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"))
source(file.path(root.dir, "code", "R", "mlpdb.R"))
library(lossdistrib)

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

alldates <- seq(as.Date("2014-03-04"), as.Date("2014-01-05"), by="1 day")

aux <- function(rho, index, N, K, quote){
    temp <- BClossdistC(index$defaultprob, index$issuerweights, index$recov, rho, Z, w, N)
    return(abs(tranche.pv(temp$L, temp$R, index$cs, 0, K) + quote))
}

bus.dates <- as.Date(names(which(isBusinessDay(calendar="UnitedStates/GovernmentBond", alldates))))
for(index.name in  c("hy19")){
    rhomat <- c()
    deltasmat <- c()
    gammasmat <- c()
    for(i in seq_along(bus.dates)){
        tradedate <- bus.dates[i]
        exportYC(tradedate)
        index <- load.index(index.name, tradedate, "5yr")
        ## calibrate the single names curves
        index <- set.singlenamesdata(index, tradedate)
        index <- set.tranchedata(index, tradedate)
        ## calibrate the tranches using base correlation
        dT <- index$cs$coupons/index$spreadref
        rhovec <- c(0)
        for(j in 1:(length(index$K)-1)){
            ##use the current tranche coupon
            index$cs$coupons <- dT*index$tranche.running[j]
            ## we compute the 0-index$K[j+1] equivalent quote using the coupon of the jth quote
            if(j==1){
                q <- index$tranche.quotes[j]*index$K[j+1]
            }else{
                q <- BCtranche.pv(index, 0, index$K[j], 0, rhovec[j], Z, w, Ngrid, TRUE)$bp * index$K[j]+
                    index$tranche.quotes[j]*(index$K[j+1]-index$K[j])
            }
            rho <- optimize(aux, interval=c(0,1), index=index, N=Ngrid, K=index$K[j+1], quote=q)$minimum
            rhovec <- c(rhovec, rho)
        }
        index$rho <- rhovec
        index$cs$coupons <- dT*index$spreadref
        temp <- BCtranche.delta(index, Z, w, Ngrid, tradedate)
        deltasmat <- rbind(deltasmat, temp$deltas)
        gammasmat <- rbind(gammasmat, temp$gammas)

        cl <- c()
        for(j in 1:(length(index$K)-1)){
            cl <- c(cl, BCtranche.pv(index, index$K[j], index$K[j+1], rhovec[j], rhovec[j+1], Z, w, Ngrid)$cl)
        }
        duration <- (cl - cdsAccrued(tradedate, index$spreadref))/index$spreadref
        rhomat <- rbind(rhomat, rhovec)
        cat(i, "\n")
    }
}