## parse command line arguments
if(.Platform$OS.type == "unix"){
  root.dir <- "/home/share/CorpCDOs"
}else{
  root.dir <- "//WDSENTINEL/share/CorpCDOs"
}
library(logging)
basicConfig()
removeHandler('basic.stdout')
addHandler(writeToFile, file=file.path(root.dir, "logs", "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="character",
                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")
    }
    runs <- list(name=args$index, tenor=args$tenor)
}else{
    library(yaml)
    runs <- yaml.load_file(file.path(root.dir,"code", "etc", args$config))
}

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

for(i in seq_along(runs$name)){
    index.name <- runs$name[i]
    tenor <- runs$tenor[i]
    filename <- file.path(root.dir,"Tranche_data","Runs",
                          paste(tolower(index.name), tenor, "csv",sep="."))
    if(!file.exists(filename)){
        args$update <- FALSE
    }
    if(args$update){##ghetto way of getting the last row of the file
        runfile <- read.csv(filename)
        begin.date <- as.Date(runfile[nrow(runfile),1])+1
    }else{
        begin.date <- switch(index.name,
                             hy10 = as.Date("2014-08-11"),
                             hy15 = as.Date("2014-06-10"),
                             hy17 = as.Date("2013-01-01"),
                             hy19 = as.Date("2013-02-01"),
                             hy21 = as.Date("2013-10-04"),
                             ig9  = as.Date("2013-01-01"),
                             ig19 = as.Date("2013-05-01"),
                             ig21 = as.Date("2013-09-26"),
                             ig23 = as.Date("2014-10-14"),
                             hy23 = as.Date("2014-10-16"),
                             xo22 = as.Date("2014-10-20"),
                             eu9  = as.Date("2014-09-15"),
                             eu21 = as.Date("2014-09-15"),
                             eu22 = as.Date("2014-10-22"))
    }
    if(begin.date > as.Date(args$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 <- "TARGET"
    }else{
        curr <- "USD"
        cal <- "UnitedStates/GovernmentBond"
    }
    bus.dates <- alldates[isBusinessDay(calendar=cal, 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 <- set.tranchedata(index, tradedate)
        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, BCtranche.theta(index, method="TLP"))
        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(root.dir, "Tranche_data", "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)
        loginfo("done")
    }
}
## it's really ghetto, but that works for now...
cmd <- paste("python3" , file.path(root.dir, "code", "python", "populate_risk_numbers.py"))
system(cmd)