require(RQuantLib)
getMarkitIRData <- function(date=Sys.Date()) {
    ## 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", "USD", lastdate, sep="_")
        filename.ext <- paste0(filename,".xml")
        if( filename.ext %in% dir(file.path(root.dir, "/data/Yield Curves"))){
            return( xmlToList(file.path(root.dir, "data/Yield Curves", filename.ext)) )
        }else{
            temp <- tempfile(tmpdir = file.path(root.dir, "/data/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(root.dir, "/data/Yield Curves"))
                unlink(temp)
                return( xmlToList(file.path(root.dir, "data/Yield Curves", filename.ext)) )
            }
        }
    }
    return( xmlToList(paste(filename,".xml", sep="")) )
}

basic.advance <- function(date, n, unit){
    ## advance a date by a given amount, whithout taking into account, business days
    ## n is the number of steps
    ## unit is the unit (belongs in "day", "month" or "year"
    stopifnot(class(date)=="Date")
    return(seq.Date(date, length=2, by=paste(n, unit))[2])

}

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, futurequotes, dt=0.25, tradeDate=Sys.Date()){
    settleDate <- as.Date(MarkitData$swaps$spotdate)
    params <- list(tradeDate=tradeDate,
                   settleDate=settleDate,
                   dt=dt,
                   interpWhat="discount",
                   interpHow="loglinear")

    short.term <- list()
    if(missing(futurequotes)){
        short.term <- list(d1m=as.numeric(MarkitData$deposits[5]$curvepoint$parrate),
                           d3m=as.numeric(MarkitData$deposits[7]$curvepoint$parrate))
    }else{
        immdate <- settleDate
        for(i in seq_along(futurequotes)){
            short.term[[paste0("fut",i)]] <- futurequotes[i]
            immdate <- nextthirdwed(immdate)
        }
        #advance last futures date by 3 months
        lastfuturedate <- basic.advance(immdate, 3, "month")
        ## find out the 2 year swap rate maturity
        s2ymaturity <- basic.advance(settleDate, 2, "year")
        if(s2ymaturity == lastfuturedate){
            short.term[["fut8"]] <- NULL
        }
    }
    tsQuotes <- c(short.term,
                  list(
                  s2y=as.numeric(MarkitData$swaps[8]$curvepoint$parrate),
                  s3y=as.numeric(MarkitData$swaps[9]$curvepoint$parrate),
                  ##s4y=as.numeric(MarkitData$swaps[10]$curvepoint$parrate),
                  s5y=as.numeric(MarkitData$swaps[11]$curvepoint$parrate),
                  ##s6y=as.numeric(MarkitData$swaps[12]$curvepoint$parrate),
                  ##s7y=as.numeric(MarkitData$swaps[13]$curvepoint$parrate),
                  ##s8y=as.numeric(MarkitData$swaps[14]$curvepoint$parrate),
                  ##s9y=as.numeric(MarkitData$swaps[15]$curvepoint$parrate),
                  s10y=as.numeric(MarkitData$swaps[16]$curvepoint$parrate),
                  ##s12y=as.numeric(MarkitData$swaps[17]$curvepoint$parrate),
                  s15y=as.numeric(MarkitData$swaps[18]$curvepoint$parrate),
                  s20y=as.numeric(MarkitData$swaps[19]$curvepoint$parrate),
                  ##s25y=as.numeric(MarkitData$swaps[20]$curvepoint$parrate),
                  s30y=as.numeric(MarkitData$swaps[21]$curvepoint$parrate)))
    YC.USD <- list(params=params, tsQuotes=tsQuotes)
    return( YC.USD )
}

exportYC <- function(tradedate=Sys.Date(), calibration.date=tradedate){
    ## export the Yield Curve into the environment
    require(RQuantLib)
    futurequotes <- read.csv(file.path(root.dir, "data", "Yield Curves",
                                       sprintf("futures-%s.csv", calibration.date)), header=F)
    ##retrieve yield curve data
    MarkitData <- getMarkitIRData(tradedate)
    L1m <- buildMarkitYC(MarkitData, futurequotes[,2], dt = 1/12)
    L2m <- buildMarkitYC(MarkitData, futurequotes[,2], dt = 1/6)
    L3m <- buildMarkitYC(MarkitData, futurequotes[,2])
    L6m <- buildMarkitYC(MarkitData, futurequotes[,2], dt = 1/2)

    if(!isBusinessDay(calendar="UnitedStates/GovernmentBond",dates=as.Date(MarkitData$effectiveasof))){
        setEvaluationDate(addBusDay(tradedate=as.Date(MarkitData$effectiveasof),-1))
    }else{
        setEvaluationDate(as.Date(MarkitData$effectiveasof))
    }
    setCalendarContext("TARGET")
    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()))
}