require(RQuantLib)

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

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(XML)
    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( xmlToList(file.path(data.dir, "Yield Curves", filename.ext)) )
        }else{
            temp <- tempfile(tmpdir = file.path(data.dir, "Yield Curves"))
            download.file(paste("http://www.markit.com/news/", filename, ".zip", sep=""), 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( xmlToList(file.path(data.dir, "Yield Curves", filename.ext)) )
            }
        }
    }
    return( xmlToList(paste(filename,".xml", sep="")) )
}

thirdwed <- function(x) {
    d <- x - as.POSIXlt(x)$mday + 1
    n <- (3-as.POSIXlt(d)$wday) %% 7 + 1
    d + 14 + n - 1
}

nextthirdwed <- function(x) {
    y <- thirdwed(x)
    thirdwed(y + 30 * (y < x))
}

buildMarkitYC <- function(MarkitData, currency="USD", futurequotes){
    deposits <- list()
    futures <- list()
    swaps <- list()
    if(missing(futurequotes)){
        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)
        }
    }else{
        for(i in seq_along(futurequotes)){
            futures[[paste0("fut",i)]] <- futurequotes[i]
        }
        ## get last imm date
        lastimmdate <- nextthirdwed(advance(dates=tradeDate, n=21, timeUnit=2, bdc=4))
        lastfuturematurity <- advance(dates=lastimmdate, n=3, timeUnit=2, bdc=4)
        ## find out the 2 year swap rate maturity
        s2ymaturity <- advance(calendar="UnitedKingdom", dates=settleDate, 2, 3)
        if(s2ymaturity == lastfuturematurity){
            futures[["fut8"]] <- NULL
        }
    }
    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$parrate)
        }
        if(.Platform$OS.type != "unix"){
            for(missingtenor in c("s4y", "s6y", "s7y", "s8y", "s9y", "s12y", "s25y")){
                swaps[[missingtenor]] <- NULL
            }
        }
    }
    tsQuotes <- c(deposits, futures, swaps)
    return( tsQuotes )
}

exportYC <- function(tradedate=Sys.Date(), currency="USD", useFutures=FALSE){
    ## export the Yield Curve into the environment
    require(RQuantLib)
    if(useFutures){
        futurefile <- file.path(data.dir, "Yield Curves",
                                sprintf("futures-%s.csv", tradedate))
        if(file.exists(futurefile)){
            futurequotes <- read.csv(futurefile, header=F)
        }
    }
    MarkitData <- getMarkitIRData(tradedate-1, currency)
    evaldate <- as.Date(MarkitData$effectiveasof)
    setEvaluationDate(tradedate)
    if(evaldate!=tradedate){
        stop("wrong date")
    }
    setEvaluationDate(evaldate)
    settleDate <- as.Date(MarkitData$deposits$spotdate)
    curveType <- sprintf("%s/%s", "Markit", currency)
    if(.Platform$OS.type == "unix"){
        setCalendarContext(calendar="WeekendsOnly", fixingDays=2,
                           settleDate=as.Date(MarkitData$deposits$spotdate),
                           curveType=curveType)
    }else{
         setCalendarContext(calendar="UnitedKingdom", fixingDays=2,
                           settleDate=as.Date(MarkitData$deposits$spotdate))
     }

    params <- list(tradeDate=as.Date(MarkitData$effectiveasof),
                   settleDate=settleDate,
                   interpWhat="discount",
                   interpHow="loglinear")
    if(exists("futurequotes")){
        quotes <- buildMarkitYC(MarkitData, currency, futurequotes[,2])
    }else{
        quotes <- buildMarkitYC(MarkitData, currency)
    }
    L1m <- L2m <- L3m <- L6m <- L12m <- list(params=params, tsQuotes=quotes)
    L1m$params$dt <- 1/12
    L2m$params$dt <- 1/6
    L3m$params$dt <- 1/4
    L6m$params$dt <- 1/2
    L12m$params$dt <- 1
    assign("L1m", L1m, env = parent.env(environment()))
    assign("L2m", L2m, env = parent.env(environment()))
    assign("L3m", L3m, env = parent.env(environment()))
    assign("L6m", L6m, env = parent.env(environment()))
    assign("L12m", L12m, env = parent.env(environment()))
}