library(dplyr)

code.dir <- "~/projects/code/"
source(file.path(code.dir, "R", "yieldcurve.R"))
source(file.path(code.dir, "R", "calibration.R"), chdir=TRUE)
source(file.path(code.dir, "R", "serenitasdb.R"))
source(file.path(code.dir, "R", "creditIndex.R"))

data.src <- src_postgres("serenitasdb", "debian", 5432, "serenitas_user")

index.closeprice <- function(index=c("IG", "HY", "EU", "XO"), series) {
    require(lazyeval, quietly=T)
    index <- match.arg(index)
    index.quotes <- tbl(data.src, "index_quotes")
    df <- index.quotes %>% filter_(lazyeval::interp(~series == s, s=series)) %>%
        filter_(interp(~index == i, i=index)) %>%
        arrange(date)
    df <- df %>% select(date, tenor, closeprice) %>%
        rename(price=closeprice) %>%
        mutate(price=price/100) %>% collect()
    return( df )
}

get.maturities <- function(index=c("IG", "HY", "EU", "XO"), series) {
    index <- match.arg(index)
    df <- tbl(data.src, "index_maturity")
    df <- df %>% filter_(lazyeval::interp(~series == s, s=series)) %>%
        filter_(interp(~index == i, i=index)) %>%
        select(tenor, maturity, coupon) %>%
        rename(spread=coupon) %>% mutate(spread=spread*1e-4) %>%
        arrange(maturity) %>% collect()
    return( df )
}

maturities <- get.maturities("IG", 26)
quotes <- index.closeprice("IG", 26)
index <- creditIndex("IG27", "10yr")
sqlstr <- paste("UPDATE index_quotes SET duration2=$1, theta2=$2",
                "WHERE date=$3 AND index=$4 AND series=$5 AND tenor=$6")

for(i in seq_along(quotes$date)) {
    tradedate <- quotes$date[i]
    exportYC(tradedate, "USD")
    index <- set.index.desc(index, tradedate)
    index <- set.singlenamesdata(index, tradedate)
    index$cs <- couponSchedule(IMMDate(tradedate, noadj=TRUE),
                               index$maturity, "Q", "FIXED", 1,
                               0, tradedate, IMMDate(tradedate, "prev"))
    index$quotes <- quotes %>% filter(date == tradedate) %>%
        left_join(maturities) %>% arrange(maturity)
    tweak <- tweakcurves(index, tradedate)
    index$portfolio <- NULL
    index <- c(index, tweak)
    theta <- numeric(length(index$maturities))
    duration <- numeric(length(index$maturities))
    for(j in seq_along(maturities$maturity)) {
        maturity <- maturities$maturity[j]
        theta <- index %>% indextheta(tradedate=tradedate, maturity=maturity)
        duration <- index %>% indexduration(tradedate=tradedate, maturity=maturity)
        dbSendQuery(serenitasdb, sqlstr,
                    params = list(duration, theta, tradedate,
                                  "IG", 26, maturities$tenor[j]))
    }
}