Package org.threeten.bp

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

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      for (int i = 0; i < spotDays; i++) {

        requiredDate = requiredDate.plusDays(1);

        if (!cds.getCalendar().isWorkingDay(requiredDate.toLocalDate())) {
          n++;
        }
      }

      requiredDate = requiredDate.plusDays(n);
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        }
      }

      requiredDate = requiredDate.plusDays(n);

      while (!cds.getCalendar().isWorkingDay(requiredDate.toLocalDate())) {
        requiredDate = requiredDate.plusDays(1);
      }
    }

    return requiredDate;
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  public static ISDACompliantDateYieldCurve fromISDADateCurve(final ISDADateCurve yieldCurve) {

    ArgumentChecker.isTrue(yieldCurve.getOffset() == 0, "offset not zero - cannot convert");
    final ZonedDateTime bDate = yieldCurve.getBaseDate();
    ArgumentChecker.notNull(bDate, "base date");
    final LocalDate baseDate = bDate.toLocalDate();

    final ZonedDateTime[] curveDates = yieldCurve.getCurveDates();
    final Double[] temp = yieldCurve.getCurve().getYData();
    final int n = temp.length;
    final double[] r = new double[n];
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    final BlackSmileCapInflationZeroCouponProviderDiscount blackInflation = new BlackSmileCapInflationZeroCouponProviderDiscount(marketSeason.getInflationProvider(), BLACK_PARAM);
    final int tenorYear = 5;
    final double notional = 100000000;
    final ZonedDateTime settleDate = ScheduleCalculator.getAdjustedDate(PRICING_DATE, USDLIBOR3M.getSpotLag(), CALENDAR_USD);
    final ZonedDateTime paymentDate = ScheduleCalculator.getAdjustedDate(settleDate, Period.ofYears(tenorYear), BUSINESS_DAY, CALENDAR_USD, USDLIBOR3M.isEndOfMonth());
    final double weightSettle = 1.0 - (paymentDate.getDayOfMonth() - 1.0) / paymentDate.toLocalDate().lengthOfMonth();
    final double indexStart = weightSettle * 225.964 + (1 - weightSettle) * 225.722;
    final CouponInflationZeroCouponInterpolationDefinition zeroCouponUsdDefinition = CouponInflationZeroCouponInterpolationDefinition.from(settleDate, paymentDate, notional, PRICE_INDEX_US,
        MONTH_LAG, MONTH_LAG, false);
    final CapFloorInflationZeroCouponInterpolationDefinition capZeroCouponUsdDefinition = CapFloorInflationZeroCouponInterpolationDefinition.from(zeroCouponUsdDefinition,
        LAST_KNOWN_FIXING_DATE, MATURITY, STRIKE, IS_CAP);
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        final Integer settlementDays = convention.getSwapFloatingLegSettlementDays();
        if (settlementDays == null) {
          throw new OpenGammaRuntimeException("Could not get number of settlement days");
        }
        final Calendar calendar = new HolidaySourceCalendarAdapter(holidaySource, currency);
        final LocalDate localNow = now.toLocalDate();
        final Period forwardPeriod = Period.parse(forwardTenorName);
        final Tenor forwardTenor = Tenor.of(forwardPeriod);
        final LocalDate forwardStart = ScheduleCalculator.getAdjustedDate(localNow.plus(forwardPeriod), settlementDays, calendar); //TODO check adjustments
        for (final Tenor tenor : definition.getTenors()) {
          final ExternalId identifier = provider.getInstrument(localNow, tenor, forwardTenor);
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    final CurveSpecification specification = (CurveSpecification) inputs.getValue(ValueRequirementNames.CURVE_SPECIFICATION);
    final SnapshotDataBundle snapshot = (SnapshotDataBundle) inputs.getValue(ValueRequirementNames.CURVE_MARKET_DATA);
    final LocalDate spotDate = (!desiredValue.getConstraints().getValues(ISDAFunctionConstants.ISDA_CURVE_DATE).isEmpty())
        ? LocalDate.parse(desiredValue.getConstraint(ISDAFunctionConstants.ISDA_CURVE_DATE))
        : now.toLocalDate();

    DepositConvention cashConvention = null;
    VanillaIborLegConvention floatLegConvention = null;
    SwapFixedLegConvention fixLegConvention = null;
    IborIndexConvention liborConvention = null;
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      final Set<ValueRequirement> desiredValues) {
    final FinancialSecurity security = (FinancialSecurity) target.getSecurity();
    final Currency currency = FinancialSecurityUtils.getCurrency(security);
    final Clock snapshotClock = executionContext.getValuationClock();
    final ZonedDateTime now = ZonedDateTime.now(snapshotClock);
    final LocalDate localNow = now.toLocalDate();
    final ValueRequirement desiredValue = desiredValues.iterator().next();
    final String curveName = desiredValue.getConstraint(ValuePropertyNames.CURVE);
    final HistoricalTimeSeriesBundle timeSeries = HistoricalTimeSeriesFunctionUtils.getHistoricalTimeSeriesInputs(executionContext, inputs);
    final InstrumentDefinition<?> definition = security.accept(getVisitor());
    if (definition == null) {
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          return null;
        }
        final Set<ValueRequirement> requirements = new HashSet<>();
        final FXForwardCurveInstrumentProvider provider = specification.getCurveInstrumentProvider();
        for (final Tenor tenor : definition.getTenors()) {
          final ExternalId identifier = provider.getInstrument(atZDT.toLocalDate(), tenor);
          requirements.add(new ValueRequirement(provider.getDataFieldName(), ComputationTargetType.PRIMITIVE, identifier));
        }
        requirements.add(new ValueRequirement(provider.getDataFieldName(), ComputationTargetType.PRIMITIVE, provider.getSpotInstrument()));
        return requirements;
      }
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        }
        final Double spot = (Double) inputs.getValue(spotRequirement);
        final Map<ExternalId, Double> data = new HashMap<>();
        final boolean isRegular = specification.isMarketQuoteConvention();
        for (final Tenor tenor : definition.getTenors()) {
          final ExternalId identifier = provider.getInstrument(now.toLocalDate(), tenor);
          final ValueRequirement requirement = new ValueRequirement(provider.getDataFieldName(), ComputationTargetType.PRIMITIVE, identifier);
          if (inputs.getValue(requirement) != null) {
            final Double value = (Double) inputs.getValue(requirement);
            switch (specification.getQuoteType()) {
              case Points:
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    if (ts == null) {
      throw new OpenGammaRuntimeException("Could not get price time series for " + security);
    }
    final int length = ts.getTimeSeries().size();
    if (length == 0) {
      throw new OpenGammaRuntimeException("Price time series for " + security.getExternalIdBundle() + " was empty between " + startDate + " and " + now.toLocalDate());
    }
    final double lastMarginPrice = ts.getTimeSeries().getLatestValue();
    final ConstantSpreadHorizonThetaCalculator calculator = ConstantSpreadHorizonThetaCalculator.getInstance();
    final MultipleCurrencyAmount theta = calculator.getTheta(definition, now, curveNamesForSecurity, bundle, lastMarginPrice, Integer.parseInt(daysForward));
    return Collections.singleton(new ComputedValue(getResultSpec(target, curveCalculationConfigName, currency, daysForward), theta));
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