library(ggplot2)
library(lubridate)
library(doParallel)
library(dplyr)
library(tidyr)

code.dir <- Sys.getenv("CODE_DIR")

hostname <- system("hostname", intern=TRUE)
registerDoParallel(if(hostname=="debian") 4 else 8)

source(file.path(code.dir, "R", "serenitasdb.R"))
source(file.path(code.dir, "R", "cds_functions_generic.R"))
source(file.path(code.dir, "R", "yieldcurve.R"))

get.indexquotes.table <- function(indextype, series, tenors=c("3yr", "5yr", "7yr"), onlymissing=TRUE){
    stmt <- str_c("select date, tenor, closeprice from index_quotes ",
                  "where index=$1 and series=$2",
                  if(onlymissing) " and duration is Null" else NULL,
                  " order by date")
    df <- dbGetQuery(serenitasdb, stmt, params = list(index, series))
    return( df %>% filter(tenor %in% tenors)
           %>% mutate(tenor = factor(tenor, levels=tenors))
           %>% spread(tenor, closeprice) )
}

get.indexmaturity <- function(index, series){
    sqlstr <- paste("select maturity, coupon/cast(10000 as float)as running, tenor",
                    "from index_maturity where index=$1",
                    "and series=$2 order by maturity")
    df <- dbGetQuery(serenitasdb, sqlstr, params=list(index, series))
    df$maturity <- as.Date(df$maturity)
    return( df )
}

fastduration <- function(sc, cs, tradedate, maturities){
    r <- rep(NA, length(maturities))
    if(is.null(sc)){
        return( r )
    }
    startdate <- tradedate+1
    acc <- cdsAccrued(tradedate, 1)
    for(i in seq_along(maturities)){
        if(startdate <= maturities[i]){
            r[i] <- couponleg(cs[cs$unadj.dates<=maturities[i],], sc,
                              startdate, accruedondefault=TRUE)-acc
        }
    }
    return( r )
}

fasttheta <- function(sc, cs, recov, tradedate, maturities, quotes, fixedrate=0.05){
    r <- rep(NA, length(maturities))
    if(is.null(sc)){
        return(r)
    }
    startdate <- tradedate+1
    acc <- cdsAccrued(tradedate, 1)

    newmaturities <- maturities+years(-1)
    for(i in seq_along(newmaturities)){
        ## never extrapolate, and do not attempt to compute theta if within 1 year
        if(startdate>newmaturities[i] || is.na(quotes[i])){
            next
        }else{
            newcs <- cs[cs$unadj.dates<=newmaturities[i],]
            upfront <- defaultleg(newcs, sc, recov, startdate) -
                (couponleg(newcs, sc, startdate, accruedondefault=TRUE)-acc)*fixedrate
            r[i] <- quotes[i]-upfront+fixedrate
        }
    }
    return( r )
}

sqlstr.duration <- paste("UPDATE index_quotes set duration=$1 where date=$2 and index=$3",
                         "and series=$4 and tenor=$5")
sqlstr.theta <- paste("UPDATE index_quotes set theta=$1 where date=$2 and index=$3",
                      "and series=$4 and tenor=$5")
for(index in c('IG', 'HY')){
    recov <- if(index=='IG') 0.4 else 0.3
    coupon <-  if(index=='IG') 0.01 else 0.05
    tenors <- if(index=='IG') c("3yr", "5yr", "7yr", "10yr") else c("3yr", "5yr", "7yr")
    for(series in 18:27){
        indexquotes <- get.indexquotes.table(index, series, tenors)
        if(nrow(indexquotes)==0){
            next
        }
        maturities <- get.indexmaturity(index, series)
        maturities <- maturities[maturities$tenor %in% colnames(indexquotes)[-1],]
        durations <- matrix(0, nrow(indexquotes), nrow(maturities))
        thetas <- matrix(0, nrow(indexquotes), nrow(maturities))
        last_maturity <- maturities[nrow(maturities), "maturity"]
        durandthetas <- foreach(i = 1:nrow(indexquotes), .combine='rbind') %dopar% {
            tradedate <- indexquotes[i, "date"]
            exportYC(tradedate)
            cs <- couponSchedule(IMMDate(tradedate, noadj=TRUE), last_maturity,"Q", "FIXED", 1,
                                0, tradedate, IMMDate(tradedate, "prev"))
            quotes <- data.frame(upfront=(100-as.numeric(indexquotes[i,-1]))/100, maturities)
            sc <- cdshazardrate(quotes, recov, tradedate, cs)
            c(fastduration(sc, cs, tradedate, maturities$maturity),
              fasttheta(sc, cs, recov, tradedate, maturities$maturity, quotes$upfront, coupon))
        }
        if(is.null(dim(durandthetas))){
            dim(durandthetas) <- c(1, length(durandthetas))
        }
        ## non parallel version for easier debugging
        ## durandthetas <- c()
        ## for(i in 1:nrow(indexquotes)){
        ##     tradedate <- indexquotes[i, "date"]
        ##     exportYC(tradedate)
        ##     cs <- couponSchedule(IMMDate(tradedate, noadj=TRUE), last_maturity,"Q", "FIXED", 1,
        ##                          0, tradedate, IMMDate(tradedate, "prev"))
        ##     quotes <- data.frame(upfront=(100-as.numeric(indexquotes[i,-1]))/100, maturities)
        ##     sc <- cdshazardrate(quotes, recov, tradedate, cs)
        ##     durandthetas <- rbind(durandthetas, c(fastduration(sc, cs, tradedate, maturities$maturity),
        ##                     fasttheta(sc, cs, recov, tradedate, maturities$maturity, quotes$upfront, coupon)))
        ## }

        n <- nrow(maturities)
        df.durations <- data.frame(date=indexquotes$date, durandthetas[,1:n, drop=F])
        df.thetas <- data.frame(date=indexquotes$date, durandthetas[,(n+1):(2*n), drop=F])
        colnames(df.durations) <- c("date", maturities$tenor)
        colnames(df.thetas) <- c("date", maturities$tenor)
        for(i in 1:nrow(df.durations)){
            for(tenor in maturities$tenor){
                if(!is.na(df.durations[i, tenor])){
                    r <- dbSendQuery(serenitasdb, sqlstr.duration,
                                     params = list(df.durations[i, tenor],
                                         df.durations[i,"date"], index, series, tenor))
                    if(dbHasCompleted(r)){
                        dbClearResult(r)
                    }
                }
                if(!is.na(df.thetas[i,tenor])){
                    r <- dbSendQuery(serenitasdb, sqlstr.theta,
                                     params = list(df.thetas[i, tenor],
                                         df.thetas[i, "date"], index, series, tenor))
                    if(dbHasCompleted(r)){
                        dbClearResult(r)
                    }
                }
            }
        }
    }
}
## ## nice plot, now I'm just showing off
## ggplot(df.durations, aes(x=date))+geom_line(aes(y=`3yr`, colour="3yr"))+
##     geom_line(aes(y=`5yr`, colour="5yr"))+
##         geom_line(aes(y=`7yr`, colour="7yr"))+ylab("duration")+labs(colour="tenor")
## ggsave(filename=paste0("HY", series, " durations.png"))
## ## plot thetas
## ggplot(df.thetas, aes(x=date))+geom_line(aes(y=`3yr`, colour="3yr"))+
##     geom_line(aes(y=`5yr`, colour="5yr"))+
##         geom_line(aes(y=`7yr`, colour="7yr"))+ylab("theta")+labs(colour="tenor")
## ggsave(filename=paste0("HY", series, " thetas.png"))