library(dplyr)
library(tidyr)
library(ggplot2)

index.quotes <- tbl(src_postgres("serenitasdb", "debian", 5432, "serenitas_user"), "index_quotes")

##ig26
ig26 <- index.quotes %>%
    filter(series == 26, index == 'IG') %>%
    select(date, tenor, closeprice, modelprice, theta) %>%
    arrange(desc(date))

ig26.close <- ig26 %>%
    select(date, tenor, closeprice) %>%
    collect() %>%
    spread(tenor, closeprice)

ig26.close <- ig26.close %>%
    mutate(package = 3*`5yr`-2*`3yr`-`10yr`,
           pnl = c(0, diff(package)),
           cumpnl = cumsum(pnl))

ig26.close %>%
    ggplot(aes(x=date)) + geom_line(aes(y=pnl))

ig26.close %>%
    ggplot(aes(x=date)) + geom_line(aes(y=cumpnl))

##ig25
ig25 <- index.quotes %>%
    filter(series == 25, index == 'IG', tenor %in% c("3yr", "5yr", "10yr")) %>%
    select(date, tenor, closeprice, modelprice, theta) %>%
    arrange(desc(date))

ig25.close <- ig25 %>%
    select(date, tenor, closeprice) %>%
    collect() %>%
    spread(tenor, closeprice)

ig25.theta <- ig25 %>%
    select(date, tenor, theta) %>%
    collect() %>%
    spread(tenor, theta) %>%
    mutate(theta = 3*`5yr`-2*`3yr`-`10yr`) %>%
    select(date, theta)

ig25.close <- ig25.close %>%
    mutate(package = 3*`5yr`-2*`3yr`-`10yr`,
           r = (package-lag(package))/lag(package)) %>%
    select(date, r) %>% left_join(ig25.theta)

ig25.theta <- ig25.theta %>%
    mutate(package = 3*`5yr`-2*`3yr`-`10yr`)

ig25.close %>%
    ggplot(aes(x=date)) + geom_line(aes(y=package-first(package)))

ig25.close %>%
    ggplot(aes(x=date)) + geom_line(aes(y=cumpnl))