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()) {
    ## 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(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, futurequotes, tradeDate=Sys.Date()){
    settleDate <- advance(calendar="UnitedKingdom",dates=tradeDate, 2, 0)
    names(settleDate) <- NULL
    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{
        for(i in seq_along(futurequotes)){
            short.term[[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){
            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()){
    ## export the Yield Curve into the environment
    require(RQuantLib)
    futurefile <- file.path(data.dir, "Yield Curves",
                            sprintf("futures-%s.csv", tradedate))
    if(file.exists(futurefile)){
        futurequotes <- read.csv(futurefile, header=F)
    }
    ##retrieve yield curve data
    evaldate <- adjust(calendar="UnitedKingdom", dates=tradedate)
    names(evaldate) <- NULL
    setEvaluationDate(evaldate)
    MarkitData <- getMarkitIRData(tradedate)
    if(exists("futurequotes")){
        Libor <- buildMarkitYC(MarkitData, futurequotes[,2], evaldate)
    }else{
        Libor <- buildMarkitYC(MarkitData, ,evaldate)
    }
    L1m <- Libor
    L2m <- Libor
    L3m <- Libor
    L6m <- Libor
    L12m <- Libor
    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()))
}