library("RQuantLib")

today <- function() {
    Sys.Date()
}

convertTenor <- function(tenor) {
    ## convert tenors of the form '1y', '2y', etc...
    ## and '1m', '2m'... into yearfrac
    month <- regexpr("([0-9]+)m", tenor, perl = T)
    year <- regexpr("([0-9]+)y", tenor, perl = T)
    if ( month != -1 ) {
        a <- attr(month, "capture.start")
        b <- a + attr(month, "capture.length") - 1
        l <- as.numeric(substr(tenor, a, b))
        return ( 30 * l )
    }else if ( year != -1) {
        a <- as.numeric(attr(year, "capture.start"))
        b <- a + attr(year, "capture.length") - 1
        l <- as.numeric(substr(tenor, a,b))
        return ( 365 * l )
    }else{
        stop("format not recognized")
    }
}

addTenor <- function(date, tenor) {
    month <- regexpr("([0-9]+)m", tenor, perl = T)
    year <- regexpr("([0-9]+)y", tenor, perl = T)
    if ( month != -1 ) {
        a <- attr(month, "capture.start")
        b <- a + attr(month, "capture.length") - 1
        l <- as.numeric(substr(tenor, a, b))
        return ( seq(date, length=2, by=paste(l,"month"))[2])
    }else if ( year != -1) {
        a <- as.numeric(attr(year, "capture.start"))
        b <- a + attr(year, "capture.length") - 1
        l <- as.numeric(substr(tenor, a,b))
        return ( seq(date, length=2, by=paste(l,"year"))[2] )
    }else{
        stop("format not recognized")
    }
}

creditSchedule <- function(startdate, enddate) {
    ## generate a credit coupon payment schedule from startdate
    ## to enddate based on the IMM dates
    month <- c(3, 6, 9, 12)
    day <- 20
    startmonth <- as.numeric(format(startdate, "%m"))
    startday <- as.numeric(format(startdate, "%d"))
    startyear <- as.numeric(format(startdate, "%Y"))
    if (startday > day){
        followingmonth <- which(month>startmonth)
        if (length(followingmonth)==0){
            startyear <- startyear+1
            startmonth <- 3
        }else{
            startmonth <- followingmonth[1]
        }
    }else{
        startmonth <- which(month>=startmonth)[1]
    }
    newdate <- as.Date(paste(startyear, month[startmonth], day, sep="-"))
    seq(newdate, enddate, by="3 months")
}

couponSchedule <- function(nextpaydate=NULL, maturity, frequency, coupontype, currentcoupon,
                           margin, startdate=today()){
    ## computes the coupon schedule
    ## inputs:
    ##   nextpaydate: first payment date of the coupon schedule
    ##   maturity: last payment date of the schedule
    ##   frequency: letter specifying the frequency amon "Q", "M", "B", or "S"
    ## if startdate is provided, this generates the forward coupon schedule starting from that date.
    bystring <- switch(frequency,
                       Q = "3 months",
                       M = "1 month",
                       B = "2 months",
                       S = "6 months",
                       A = "12 months")
    if(is.null(bystring)){
        stop("unknown frequency")
    }
    if(is.null(nextpaydate)){
        dates <- rev(seq(maturity, today(), by =paste0("-", bystring)))
    }else{
        dates <- seq(nextpaydate, maturity, by = bystring)
    }
    if(dates[length(dates)]<maturity){
        dates <- c(dates, maturity)
    }
    dates <- dates[ dates >= today()]
    DC <- switch(frequency,
                 S = DiscountCurve(L6m$params, L6m$tsQuotes, yearFrac(L6m$params$tradeDate, dates)),
                 Q = DiscountCurve(L3m$params, L3m$tsQuotes, yearFrac(L3m$params$tradeDate, dates)),
                 M = DiscountCurve(L1m$params, L1m$tsQuotes, yearFrac(L1m$params$tradeDate, dates)),
                 B = DiscountCurve(L2m$params, L2m$tsQuotes, yearFrac(L2m$params$tradeDate, dates)),
                 A = DiscountCurve(L12m$params, L12m$tsQuotes, yearFrac(L12m$params$tradeDate, dates)))

    if(coupontype=="FLOAT" && !is.na(margin)){ #if is.na(margin) probably letter of credit
        coupons <- pmax(currentcoupon, DC$forwards + margin)
    }else{
        coupons <- rep(currentcoupon, length(dates))
    }
    coupons <- diff(c(0, yearFrac(startdate, dates, "act/360"))) * coupons
    if(startdate!=DC$params$tradeDate){
        df <- cumprod(exp(-DC$forwards * diff(c(0, yearFrac(startdate, dates)))))
    }else{
        df <- DC$discounts
    }
    return( data.frame(dates=dates, coupons=coupons, df = df) )
}

nextIMMDate <- function(date) {
    startyear <- as.numeric(format(date, "%Y"))
    nextimmdates <- seq(as.Date(paste(startyear, 3, 20, sep="-")), length=5, by="3 months")
    return( nextimmdates[nextimmdates >= date][1] )
}

cdsMaturity <- function(tenor, date=today()){
    enddate <- addTenor(date, tenor)
    month <- c(3, 6, 9, 12)
    day <- 20
    startmonth <- as.numeric(format(enddate, "%m"))
    startday <- as.numeric(format(enddate, "%d"))
    startyear <- as.numeric(format(enddate, "%Y"))
    if (startday > day) {
        followingmonth <- which(month>startmonth)
        if (length(followingmonth)==0){
            startyear <- startyear+1
            startmonth <- 3
        }else{
            startmonth <- followingmonth[1]
        }
    }else{
        startmonth <- which(month >= startmonth)[1]
    }
    return( as.Date(paste(startyear, month[startmonth], day, sep="-")))
}

yearFrac <- function(date1, date2, daycount="act/365") {
    switch(daycount,
           "act/365"=as.numeric( (as.Date(date2) - as.Date(date1)) / 365),
           "act/360"=as.numeric( (as.Date(date2) - as.Date(date1)) / 360) )
}