crf.R

#' @export
next_anniversary = function(x, ...) UseMethod("next_anniversary")

#' @export
next_anniversary.bond = function(x, ...) {
  refdate = crf.options$get("REFDATE")
  start_year = year(refdate)
  start_month = month(refdate)
  anniversary = as.Date(ISOdate(start_year, start_month, x$anniversary))

  if (refdate <= anniversary) anniversary else anniversary %m+% months(1)
}

#' @export
last_anniversary = function(x, ...) UseMethod("last_anniversary")

#' @export
last_anniversary.bond = function(x, ...) {
  refdate = crf.options$get("REFDATE")
  start_year = year(refdate)
  start_month = month(refdate)
  anniversary = as.Date(ISOdate(start_year, start_month, x$anniversary))

  if (refdate < anniversary) anniversary %m-% months(1) else anniversary
}


# bond functions ----

amortization_cashflow = function(cashflow, maturity_date, calendar) {
  cashFlow = cashflow %>%
    rename(Dates = date) %>%
    mutate(Dates = following(as.Date(Dates), calendar))
  ## amortization cash flow
  amortization_cashflow = cashFlow %>%
    filter(eventType != "J") %>%
    rename(Amortization_p = yield) %>%
    mutate(Amortization_p = Amortization_p/100) %>%
    select(Dates, Amortization_p)
  # create cash flow if it is empty
  if (nrow(amortization_cashflow) == 0) {
    amortization_cashflow = data.frame(Dates = maturity_date,
                                       Amortization_p = 1)
  }
  # add maturity date as the last cash flow
  if (max(amortization_cashflow$Dates) < maturity_date) {
    res = 1 - sum(amortization_cashflow$Amortization_p)
    amortization_cashflow = rbind(
      amortization_cashflow,
      data.frame(Dates = maturity_date, Amortization_p = res)
    )
  }

  if (sum(amortization_cashflow$Amortization_p) < 1) {
    mx = which.max(amortization_cashflow$Dates)
    res = 1 - sum(amortization_cashflow$Amortization_p)
    amortization_cashflow$Amortization_p[mx] = amortization_cashflow$Amortization_p[mx] + res
  }

  amortization_cashflow
}

coupon_cashflow = function(cashflow, calendar) {
  coupon_cashflow = cashflow %>%
    rename(Dates = date) %>%
    mutate(Dates = following(as.Date(Dates), calendar)) %>%
    filter(eventType == "J") %>%
    mutate(Coupon_p = 0) %>%
    select(Dates, Coupon_p)
  coupon_cashflow
}

cashflow = function(raw_cashflow, start_date, maturity_date, calendar) {
  amortization_cashflow = amortization_cashflow(raw_cashflow, maturity_date, calendar)
  coupon_cashflow = coupon_cashflow(raw_cashflow, calendar)
  cashflow = merge(amortization_cashflow, coupon_cashflow,
                   by = "Dates", all = TRUE) %>%
    arrange(Dates) %>%
    mutate(
      Amortization_p = ifelse(is.na(Amortization_p), 0, Amortization_p),
      Fixings = following(Dates, calendar),
      DaysBetween = bizdiff(c(start_date, Fixings), calendar)
    ) %>%
    mutate(c_amt_l = cumsum(Amortization_p), VNR_p = 1-c_amt_l) %>%
    select(-c_amt_l)
  cashflow
}

# bond ----

#' @export
bond_from_legacy = function(bond_details) {
  that = list()
  ## set attributes
  that$issuer = bond_details$issuer
  that$issuer_ticker = bond_details$codbond
  that$issue_date = ymd(bond_details$issuedate)
  that$start_date = ymd(bond_details$startingdate)
  that$maturity_date = ymd(bond_details$expiredate)
  that$anniversary = bond_details$anniversaryday
  ## anniversary
  anniversary = as.Date(ISOdate(year(that$start_date), month(that$start_date), that$anniversary))
  that$zero_anniversary = if (that$start_date < anniversary) anniversary %m-% months(1) else anniversary
  that$first_anniversary = if (that$start_date < anniversary) anniversary else anniversary %m+% months(1)
  that$calendar = "Brazil/ANBIMA"

  ### type dependent attributes
  that$type = type(bond_details$method)
  that$perc = perc(that$type, as.numeric(bond_details$yield)/100)
  that$coupon_rate = coupon_rate(that$type, as.numeric(bond_details$yield)/100)
  that$..notional = bond_details$vne
  ## cash flow calculations
  that$cashflow = cashflow(bond_details$events, that$start_date, that$maturity_date, that$calendar)
  structure(that, class = "bond")
}

#' @export
bond_from_cetip_data = function(deb_data, deb_cashflow) {
  that = list()
  ## set attributes
  that$issuer = deb_data$ISSUER
  that$issuer_ticker = deb_data$CODBOND
  that$anniversary = as.integer(deb_data$ANNIVERSARYDAY)
  that$issue_date = dmy(deb_data$ISSUEDATE)
  that$start_date = dmy(deb_data$STARTINGDATE)
  that$maturity_date = dmy(deb_data$EXPIREDATE)
  ## anniversary
  anniversary = as.Date(ISOdate(year(that$start_date), month(that$start_date), that$anniversary))
  that$zero_anniversary = if (that$start_date < anniversary) anniversary %m-% months(1) else anniversary
  that$first_anniversary = if (that$start_date < anniversary) anniversary else anniversary %m+% months(1)
  that$calendar = "Brazil/ANBIMA"

  ### type dependent attributes
  that$type = type(deb_data$METHOD)
  that$perc = perc(that$type, as.numeric(deb_data$YIELD)/100)
  that$coupon_rate = coupon_rate(that$type, as.numeric(deb_data$YIELD)/100)
  that$..notional = deb_data$VNE
  ## cash flow calculations
  that$cashflow = cashflow(deb_cashflow, that$start_date, that$maturity_date, that$calendar)
  structure(that, class = "bond")
}

#' @export
print.bond = function(x, ...) {
  cat(x$issuer_ticker, "\n")
  cat(as.character(x$type), "\n")
  print(market_cashflow(x))
  invisible(x)
}

#' @name calculadorarendafixa
#' @author wilson
#' @docType package
#'
NULL

# coupon rate ----

#' @export
coupon_rate = function(x, ...) UseMethod("coupon_rate")

#' @export
`coupon_rate.DI-SPREAD` = function(x, value, ...) value

#' @export
`coupon_rate.DI-PERC` = function(x, value, ...) 0

#' @export
`coupon_rate.IPCA` = function(x, value, ...) value

#' @export
`coupon_rate.IPCA-N15` = function(x, value, ...) value

#' @export
`coupon_rate.IPCA-I` = function(x, value, ...) value

#' @export
`coupon_rate.PRE` = function(x, value, ...) value

#' @export
`coupon_rate.DI-SSU` = function(x, value, ...) value


# set_config(use_proxy(url="10.0.0.24",port=8080, username="wfreitas", password="A1manaque"))

#' @export
crf_auth_token <- function() {
  site_url = "https://api.calculadorarendafixa.com.br"
  token = "8f3d4610-9938-4ec2-a01b-cb95de5c8ede"

  url <- parse_url(site_url)
  r <- POST(url, body = list(token = token), verbose())

  if (status_code(r) != 200)
    stop("Unable to request www.calculadorarendafixa.com.br")

  m <- str_match(content(r, as = "text"), "authorization = '([\\d\\w]*)'")
  auth_code <- if (! any(is.na(m[1, 2]))) m[1,2] else NULL

  m <- str_match(content(r, as = "text"), "apiurl = '(.*)'")
  api_url <- if (! any(is.na(m[1, 2]))) m[1,2] else NULL

  auth_token = list(
    auth_code = auth_code,
    api_url = api_url,
    site_url = site_url
  )
  structure(auth_token, class = "crf_auth_token")
}

crf_build_url = function(token, code = c("bonds", "calc", "details"), ...) {
  code = match.arg(code)

  switch (code,
          "bonds" = {
            modify_url(token$site_url, path = c(token$api_url, "listBondCodes"))
          },
          "calc" = {
            parms = list(...)
            modify_url(token$site_url, path = c(token$api_url, "calcPU",
                                                parms$bond_code, parms$refdate, parms$yield))
          },
          "details" = {
            parms = list(...)
            modify_url(token$site_url, path = c(token$api_url, "getBondDetails",
                                                parms$bond_code))
          }
  )
}

connect_calculadora <- function(x, auth_code) {
  VERB(
    verb = "GET", url = x,
    add_headers(
      `Accept-Encoding` = "gzip, deflate, sdch, br",
      `Accept-Language` = "pt-BR,pt;q=0.8,en-US;q=0.6,en;q=0.4",
      `Accept` = "text/javascript, text/html, application/xml, text/xml, */*",
      `Authorization` = auth_code,
      `Auth-Code` = auth_code,
      `X-Requested-With` = "XMLHttpRequest",
      `Connection` = "keep-alive",
      `Referer` = "https://calculadorarendafixa.com.br/",
      `User-Agent` = "Mozilla/5.0 (Windows NT 6.1; Win64; x64) AppleWebKit/537.36 (KHTML, like Gecko) Chrome/56.0.2924.87 Safari/537.36"
    )
  )
}

#' @export
list_bond_codes <- function(token) {
  r <- connect_calculadora(crf_build_url(token, "bonds"), token$auth_code)
  if (status_code(r) == 200) {
    x <- fromJSON(content(r, as = "text", encoding = "UTF-8"))
    if (is.list(x) && exists("err", x) && x$err)
      stop("Problems downloading bond codes. API HTTP status code = ", x$httpStatusCode,
           "; API Message = ", x$message)
    else
      x
  } else
    stop("Unable to download bond codes. status = ", status_code(r))
}

#' @export
get_bond_details <- function(token, bond_code, as = c("json", "text")) {
  as <- match.arg(as)

  url_ = crf_build_url(token, "details", bond_code = bond_code)
  r <- connect_calculadora(url_, token$auth_code)
  if (status_code(r) == 200) {
    text <- content(r, as = "text", encoding = "UTF-8")

    if (as == "text")
      return(text)

    x <- fromJSON(text)
    if (is.list(x) && exists("err", x) && x$err)
      stop("Problems downloading bond details. API HTTP status code = ", x$httpStatusCode,
           "; API Message = ", x$message)
    else
      x
  } else
    stop("Unable to download bond details. status = ", status_code(r))
}

#' @export
calc_bond <- function(token, bond_code, refdate, yield) {
  url_ = crf_build_url(token, "calc", bond_code = bond_code,
                       refdate = format(refdate),
                       yield = format(yield))
  r <- connect_calculadora(url_, token$auth_code)
  if (status_code(r) == 200) {
    x <- fromJSON(content(r, as = "text", encoding = "UTF-8"))
    if (is.list(x) && exists("err", x) && x$err)
      stop("Problems downloading bond results. API HTTP status code = ", x$httpStatusCode,
           "; API Message = ", x$message)
    else
      x
  } else
    stop("Unable to download bond results. status = ", status_code(r))
}

# merge elements of y into x with the same names
merge_list = function(x, y) {
  x[names(y)] = y
  x
}

# new_defaults - creates a settings object
new_defaults <- function(value=list()) {
  defaults <- value

  get <- function(name, default=FALSE, drop=TRUE) {
    if (default)
      defaults <- value  # this is only a local version
    if (missing(name))
      defaults
    else {
      if (drop && length(name) == 1) {
        if (!exists(name, defaults))
          stop("Name (", name, ") not found in options.")
        defaults[[name]]
      } else
        defaults[name]
    }
  }
  set <- function(...) {
    dots <- list(...)
    if (length(dots) == 0) return()
    if (is.null(names(dots)) && length(dots) == 1 && is.list(dots[[1]]))
      if (length(dots <- dots[[1]]) == 0) return()
    defaults <<- merge(dots)
    invisible(NULL)
  }
  merge <- function(values) merge_list(defaults, values)
  restore <- function(target = value) defaults <<- target

  list(get=get, set=set, merge=merge, restore=restore)
}

#' @export
crf.options <- new_defaults()

# equivalent coupon rate ----

equivalent_coupon_rate = function(x, ...) UseMethod("equivalent_coupon_rate")

equivalent_coupon_rate.bond = function(x, business_days, days_between, ...) {
  get(.Generic)(x$type, x, business_days, days_between, ...)
}

`equivalent_coupon_rate.DI-PERC` = function(x, bond, business_days, days_between, ...) {
  # z_rate = curve$value
  curve = crf.options$get("IRBRL_CURVE")
  z_rate = curve[business_days]
  comp1 = (1 + z_rate)^(business_days/252)
  comp2 = lag(comp1)
  du1 = business_days
  du2 = lag(du1)
  f_rate = (comp1/comp2)^(252/(du1 - du2)) - 1
  c_rate = c(z_rate[1], tail(f_rate, -1))
  du_ = c(business_days[1], tail(days_between, -1))

  fc1 = (((1 + c_rate)^(1/252) - 1)*bond$perc + 1)^du_
  c_rate = fc1^(252/du_) - 1

  data.frame(CouponDays = du_, CouponRate = c_rate)
}

`equivalent_coupon_rate.DI-SPREAD` = function(x, bond, business_days, days_between, ...) {
  # z_rate = curve$value
  curve = crf.options$get("IRBRL_CURVE")
  z_rate = curve[business_days]
  comp1 = (1 + z_rate)^(business_days/252)
  comp2 = lag(comp1)
  du1 = business_days
  du2 = lag(du1)
  f_rate = (comp1/comp2)^(252/(du1 - du2)) - 1
  c_rate = c(z_rate[1], tail(f_rate, -1))
  du_ = c(business_days[1], tail(days_between, -1))

  fc1 = (1 + c_rate)^(du_/252)
  fc2 = (1 + bond$coupon_rate)^(du_/252)
  c_rate = (fc1 * fc2)^(252/du_) - 1

  data.frame(CouponDays = du_, CouponRate = c_rate)
}

`equivalent_coupon_rate.PRE` = function(x, bond, business_days, days_between, ...) {
  du_ = c(business_days[1], tail(days_between, -1))
  data.frame(CouponDays = du_, CouponRate = bond$coupon_rate)
}

`equivalent_coupon_rate.IPCA-N15` = function(x, bond, business_days, days_between, ...) {
  du_ = c(business_days[1], tail(days_between, -1))
  data.frame(CouponDays = du_, CouponRate = bond$coupon_rate)
}

`equivalent_coupon_rate.IPCA-I` = function(x, bond, business_days, days_between, ...) {
  du_ = c(business_days[1], tail(days_between, -1))
  data.frame(CouponDays = du_, CouponRate = bond$coupon_rate)
}

`equivalent_coupon_rate.IPCA` = function(x, bond, business_days, days_between, ...) {
  du_ = c(business_days[1], tail(days_between, -1))
  data.frame(CouponDays = du_, CouponRate = bond$coupon_rate)
}


extract_curve = function(calc_details) {
  curv_df = calc_details$cashFlowList %>% filter(eventType == "J") %>% select(workingDays, yield)
  curve_d = curv_df[!duplicated(curv_df),] %>%
    rename(terms = workingDays, value = yield) %>%
    mutate(value = value/100) %>%
    filter(value > 1e-100)
  curve_d
}


# first vna ----

#' @export
first_vna = function(x, ...) UseMethod("first_vna")

#' @export
first_vna.bond = function(x, ...) get(.Generic)(x$type, x, ...)

#' @export
`first_vna.DI-SPREAD` = function(x, bond, ...) vna(bond)

#' @export
`first_vna.DI-PERC` = function(x, bond, ...) vna(bond)

#' @export
`first_vna.PRE` = function(x, bond, ...) vna(bond)

#' @export
`first_vna.IPCA` = function(x, bond, ...) {
  refdate = crf.options$get("REFDATE")
  last_event = last_coupon_date(bond)
  vnr(bond) * (1 + bond$coupon_rate)^(bizdays(last_event, refdate, bond$calendar)/252)
}

#' @export
`first_vna.IPCA-N15` = function(x, bond, ...) {
  refdate = crf.options$get("REFDATE")
  last_event = last_coupon_date(bond)
  vnr(bond) * (1 + bond$coupon_rate)^(bizdays(last_event, refdate, bond$calendar)/252)
}

#' @export
`first_vna.IPCA-I` = function(x, bond, ...) {
  refdate = crf.options$get("REFDATE")
  last_event = last_coupon_date(bond)
  vnr(bond) * (1 + bond$coupon_rate)^(bizdays(last_event, refdate, bond$calendar)/252)
}


#' @export
load_historical_data = function(fname) {
  # locale = Sys.getlocale("LC_ALL")
  # Sys.setlocale("LC_ALL", "C")
  calc_data = read_csv(fname)
  .data = calc_data %>%
    mutate(DATEINDEX = dmy(DATEINDEX)) %>%
    arrange(desc(DATEINDEX)) %>%
    rename(Date = DATEINDEX, Type = TYPE, Value = VALUE)
  # Sys.setlocale("LC_ALL", locale)
  .data
}

#' @export
historical_index = function(.data, index_name) {
  hdata = .data %>% filter(Type == index_name) %>% select(Date, Value)
  that = list(data = hdata)
  structure(that, class = "historical_index")
}

#' @export
`[.historical_index` = function(x, ix) {
  ix = as.Date(ix)
  N1 = x$data %>% filter(Date <= ix) %>% pull(Value)
  N1[1]
}

# index ----

#' @export
index = function(x) UseMethod("index")

#' @export
`index.DI-SPREAD` = function(x) "HISTORICAL_CDI"

#' @export
`index.DI-PERC` = function(x) "HISTORICAL_CDI"

#' @export
`index.PRE` = function(x) NULL



#' @export
irc = function(curv) {
  that = list()
  that$fc_interp = flat_forward(curv$terms, curv$value)
  that$data = curv
  structure(that, class = "irc")
}

#' @export
`[.irc` = function(x, ix) {
  x$fc_interp(ix)
}

#' @export
`[[.irc` = function(x, ix) {
  x$fc_interp(ix)
}


# issue spread ----

#' @export
issue_spread = function(x, ...) UseMethod("issue_spread")

#' @export
issue_spread.bond = function(x, ...) get(.Generic)(x$type, x, ...)

#' @export
`issue_spread.DI-PERC` = function(x, bond, ...) bond$perc

#' @export
`issue_spread.DI-SPREAD` = function(x, bond, ...) bond$coupon_rate

#' @export
`issue_spread.PRE` = function(x, bond, ...) bond$coupon_rate

#' @export
`issue_spread.IPCA-N15` = function(x, bond, ...) bond$coupon_rate

#' @export
`issue_spread.IPCA-I` = function(x, bond, ...) bond$coupon_rate

#' @export
`issue_spread.IPCA` = function(x, bond, ...) bond$coupon_rate


#' @export
last_coupon_date = function(x, ...) UseMethod("last_coupon_date")

#' @export
last_coupon_date.bond = function(x, ...) {
  refdate = crf.options$get("REFDATE")
  dts = x$cashflow %>% filter(Dates <= refdate) %>% pull(Dates)
  if (length(dts) == 0) x$start_date else last(dts)
}


#' @export
market_cashflow = function(x, ...) UseMethod("market_cashflow")

#' @export
market_cashflow.bond = function(x, ...) {
  refdate = crf.options$get("REFDATE")
  mcf = x$cashflow %>%
    filter(Dates > refdate) %>%
    mutate(
      BusinessDays = bizdays(refdate, Fixings, x$calendar)
    )
  df = equivalent_coupon_rate(x, mcf$BusinessDays, mcf$DaysBetween)
  mcf$Coupon_p = df$CouponRate
  mcf$CouponDays = df$CouponDays
  # payments
  mcf = mcf %>% mutate(
    VNR = notional(x)*VNR_p,
    Amortizations = notional(x)*Amortization_p
  )
  f_vna = first_vna(x)
  mcf %>%
    mutate(N_ = lag(VNR, default = as.numeric(f_vna)),
           NN_ = lag(VNR, default = as.numeric(vnr(x)))) %>%
    mutate(
      Coupons = N_*(1 + Coupon_p)^(CouponDays/252) - NN_,
      Payments = Coupons + Amortizations) %>%
    select(-N_, -NN_)
}


# notional ----

#' @export
notional = function(x, ...) UseMethod("notional")

#' @export
notional.bond = function(x, ...) get(.Generic)(x$type, x, ...)

#' @export
`notional.DI-SPREAD` = function(x, bond, ...) bond$..notional

#' @export
`notional.DI-PERC` = function(x, bond, ...) bond$..notional

#' @export
`notional.PRE` = function(x, bond, ...) bond$..notional

#' @export
`notional.IPCA` = function(x, bond, ...) {
  refdate = crf.options$get("REFDATE")
  index_ = crf.options$get("HISTORICAL_INDEX_IPCA")
  rate_ = crf.options$get("HISTORICAL_RATES_IPCA")

  N1 = index_[bond$zero_anniversary]
  N2 = index_[bond$first_anniversary]
  dt1 = bizdays(bond$start_date, bond$first_anniversary, bond$calendar)
  dn1 = bizdays(bond$zero_anniversary, bond$first_anniversary, bond$calendar)
  N3 = index_[refdate]
  proj = rate_[refdate]
  dt2 = bizdays(last_anniversary(bond), refdate, bond$calendar)
  dn2 = bizdays(last_anniversary(bond), next_anniversary(bond), bond$calendar)

  if (dn2 == 0)
    bond$..notional * (N2/N1)^(dt1/dn1) * (N3/N2)
  else
    bond$..notional * (N2/N1)^(dt1/dn1) * (N3/N2) * (1 + proj/100)^(dt2/dn2)
}

#' @export
`notional.IPCA-N15` = function(x, bond, ...) {
  refdate = crf.options$get("REFDATE")
  index_ = crf.options$get("HISTORICAL_INDEX_IPCA")
  rate_ = crf.options$get("HISTORICAL_RATES_IPCA")

  N1 = index_[bond$zero_anniversary]
  N2 = index_[bond$first_anniversary]
  dt1 = bizdays(bond$start_date, bond$first_anniversary, bond$calendar)
  dn1 = bizdays(bond$zero_anniversary, bond$first_anniversary, bond$calendar)
  N3 = index_[refdate]
  proj = rate_[refdate]
  dt2 = bizdays(last_anniversary(bond), refdate, bond$calendar)
  dn2 = bizdays(last_anniversary(bond), next_anniversary(bond), bond$calendar)

  bond$..notional * (N2/N1)^(dt1/dn1) * (N3/N2) * (1 + proj/100)^(dt2/dn2)
}

#' @export
`notional.IPCA-I` = function(x, bond, ...) {
  refdate = crf.options$get("REFDATE")
  index_ = crf.options$get("HISTORICAL_INDEX_IPCA")
  rate_ = crf.options$get("HISTORICAL_RATES_IPCA")

  N1 = index_[bond$zero_anniversary]
  N2 = index_[bond$first_anniversary]
  dt1 = bizdays(bond$start_date, bond$first_anniversary, bond$calendar)
  dn1 = bizdays(bond$zero_anniversary, bond$first_anniversary, bond$calendar)
  N3 = index_[refdate]
  proj = rate_[refdate]
  dt2 = bizdays(last_anniversary(bond), refdate, bond$calendar)
  dn2 = bizdays(last_anniversary(bond), next_anniversary(bond), bond$calendar)

  bond$..notional * (N2/N1)^(dt1/dn1) * (N3/N2) * (1 + proj/100)^(dt2/dn2)
}


# perc ----

#' @export
perc = function(x, ...) UseMethod("perc")

#' @export
`perc.DI-SPREAD` = function(x, value, ...) 1

#' @export
`perc.DI-PERC` = function(x, value, ...) value

#' @export
`perc.IPCA` = function(x, value, ...) 1

#' @export
`perc.IPCA-N15` = function(x, value, ...) 1

#' @export
`perc.IPCA-I` = function(x, value, ...) 1

#' @export
`perc.PRE` = function(x, value, ...) 1

#' @export
`perc.DI-SSU` = function(x, value, ...) 1


# reference vna ----

#' @export
reference_vna = function(x, ...) UseMethod("reference_vna")

#' @export
`reference_vna.DI-SPREAD` = function(x, calc_details, ...) calc_details$PUPar

#' @export
`reference_vna.DI-PERC` = function(x, calc_details, ...) calc_details$PUPar

#' @export
`reference_vna.PRE` = function(x, calc_details, ...) calc_details$PUPar

#' @export
`reference_vna.IPCA` = function(x, calc_details, ...) calc_details$VNA

#' @export
`reference_vna.IPCA-N15` = function(x, calc_details, ...) calc_details$VNA

#' @export
`reference_vna.IPCA-I` = function(x, calc_details, ...) calc_details$VNA

# risk_spread ----

#' @export
risk_spread = function(x, ...) UseMethod("risk_spread")

#' @export
risk_spread.bond = function(x, ...) get(.Generic)(x$type, x, ...)

#' @export
`risk_spread.DI-SPREAD` = function(x, bond, ...) bond$coupon_rate

#' @export
`risk_spread.DI-PERC` = function(x, bond, ...) bond$perc

#' @export
`risk_spread.IPCA` = function(x, bond, ...) bond$coupon_rate

#' @export
`risk_spread.IPCA-N15` = function(x, bond, ...) bond$coupon_rate

#' @export
`risk_spread.PRE` = function(x, bond, ...) bond$coupon_rate

#' @export
`risk_spread.IPCA-I` = function(x, bond, ...) bond$coupon_rate

#' @export
`risk_spread.DI-SSU` = function(x, bond, ...) bond$coupon_rate


# theoretical value ----

#' @export
theoretical_price = function(x, ...) UseMethod("theoretical_price")

#' @export
theoretical_price.bond = function(x, spread, ...) get(.Generic)(x$type, x, spread, ...)

#' @export
`theoretical_price.DI-PERC` = function(x, bond, spread, ...) {
  curve = crf.options$get("IRBRL_CURVE")
  mcf = market_cashflow(bond)
  .terms = mcf$BusinessDays
  z_rate = curve[.terms]
  discount = 1 / (( ((1 + z_rate)^(1/252) - 1)*spread + 1 )^.terms)
  sum(mcf$Payments*discount)
}

#' @export
`theoretical_price.DI-SPREAD` = function(x, bond, spread, ...) {
  curve = crf.options$get("IRBRL_CURVE")
  mcf = market_cashflow(bond)
  .terms = mcf$BusinessDays
  z_rate = curve[.terms]
  discount = 1 / ( (1+z_rate)^(.terms/252)*(1+spread)^(.terms/252) )
  sum(mcf$Payments*discount)
}

#' @export
`theoretical_price.PRE` = function(x, bond, spread, ...) {
  mcf = market_cashflow(bond)
  .terms = mcf$BusinessDays
  discount = 1 / ( (1+spread)^(.terms/252) )
  sum(mcf$Payments*discount)
}

#' @export
`theoretical_price.IPCA-N15` = function(x, bond, spread, ...) {
  mcf = market_cashflow(bond)
  .terms = mcf$BusinessDays
  compound = (1+spread)^(.terms/252)
  sum(mcf$Payments/compound)
}

#' @export
`theoretical_price.IPCA-I` = function(x, bond, spread, ...) {
  mcf = market_cashflow(bond)
  .terms = mcf$BusinessDays
  compound = (1+spread)^(.terms/252)
  sum(mcf$Payments/compound)
}

#' @export
`theoretical_price.IPCA` = function(x, bond, spread, ...) {
  mcf = market_cashflow(bond)
  .terms = mcf$BusinessDays
  compound = (1+spread)^(.terms/252)
  sum(mcf$Payments/compound)
}

theoretical_price_2 = function(bond, curve, spread, premium = 1, ...) {
  compound = (1+curve$value)^(curve$terms/252) * (1+spread$value*premium)^(curve$terms/252)
  mcf = market_cashflow(bond, curve)
  sum(mcf$Payments/compound)
}

theoretical_price_3 = function(bond, curve, spread, ...) {
  compound = (1+curve$value)^(curve$terms/252) * (1+spread)^(curve$terms/252)
  mcf = market_cashflow(bond, curve)
  sum(mcf$Payments/compound)
}

theoretical_price_4 = function(x, bond, curve, spread, ...) {
  compound = (1+curve$value)^(curve$terms/252) * (1+spread$value)^(curve$terms/252)
  mcf = market_cashflow(bond, curve)
  sum(mcf$Payments/compound)
}


# type ----

#' @export
type = function(x, ...) {
  structure(x, class = x)
}


# vna ----

#' @export
vna = function(x, ...) UseMethod("vna")

#' @export
vna.bond = function(x, ...) get(.Generic)(x$type, x, ...)

#' @export
`vna.DI-SPREAD` = function(x, bond, ...) {
  refdate = crf.options$get("REFDATE")
  date_range = paste0(
    format(last_coupon_date(bond), "%Y-%m-%d"), "/",
    format(offset(refdate, -1, "Brazil/ANBIMA"), "%Y-%m-%d")
  )
  cdi_series = crf.options$get(index(x))
  cdi = as.numeric( cdi_series[date_range] )/100
  c_cdi = prod( (1 + cdi)^(1/252) * (1 + bond$coupon_rate)^(1/252) )
  vnr(bond) * c_cdi
}

#' @export
`vna.DI-PERC` = function(x, bond, ...) {
  refdate = crf.options$get("REFDATE")
  date_range = paste0(
    format(last_coupon_date(bond), "%Y-%m-%d"), "/",
    format(offset(refdate, -1, "Brazil/ANBIMA"), "%Y-%m-%d")
  )
  cdi_series = crf.options$get(index(x))
  cdi = as.numeric( cdi_series[date_range] )/100
  c_cdi = prod( (((1 + cdi)^(1/252) - 1)*bond$perc + 1) )
  vnr(bond) * c_cdi
}

#' @export
`vna.PRE` = function(x, bond, ...) {
  refdate = crf.options$get("REFDATE")
  du = bizdays(last_coupon_date(bond), refdate, bond$calendar)
  c_cdi = (1 + bond$coupon_rate)^(du/252)
  vnr(bond) * c_cdi
}

#' @export
`vna.IPCA-N15` = function(x, bond, ...) {
  vnr(bond)
}

#' @export
`vna.IPCA` = function(x, bond, ...) {
  vnr(bond)
}

#' @export
`vna.IPCA-I` = function(x, bond, ...) {
  vnr(bond)
}


# vnr ----

#' @export
vnr = function(x, ...) UseMethod("vnr")

#' @export
vnr.bond = function(x, ...) {
  refdate = crf.options$get("REFDATE")
  vnr_p = x$cashflow %>% filter(Dates <= refdate) %>% pull(VNR_p)
  last_vnr_p = if (length(vnr_p) == 0) 1 else last(vnr_p)
  notional(x) * last_vnr_p
}