risk numbers
        index$tranches <- cbind(index$tranches, BCtranche.delta(index))
        index$tranches <- cbind(index$tranches, tryCatch(BCtranche.theta(index, method="TLP"),
                                                         error = function(e) {
                                                             logerror(e$message)
                                                             n <- nrow(index$tranches)
                                                             data.frame(theta=rep(NA, n),
                                                                        fw.delta=rep(NA, n)) }))
        index$tranches$corr01 <- BCtranche.corr01(index)
        temp <- BCtranche.pv(index, protection=TRUE)
        index$tranches$duration <-
            (temp$cl-cdsAccrued(tradedate, index$tranches$running))/index$tranches$running
        index$tranches$EL <- -temp$pl * diff(index$K)

        ## save the index object
        save(index, file=file.path(tranchedata.dir, "Objects",
                        paste0(paste(index.name, tenor, as.character(tradedate), sep="_"),".RData")))

        ## save risk numbers into the csv file
        if(!args$update && j==1){
            cat(csvheaders(index), sep="\n", file=filename)
        }
        cat(tocsv(index), sep="\n", file=filename, append=TRUE)
        tryCatch(dbWriteTable(serenitasdb, "risk_numbers_new",
                              as.data.frame(index), append=TRUE),
                 error = function(e) logerror(e$message))
        loginfo("done")
    }
}
try(dbDisconnect(serenitasdb), TRUE)