library(RQuantLib)

data.dir <- "."

getMarkitIRData <- function(date=Sys.Date(), currency="USD") {
    ## downloads the latest available interest rates data from Markit
    ## before date and returns the parsed file into a list
    require(xml2)
    i <- 0
    while( TRUE ) {
        lastdate <- format(date-i, "%Y%m%d")
        filename <- paste("InterestRates", currency, lastdate, sep="_")
        filename.ext <- paste0(filename, ".xml")
        if( filename.ext %in% dir(file.path(data.dir, "Yield Curves"))){
            return( as_list(read_xml(file.path(data.dir, "Yield Curves", filename.ext))) )
        }else{
            temp <- tempfile(tmpdir = file.path(data.dir, "Yield Curves"))
            download.file(paste0("http://www.markit.com/news/", filename, ".zip"), temp, quiet=T)
            con <- file(temp, "r")
            firstline <- readLines(con, 1, warn=FALSE)
            ## Markit returns a plain text file if there is no data.
            if(firstline == "Interest Rates not available, please check date entered") {
                i <- i + 1
                close(con)
                unlink(temp)
            } else {
                cat("downloaded data for:", lastdate,"\n")
                close(con)
                ## we unzip it
                unzip(temp, exdir = file.path(data.dir, "Yield Curves"))
                unlink(temp)
                return( as_list(read_xml(file.path(data.dir, "Yield Curves", filename.ext))) )
            }
        }
    }
    return( as_list(read_xml(paste(filename,".xml", sep=""))) )
}

buildMarkitYC <- function(MarkitData, currency=c("USD", "EUR")){
    deposits <- list()
    swaps <- list()
    keys <- unlist(lapply(MarkitData$deposits[5:length(MarkitData$deposits)],
                          function(x)paste0("d",tolower(x$tenor))), use.names=FALSE)
    for(i in seq_along(keys)){
        deposits[[keys[i]]] <- as.numeric(MarkitData$deposits[i+4]$curvepoint$parrate)
    }
    if(length(MarkitData$swaps)>8){## swaps quotes probably missing
        keys <- unlist(lapply(MarkitData$swaps[8:length(MarkitData$swaps)],
                              function(x) paste0("s", tolower(x$tenor))), use.names=FALSE)
        for(i in seq_along(keys)){
            swaps[[keys[i]]] <- as.numeric(MarkitData$swaps[i+7]$curvepoint$parrate)
        }
    }
    tsQuotes <- c(deposits, swaps)
    return( tsQuotes )
}

YC <- function(tradedate=Sys.Date(), currency=c("USD", "EUR"){
    ## export the Yield Curve into the environment
    MarkitData <- getMarkitIRData(tradedate-1, currency)
    evaldate <- as.Date(MarkitData$effectiveasof[[1]])
    setEvaluationDate(tradedate)
    if(evaldate!=tradedate){
        stop("wrong date")
    }
    sDate <- as.Date(MarkitData$deposits$spotdate[[1]])
    setCalendarContext(calendar="WeekendsOnly", fixingDays=2,
                       settleDate=sDate)
    legparams <- switch(currency,
                        USD = list(fixFreq="Semiannual",
                            floatFreq="Quarterly",
                            dayCounter="Thirty360"),
                        EUR = list(fixFreq="Annual",
                            floatFreq="Semiannual",
                            dayCounter="Thirty360"))
    params <- list(tradeDate=tradedate,
                   settleDate=sDate,
                   interpWhat="discount",
                   interpHow="loglinear")
    quotes <- buildMarkitYC(MarkitData, currency)
    return( list(params=params, tsQuotes=quotes, legparams=legparams) )
}

dates <- seq(as.Date("2013-01-01"), as.Date("2016-05-16"), by=1)
for(curr in c("USD", "EUR")) {
    for(i in 1:length(dates)) {
        day <- dates[i]
        cal <- switch(curr,
                      USD = "UnitedStates/GovernmentBond",
                      EUR = "TARGET")
        calibration.date <- advance(calendar=cal, day, -1, 0)
        if(isBusinessDay(calendar=cal, day)){
            yc <- YC(calibration.date, currency=curr)
            print(day)
            test <- DiscountCurve(c(yc$params, list(dt=0.25)), yc$tsQuotes, 1, yc$legparams)
            cat(day, test$forwards, "\n")
        }
    }
}