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=c("USD", "EUR")) {
    ## downloads the latest available interest rates data from Markit
    ## before date and returns the parsed file into a list
    require(xml2)
    i <- 0
    currency <- match.arg(currency)
    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( as_list(read_xml(file.path(data.dir, "Yield Curves", filename.ext))) )
        }else{
            temp <- tempfile(tmpdir = file.path(data.dir, "Yield Curves"))
            download.file(paste0("http://www.markit.com/news/", filename, ".zip"), 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( as_list(read_xml(file.path(data.dir, "Yield Curves", filename.ext))) )
            }
        }
    }
}

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=c("USD", "EUR"), futurequotes){
    currency <- match.arg(currency)
    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=c("USD",  "EUR"), useFutures=FALSE){
    ## export the Yield Curve into the environment
    currency <- match.arg(currency)
    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$effectiveasof[[1]])
    setEvaluationDate(tradedate)
    if(evaldate!=tradedate){
        stop("wrong date")
    }
    sDate <- as.Date(MarkitData$deposits$spotdate[[1]])
    setCalendarContext(calendar="WeekendsOnly", fixingDays=2,
                       settleDate=sDate)
    legparams <- switch(currency,
                        USD = list(fixFreq="Semiannual",
                            floatFreq="Quarterly",
                            dayCounter="Thirty360"),
                        EUR = list(fixFreq="Annual",
                            floatFreq="Semiannual",
                            dayCounter="Thirty360"))
    params <- list(tradeDate=tradedate,
                   settleDate=sDate,
                   interpWhat="discount",
                   interpHow="loglinear")
    if(exists("futurequotes")){
        quotes <- buildMarkitYC(MarkitData, currency, futurequotes[,2])
    }else{
        quotes <- buildMarkitYC(MarkitData, currency)
    }
    YC <<- list(params=params, tsQuotes=quotes, legparams=legparams)
}