Package org.threeten.bp

Examples of org.threeten.bp.ZonedDateTime.toLocalDate()

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    final ValueRequirement desiredValue = desiredValues.iterator().next();
    final HistoricalTimeSeriesSource timeSeriesSource = OpenGammaExecutionContext.getHistoricalTimeSeriesSource(executionContext);
    final ConfigSource configSource = OpenGammaExecutionContext.getConfigSource(executionContext);
    final String idName = desiredValue.getConstraint(ValuePropertyNames.CURVE);
    final String curveName = idName;
    final CurveSpecification curveSpecification = CurveUtils.getCurveSpecification(now.toInstant(), configSource, now.toLocalDate(), curveName);
    final String dataField = desiredValue.getConstraint(HistoricalTimeSeriesFunctionUtils.DATA_FIELD_PROPERTY);
    final String resolutionKey;
    final Set<String> resolutionKeyConstraint = desiredValue.getConstraints().getValues(HistoricalTimeSeriesFunctionUtils.RESOLUTION_KEY_PROPERTY);
    if (resolutionKeyConstraint == null || resolutionKeyConstraint.size() != 1) {
      resolutionKey = "Null";
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  public Triple<Instant, Instant, VolatilityCubeSpecification> compile(
    final FunctionCompilationContext context, final Instant atInstant) {
    //TODO: avoid doing this compile twice all the time
    final ZonedDateTime atZDT = ZonedDateTime.ofInstant(atInstant, ZoneOffset.UTC);
    final LocalDate curveDate = atZDT.toLocalDate();
    final VolatilityCubeSpecification specification = buildSpecification(curveDate);

    // ENG-252 expiry logic is wrong so make it valid for the current day only
    final Instant eod = atZDT.with(LocalTime.MIDNIGHT).plusDays(1).minusNanos(1000000).toInstant();
    Instant expiry = null;
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    final DoubleArrayList k = new DoubleArrayList();
    final DoubleArrayList sigma = new DoubleArrayList();
    final LocalDate[] xDates = volatilitySurfaceData.getXs();
    final Double[] y = volatilitySurfaceData.getYs();
    for (int i = 0; i < n; i++) {
      final Double time = DateUtils.getDifferenceInYears(now.toLocalDate(), xDates[i]);
      for (int j = 0; j < m; j++) {
        final Double strike = y[j];
        final Double vol = volatilitySurfaceData.getVolatility(xDates[i], y[j]);
        if (time != null && strike != null && vol != null) {
          t.add(time);
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          }
        });*/

          ZonedDateTime start = cds.getStartDate();
          ZonedDateTime maturity = cds.getMaturityDate();
          Period period = Period.between(start.toLocalDate(), maturity.toLocalDate());
          Tenor tenor = Tenor.of(period);


          final CurveNodeIdMapper curveNodeIdMapper = configSource.getSingle(CurveNodeIdMapper.class,
                                                                             curveDefinitionID,
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      final String scheduleCalculator = desiredValue.getConstraint(ValuePropertyNames.SCHEDULE_CALCULATOR);
      final String samplingFunction = desiredValue.getConstraint(ValuePropertyNames.SAMPLING_FUNCTION);
      final FinancialSecurity security = (FinancialSecurity) position.getSecurity();
      final MultipleCurrencyAmount mca = (MultipleCurrencyAmount) inputs.getValue(ValueRequirementNames.FX_CURRENCY_EXPOSURE);
      final LocalDateDoubleTimeSeries timeSeries = (LocalDateDoubleTimeSeries) inputs.getValue(ValueRequirementNames.HISTORICAL_FX_TIME_SERIES);
      final LocalDate startDate = now.toLocalDate().minus(Period.parse(samplingPeriod));
      final Schedule schedule = ScheduleCalculatorFactory.getScheduleCalculator(scheduleCalculator);
      final TimeSeriesSamplingFunction sampling = TimeSeriesSamplingFunctionFactory.getFunction(samplingFunction);
      final Currency putCurrency = security.accept(ForexVisitors.getPutCurrencyVisitor());
      final Currency callCurrency = security.accept(ForexVisitors.getCallCurrencyVisitor());
      final CurrencyPairs currencyPairs = OpenGammaExecutionContext.getCurrencyPairsSource(executionContext).getCurrencyPairs(CurrencyPairs.DEFAULT_CURRENCY_PAIRS);
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      final Currency callCurrency = security.accept(ForexVisitors.getCallCurrencyVisitor());
      final CurrencyPairs currencyPairs = OpenGammaExecutionContext.getCurrencyPairsSource(executionContext).getCurrencyPairs(CurrencyPairs.DEFAULT_CURRENCY_PAIRS);
      final CurrencyPair currencyPair = currencyPairs.getCurrencyPair(putCurrency, callCurrency);
      final Currency currencyNonBase = currencyPair.getCounter(); // The non-base currency
      final double delta = mca.getAmount(currencyNonBase);
      DoubleTimeSeries<?> result = getPnLSeries(startDate, now.toLocalDate(), schedule, sampling, timeSeries);
      result = result.multiply(position.getQuantity().doubleValue() * delta);
      final ValueSpecification spec = new ValueSpecification(ValueRequirementNames.PNL_SERIES, target.toSpecification(), desiredValue.getConstraints());
      return Collections.singleton(new ComputedValue(spec, result));
    }

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   * OUTPUT: and converting this into a StandardVolatilitySurfaceData object, which has no empty values, expiry is in years, and the strike and vol scale is without unit (35% -> 0.35)
   */
  public Set<ComputedValue> execute(final FunctionExecutionContext executionContext, final FunctionInputs inputs, final ComputationTarget target, final Set<ValueRequirement> desiredValues) {

    final ZonedDateTime valTime = ZonedDateTime.now(executionContext.getValuationClock());
    final LocalDate valDate = valTime.toLocalDate();

    final ValueRequirement desiredValue = Iterables.getOnlyElement(desiredValues);

    final Object specificationObject = inputs.getValue(ValueRequirementNames.VOLATILITY_SURFACE_SPEC);
    if (specificationObject == null) {
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   * OUTPUT: and converting this into a StandardVolatilitySurfaceData object, which has no empty values, expiry is in years, and the strike and vol scale is without unit (35% -> 0.35)
   */
  public Set<ComputedValue> execute(final FunctionExecutionContext executionContext, final FunctionInputs inputs, final ComputationTarget target, final Set<ValueRequirement> desiredValues) {

    final ZonedDateTime valTime = ZonedDateTime.now(executionContext.getValuationClock());
    final LocalDate valDate = valTime.toLocalDate();

    final ValueRequirement desiredValue = Iterables.getOnlyElement(desiredValues);

    final Object specificationObject = inputs.getValue(ValueRequirementNames.VOLATILITY_SURFACE_SPEC);
    if (specificationObject == null) {
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            if (strike < underlyingSpot) {
              provider.init(false); // generate identifiers for call options
            } else {
              provider.init(true); // generate identifiers for put options
            }
            final ExternalId identifier = provider.getInstrument(expiry, strike, now.toLocalDate());
            final ValueRequirement requirement = new ValueRequirement(provider.getDataFieldName(), ComputationTargetType.PRIMITIVE, identifier);
            if (inputs.getValue(requirement) != null) {
              final Double volatility = (Double) inputs.getValue(requirement);
              volatilityValues.put(Pair.of((Object) expiry, (Object) strike), volatility / 100);
            }
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      final String samplingPeriod = desiredValue.getConstraint(ValuePropertyNames.SAMPLING_PERIOD);
      final String scheduleCalculator = desiredValue.getConstraint(ValuePropertyNames.SCHEDULE_CALCULATOR);
      final String samplingFunction = desiredValue.getConstraint(ValuePropertyNames.SAMPLING_FUNCTION);
      final MultipleCurrencyAmount mca = (MultipleCurrencyAmount) inputs.getValue(ValueRequirementNames.FX_CURRENCY_EXPOSURE);
      final FinancialSecurity security = (FinancialSecurity) position.getSecurity();
      final LocalDate startDate = now.toLocalDate().minus(Period.parse(samplingPeriod));
      final Schedule schedule = ScheduleCalculatorFactory.getScheduleCalculator(scheduleCalculator);
      final TimeSeriesSamplingFunction sampling = TimeSeriesSamplingFunctionFactory.getFunction(samplingFunction);
      final Currency putCurrency = security.accept(ForexVisitors.getPutCurrencyVisitor());
      final Currency callCurrency = security.accept(ForexVisitors.getCallCurrencyVisitor());
      final CurrencyPair currencyPair = _currencyPairs.getCurrencyPair(putCurrency, callCurrency);
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