library(ggplot2)
library(lubridate)
library(doParallel)

if(.Platform$OS.type == "unix"){
  root.dir <- "/home/share/CorpCDOs"
}else{
  root.dir <- "//WDSENTINEL/share/CorpCDOs"
}

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

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

get.indexquotes <- function(index, series, tenors=c("3yr", "5yr", "7yr"), onlymissing=TRUE){
    arraystring1 <- paste0(sqlArray(sqlQuote(sqlQuote(tenors))), "::tenor[]")
    arraystring2 <- paste0('"', paste(tenors, collapse='" float, "'), '" float')
    sqlstr <- paste("select * from crosstab('select date, tenor, closeprice from index_quotes",
                    "where index=''%s''and series=%s")
    if(onlymissing){
        sqlstr <- paste(sqlstr, "and duration is Null")
    }
    sqlstr <- paste(sqlstr, "order by date, tenor', 'select unnest(%s)')",
                    "AS ct(date date, %s)")
    stmt <- sprintf(sqlstr, index, series, arraystring1, arraystring2)
    df <- dbGetQuery(serenitasdb, stmt)
    df$date <- as.Date(df$date)
    return( df )
}

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] <- NA
        }else{
            r[i] <- couponleg(cs[cs$unadj.dates<=maturities[i],], sc,
                              startdate, accruedondefault=TRUE)-acc
        }
    }
    return( r )
}

fasttheta <- function(sc, cs, recov, tradedate, maturities, quotes){
    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)*0.05
            r[i] <- quotes[i]-upfront+0.05
        }
    }
    return( r )
}

index <- 'HY'
tenors <- c("3yr", "5yr", "7yr")
recov <- 0.3
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(series in c(16, 17, 18, 19, 20, 21, 22, 23)){
    indexquotes <- get.indexquotes(index, series)
    indexquotes <- indexquotes[!(is.na(indexquotes[,"3yr"]) & is.na(indexquotes[,"5yr"])
                                 & is.na(indexquotes[,"7yr"])),]
    if(nrow(indexquotes)==0){
        next
    }
    maturities <- get.indexmaturity(index, series)
    maturities <- maturities[maturities$tenor %in% tenors,]
    indexquotes <- indexquotes[indexquotes$date<=maturities$maturity[3],]
    durations <- matrix(0, nrow(indexquotes), length(tenors))
    thetas <- matrix(0, nrow(indexquotes), length(tenors))
    maturity <- maturities[nrow(maturities), "maturity"]
    durandthetas <- foreach(i = 1:nrow(indexquotes), .combine='rbind') %dopar% {
        tradedate <- indexquotes[i, "date"]
        exportYC(tradedate)
        cs <- couponSchedule(IMMDate(tradedate, noadj=TRUE), maturity,"Q", "FIXED", 1,
                             0, tradedate, IMMDate(tradedate, "prev"))
        quotes <- data.frame(upfront=(100-as.numeric(indexquotes[i,-1]))/100, maturities)
        sc <- cdshazardrate(quotes, recov, tradedate, cs)
        c(fastduration(sc, cs, tradedate, maturities$maturity),
          fasttheta(sc, cs, recov, tradedate, maturities$maturity, quotes$upfront))
    }
    r <- c()
    for(i in 1:nrow(indexquotes)){
        tradedate <- indexquotes[i, "date"]
        exportYC(tradedate)
        cs <- couponSchedule(IMMDate(tradedate, noadj=TRUE), 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)
        r <- rbind(r, c(fastduration(sc, cs, tradedate, maturities$maturity),
                        fasttheta(sc, cs, recov, tradedate, maturities$maturity, quotes$upfront)))
    }

    df.durations <- data.frame(date=indexquotes$date, r[,1:3, drop=F])
    df.thetas <- data.frame(date=indexquotes$date, r[,4:6, drop=F])
    colnames(df.durations) <- c("date", tenors)
    colnames(df.thetas) <- c("date", tenors)
    for(i in 1:nrow(df.durations)){
        for(tenor in tenors){
            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"))