stopifnot((root.dir <- Sys.getenv("SERENITAS_BASE_DIR")) != "")

library(lossdistrib)
n.int <- 250
gh <- GHquad(n.int)
Ngrid <- 201

creditIndex <- function(name, tenor="5yr", Z=gh$Z, w=gh$w, N=Ngrid) {
    ## constructor for the index object
    ## FIXME: figure out what to do with the recovery
    name <- toupper(name)
    r <- list(name=name,
              tenor=tenor, type = substr(name, 1, 2),
              series=as.integer(substr(name, 3, nchar(name))),
              Z=Z, w=w, N=N)
    r$recovery <- if(r$type=="HY") 0.3 else 0.4
    return( structure(r, class="creditIndex") )
}

`$<-.creditIndex` <- function(x, name, value){
    unclass(x)
    x[[name]] <- value
    class(x) <- "creditIndex"
    return(x)
}

c.creditIndex <- function(..., recursive = FALSE){
    structure(c(unlist(lapply(list(...), unclass), recursive=recursive)), class="creditIndex")
}

print.creditIndex <- function(index){
    cat(index$name, index$tenor, as.character(index$tradedate), "\n\n")
    if("maturity" %in% names(index)){
        cat("maturity:", as.character(index$maturity), "\n")
        cat("factor:", index$factor, "\n")
        cat("losstodate:", index$loss, "\n\n")
    }
    if("quotes" %in% names(index)){
        cat("Index price ref:", index$quotes$refprice, "\n")
        cat("Index price spread:", index$quotes$refspread, "\n")
        cat("Index basis:", index$basis, "\n\n")
    }

    ##mapping to some prettier names
    colnames.toprint <- c("upfront", "running", "mkt.delta", "delta",
                          "gamma", "theta", "corr01")
    available.colnames <- colnames.toprint[colnames.toprint %in% names(index$tranches)]
    df <- index$tranches[available.colnames]
    ##FIXME: need to check if it's bottom-up or top-down
    if(!is.null(index$rho)){
        df <- cbind(df, data.frame(rho=index$rho[-1]))
    }
    print(df, digits=4)
}

load.index <- function(name, tenor, date){
    ## load a creditIndex which was previously saved
    indexfile <- file.path(root.dir, "Tranche_data", "Objects",
                           paste0(paste(name, tenor, date, sep="_"),".RData"))
    if(file.exists(indexfile)){
        load(indexfile)
    }else{
        loginfo(paste(name, tenor, "file missing"))
        return(NULL)
    }
    return(index)
}

csvheaders <- function(index){
    if(class(index)!="creditIndex"){
        stop("argument needs to be of class creditIndex")
    }
    tranche.names <- row.names(index$tranches)
    headers <- c("date", "indexpriceref", "indexspreadref", "indexprice",
                 "indexBasis", "indexEL", "indexduration", "indexTheta",
                 paste(tranche.names, "Upfront"),
                 paste(tranche.names, "Dealer Delta"),
                 paste(tranche.names, "Model Delta"),
                 paste(tranche.names, "Forward Deltas"),
                 paste(tranche.names, "Gamma"),
                 paste(tranche.names, "Theta"),
                 paste(index$K.orig[-1]*100, "Corr"),
                 paste(tranche.names, "Corr01"),
                 paste(tranche.names, "Dur"),
                 paste(tranche.names, "EL"))
    return(paste(headers, collapse=","))
}

tocsv <- function(index){
    ## write a one line csv representation of the index object
    if(class(index)!="creditIndex"){
        stop("argument needs to be of class creditIndex")
    }
    row <- c(as.character(index$tradedate), index$quotes$refprice, index$quotes$refspread,
             index$quotes$price, index$basis, index$EL, index$duration, index$theta,
             unlist(index$tranches[c("upfront", "mkt.delta", "delta", "fw.delta","gamma",
                                     "theta")]), index$rho[-1],
             unlist(index$tranches[c("corr01", "duration", "EL")]))
    return(paste(row, collapse=","))
}

as.data.frame.creditIndex <- function(index) {
    data.frame(tranche_id = index$tranches$id,
               date = index$tradedate,
               index = index$type,
               series = index$series,
               tenor = index$tenor,
               index_price = index$quotes$price,
               index_basis = index$basis,
               index_EL = index$EL,
               index_duration = index$duration,
               index_theta = index$theta,
               attach = as.integer(index$K.orig[-length(index$K.orig)]*100),
               detach = as.integer(index$K.orig[-1]*100),
               corr_at_detach = index$rho[-1],
               delta = index$tranche$delta,
               forward_delta = index$tranche$fw.delta,
               gamma = index$tranches$gamma,
               theta = index$tranches$theta,
               corr01 = index$tranches$corr01,
               duration = index$tranches$duration,
               EL = index$tranches$EL)
}