Java ZonedDateTime.toLocalDate方法代码示例

import org.threeten.bp.ZonedDateTime; //导入方法依赖的package包/类
/** Build a volatility surface based on Expiry, T, and Strike, K. T is in measured in our standard OG-Analytic years */
private static VolatilitySurfaceData<Double, Double> getSurfaceFromVolatilityQuote(final VolatilitySurfaceData<Object, Object> optionVolatilities, final ZonedDateTime now,
    final Calendar calendar) {
  final Map<Pair<Double, Double>, Double> volatilityValues = new HashMap<>();
  final DoubleArrayList tList = new DoubleArrayList();
  final DoubleArrayList kList = new DoubleArrayList();
  final LocalDate today = now.toLocalDate();
  final Object[] xs = optionVolatilities.getXs();
  for (final Object xObj : optionVolatilities.getXs()) {
    final Number x = (Number) xObj;
    final Double t = FutureOptionUtils.getIRFutureOptionTtm(x.intValue(), today, calendar);
    final Object[] ys = optionVolatilities.getYs();
    for (final Object yObj : ys) {
      final Double y = (Double) yObj;
      final Double volatility = optionVolatilities.getVolatility(x, y);
      if (volatility != null) {
        tList.add(t);
        kList.add(y / 100.);
        volatilityValues.put(Pairs.of(t, y / 100.), volatility / 100); // TODO Normalisation, could this be done elsewhere?
      }
    }
  }
  return new VolatilitySurfaceData<>(optionVolatilities.getDefinitionName(), optionVolatilities.getSpecificationName(), optionVolatilities.getTarget(), tList.toArray(new Double[0]),
      kList.toArray(new Double[0]), volatilityValues);
}
 

import org.threeten.bp.ZonedDateTime; //导入方法依赖的package包/类
/**
 * @param buid 
 * @param tickMsgList 
 * @return
 */
private File buildSecurityDirectory(String buid, long receivedTS) {
  Instant instant = Instant.ofEpochMilli(receivedTS);
  ZonedDateTime dateTime = ZonedDateTime.ofInstant(instant, ZoneOffset.UTC);
  LocalDate today = dateTime.toLocalDate();
  StringBuilder buf = new StringBuilder();
  buf.append(_rootDir).append(File.separator);
  buf.append(buid).append(File.separator).append(today.getYear()).append(File.separator);
  int month = today.getMonthValue();
  if (month < 10) {
    buf.append("0").append(month);
  } else {
    buf.append(month);
  }
  buf.append(File.separator);
  int dayOfMonth = today.getDayOfMonth();
  if (dayOfMonth < 10) {
    buf.append("0").append(dayOfMonth);
  } else {
    buf.append(dayOfMonth);
  }
  buf.append(File.separator);
  return new File(buf.toString());
}
 

import org.threeten.bp.ZonedDateTime; //导入方法依赖的package包/类
@Override
public Annuity<? extends Coupon> toDerivative(final ZonedDateTime valZdt, final DoubleTimeSeries<ZonedDateTime> indexFixingTS) {
  ArgumentChecker.notNull(valZdt, "date");
  ArgumentChecker.notNull(indexFixingTS, "index fixing time series");
  final List<Coupon> resultList = new ArrayList<>();
  final CouponONSpreadDefinition[] payments = getPayments();
  final ZonedDateTime valZdtInPaymentZone = valZdt.withZoneSameInstant(payments[0].getPaymentDate().getZone());
  final LocalDate valDate = valZdtInPaymentZone.toLocalDate();

  for (int loopcoupon = 0; loopcoupon < payments.length; loopcoupon++) {
    if (!valDate.isAfter(payments[loopcoupon].getPaymentDate().toLocalDate())) {
      resultList.add(payments[loopcoupon].toDerivative(valZdt, indexFixingTS));
    }
  }
  return new Annuity<>(resultList.toArray(new Coupon[resultList.size()]));
}
 

import org.threeten.bp.ZonedDateTime; //导入方法依赖的package包/类
@Override
public CouponIborAverageFixingDates toDerivative(final ZonedDateTime date) {
  ArgumentChecker.notNull(date, "date");
  final int nDates = _weight.length;
  final LocalDate dayConversion = date.toLocalDate();
  ArgumentChecker.isTrue(!dayConversion.isAfter(getPaymentDate().toLocalDate()), "date is after payment date");
  ArgumentChecker.isTrue(!dayConversion.isAfter(getFixingDate()[0].toLocalDate()), "Do not have any fixing data but are asking for a derivative at " + date
      + " which is after fixing date " + getFixingDate()[0]);
  // Fixing dates are in increasing order; only the first one need to be checked.
  final double paymentTime = TimeCalculator.getTimeBetween(date, getPaymentDate());
  final double[] fixingTime = new double[nDates];
  final double[] fixingPeriodStartTime = new double[nDates];
  final double[] fixingPeriodEndTime = new double[nDates];
  for (int i = 0; i < nDates; ++i) {
    fixingTime[i] = TimeCalculator.getTimeBetween(date, getFixingDate()[i]);
    fixingPeriodStartTime[i] = TimeCalculator.getTimeBetween(date, getFixingPeriodStartDate()[i]);
    fixingPeriodEndTime[i] = TimeCalculator.getTimeBetween(date, getFixingPeriodEndDate()[i]);
  }
  return new CouponIborAverageFixingDates(getCurrency(), paymentTime, getPaymentYearFraction(), getNotional(),
      getIndex(), fixingTime, getWeight(), fixingPeriodStartTime, fixingPeriodEndTime, getFixingPeriodAccrualFactor(), 0);
}
 

import org.threeten.bp.ZonedDateTime; //导入方法依赖的package包/类
@Override
public Coupon toDerivative(final ZonedDateTime date, final DoubleTimeSeries<ZonedDateTime> priceIndexTimeSeries) {
  ArgumentChecker.notNull(date, "date");
  ArgumentChecker.notNull(priceIndexTimeSeries, "price index time series");
  ArgumentChecker.isTrue(!date.isAfter(getPaymentDate()), "date is after payment date");
  final Double fixedStartIndex = priceIndexTimeSeries.getValue(getReferenceStartDate());
  ArgumentChecker.notNull(fixedStartIndex, "first fixing not in the price index time series");
  final LocalDate dayConversion = date.toLocalDate();
  final double paymentTime = TimeCalculator.getTimeBetween(date, getPaymentDate());
  final LocalDate dayFixing = getReferenceEndDate().toLocalDate();
  if (dayConversion.isAfter(dayFixing)) {
    final Double fixedEndIndex = priceIndexTimeSeries.getValue(getReferenceEndDate());

    if (fixedEndIndex != null) {
      final Double fixedRate = (fixedEndIndex / fixedStartIndex - 1.0);
      return new CouponFixed(getCurrency(), paymentTime, getPaymentYearFraction(), getNotional(), payOff(fixedRate));
    }
  }

  final double referenceEndTime = TimeCalculator.getTimeBetween(date, _referenceEndDate);
  final double lastKnownFixingTime = TimeCalculator.getTimeBetween(date, getlastKnownFixingDate());
  final ZonedDateTime naturalPaymentDate = getPaymentDate().minusMonths(_monthLag - _conventionalMonthLag);
  final double naturalPaymentEndTime = TimeCalculator.getTimeBetween(date, naturalPaymentDate);
  return new CapFloorInflationZeroCouponMonthly(getCurrency(), paymentTime, getPaymentYearFraction(), getNotional(), getPriceIndex(), lastKnownFixingTime, fixedStartIndex, referenceEndTime,
      naturalPaymentEndTime, _maturity, _strike, _isCap);
}
 

import org.threeten.bp.ZonedDateTime; //导入方法依赖的package包/类
@Override
public Annuity<? extends Coupon> toDerivative(final ZonedDateTime valZdt, final DoubleTimeSeries<ZonedDateTime> indexFixingTS) {
  ArgumentChecker.notNull(valZdt, "date");
  ArgumentChecker.notNull(indexFixingTS, "index fixing time series");
  final List<Coupon> resultList = new ArrayList<>();
  final CouponONArithmeticAverageDefinition[] payments = getPayments();
  final ZonedDateTime valZdtInPaymentZone = valZdt.withZoneSameInstant(payments[0].getPaymentDate().getZone());
  final LocalDate valDate = valZdtInPaymentZone.toLocalDate();

  for (int loopcoupon = 0; loopcoupon < payments.length; loopcoupon++) {
    if (!valDate.isAfter(payments[loopcoupon].getPaymentDate().toLocalDate())) {
      resultList.add(payments[loopcoupon].toDerivative(valZdt, indexFixingTS));
    }
  }
  return new Annuity<>(resultList.toArray(new Coupon[resultList.size()]));
}
 

import org.threeten.bp.ZonedDateTime; //导入方法依赖的package包/类
@Override
public CouponIborFxReset toDerivative(ZonedDateTime dateTime) {
  ArgumentChecker.notNull(dateTime, "dateTime");
  LocalDate dayConversion = dateTime.toLocalDate();
  ArgumentChecker.isTrue(!dayConversion.isAfter(getIborIndexFixingDate().toLocalDate()),
      "Do not have any fixing data but are asking for a derivative at " + dateTime +
          " which is after ibor index fixing date " + getIborIndexFixingDate());
  ArgumentChecker.isTrue(!dayConversion.isAfter(getPaymentDate().toLocalDate()), "date is after payment date");
  double paymentTime = TimeCalculator.getTimeBetween(dateTime, getPaymentDate());
  double fixingTime = TimeCalculator.getTimeBetween(dateTime, getIborIndexFixingDate());
  double fixingPeriodStartTime = TimeCalculator.getTimeBetween(dateTime, getIborIndexFixingPeriodStartDate());
  double fixingPeriodEndTime = TimeCalculator.getTimeBetween(dateTime, getIborIndexFixingPeriodEndDate());
  double fxFixingTime = TimeCalculator.getTimeBetween(dateTime, _fxFixingDate);
  double fxDeliveryTime = TimeCalculator.getTimeBetween(dateTime, _fxDeliveryDate);
  return new CouponIborFxReset(getCurrency(), paymentTime, getPaymentYearFraction(), getNotional(), fixingTime,
      getIndex(), fixingPeriodStartTime, fixingPeriodEndTime, getIborIndexFixingPeriodAccrualFactor(), _spread,
      getReferenceCurrency(), fxFixingTime, fxDeliveryTime);
}
 

import org.threeten.bp.ZonedDateTime; //导入方法依赖的package包/类
@Override
public Coupon toDerivative(final ZonedDateTime date, final DoubleTimeSeries<ZonedDateTime> priceIndexTimeSeries) {
  ArgumentChecker.notNull(date, "date");
  ArgumentChecker.isTrue(!date.isAfter(getPaymentDate()), "date is after payment date");
  final LocalDate dayConversion = date.toLocalDate();
  final double paymentTime = TimeCalculator.getTimeBetween(date, getPaymentDate());
  final LocalDate dayFixing = getReferenceEndDate().toLocalDate();
  if (dayConversion.isAfter(dayFixing)) {
    final Double fixedEndIndex = priceIndexTimeSeries.getValue(getReferenceEndDate());
    if (fixedEndIndex != null) {
      final Double fixedStartIndex = priceIndexTimeSeries.getValue(getReferenceStartDate());
      final Double fixedRate = (fixedEndIndex / fixedStartIndex - (payNotional() ? 0.0 : 1.0));
      return new CouponFixed(getCurrency(), paymentTime, getPaymentYearFraction(), getNotional(), fixedRate);
    }
  }
  double referenceEndTime = 0.0;
  double referenceStartTime = 0.0;
  referenceEndTime = TimeCalculator.getTimeBetween(date, _referenceEndDate);
  referenceStartTime = TimeCalculator.getTimeBetween(date, _referenceStartDate);
  final ZonedDateTime naturalPaymentEndDate = getPaymentDate().minusMonths(_monthLag - _conventionalMonthLag);
  final double naturalPaymentEndTime = TimeCalculator.getTimeBetween(date, naturalPaymentEndDate);
  final ZonedDateTime naturalPaymentstartDate = naturalPaymentEndDate.minusMonths(12);
  final double naturalPaymentStartTime = TimeCalculator.getTimeBetween(date, naturalPaymentstartDate);
  return new CouponInflationYearOnYearMonthly(getCurrency(), paymentTime, getPaymentYearFraction(), getNotional(), getPriceIndex(), referenceStartTime, naturalPaymentStartTime,
      referenceEndTime, naturalPaymentEndTime, _payNotional);
}
 

import org.threeten.bp.ZonedDateTime; //导入方法依赖的package包/类
private double getAccrued(DayCount dayCount, Calendar calendar, ZonedDateTime valuationDate,
    AnnuityDefinition<? extends CouponDefinition> annuity, ZonedDateTimeDoubleTimeSeries indexTimeSeries) {
  LocalDate date = valuationDate.toLocalDate();
  double res = 0.0;
  CouponDefinition[] payments = annuity.getPayments();
  for (CouponDefinition payment : payments) {
    if (payment.getAccrualStartDate().toLocalDate().isBefore(date) &&
        !payment.getPaymentDate().toLocalDate().isBefore(date)) {
      double rate;
      if (payment instanceof CouponIborDefinition) {
        CouponIborDefinition casted = (CouponIborDefinition) payment;
        Coupon coupon = casted.toDerivative(valuationDate, indexTimeSeries);
        ArgumentChecker.isTrue(coupon instanceof CouponFixed,
            "index should be fixed before accrual starts for standard vanilla swap");
        CouponFixed couponFixed = (CouponFixed) coupon;
        rate = couponFixed.getFixedRate();
      } else if (payment instanceof CouponFixedDefinition) {
        rate = 1.0;
      } else {
        throw new IllegalArgumentException("This annuity type is not supported");
      }
      res += getAccrued(dayCount, calendar, valuationDate, payment) * rate;
    }
  }
  return res;
}
 

import org.threeten.bp.ZonedDateTime; //导入方法依赖的package包/类
/**
 * Calculates the number of days in between two dates with the date count
 * rule specified by the {@code TemporalAdjuster}.
 * 
 * @param startDate the start date-time, not null
 * @param includeStart whether to include the start
 * @param endDate the end date-time, not null
 * @param includeEnd whether to include the end
 * @param convention the date adjuster, not null
 * @return the number of days between two dates
 */
public static int getDaysBetween(final ZonedDateTime startDate, final boolean includeStart, final ZonedDateTime endDate, final boolean includeEnd, final TemporalAdjuster convention) {
  LocalDate date = startDate.toLocalDate();
  LocalDate localEndDate = endDate.toLocalDate();
  int mult = 1;
  if (startDate.isAfter(endDate)) {
    date = endDate.toLocalDate();
    localEndDate = startDate.toLocalDate();
    mult = -1;
  }
  int result = includeStart ? 1 : 0;
  while (!date.with(convention).equals(localEndDate)) {
    date = date.with(convention);
    result++;
  }
  return mult * (includeEnd ? result : result - 1);
}
 

import org.threeten.bp.ZonedDateTime; //导入方法依赖的package包/类
@Override
public Coupon toDerivative(final ZonedDateTime date, final DoubleTimeSeries<ZonedDateTime> priceIndexTimeSeries) {
  ArgumentChecker.notNull(date, "date");
  ArgumentChecker.isTrue(!date.isAfter(getPaymentDate()), "date is after payment date");
  final LocalDate dayConversion = date.toLocalDate();
  final double paymentTime = TimeCalculator.getTimeBetween(date, getPaymentDate());
  final LocalDate dayFixing = getReferenceEndDate()[1].toLocalDate();
  if (dayConversion.isAfter(dayFixing)) {
    final Double fixedEndIndex0 = priceIndexTimeSeries.getValue(getReferenceEndDate()[0]);
    final Double fixedEndIndex1 = priceIndexTimeSeries.getValue(getReferenceEndDate()[1]);
    final Double fixedEndIndex = getWeightEnd() * fixedEndIndex0 + (1 - getWeightEnd()) * fixedEndIndex1;
    final Double fixedStartIndex0 = priceIndexTimeSeries.getValue(getReferenceStartDate()[0]);
    final Double fixedStartIndex1 = priceIndexTimeSeries.getValue(getReferenceStartDate()[1]);
    final Double fixedStartIndex = getWeightStart() * fixedStartIndex0 + (1 - getWeightStart()) * fixedStartIndex1;
    final Double fixedRate = (fixedEndIndex / fixedStartIndex - (payNotional() ? 0.0 : 1.0)) + _factor;
    return new CouponFixed(getCurrency(), paymentTime, getPaymentYearFraction(), getNotional(), fixedRate);
  }
  final double[] referenceEndTime = new double[2];
  final double[] referenceStartTime = new double[2];
  referenceEndTime[0] = TimeCalculator.getTimeBetween(date, getReferenceEndDate()[0]);
  referenceEndTime[1] = TimeCalculator.getTimeBetween(date, getReferenceEndDate()[1]);
  referenceStartTime[0] = TimeCalculator.getTimeBetween(date, getReferenceStartDate()[0]);
  referenceStartTime[1] = TimeCalculator.getTimeBetween(date, getReferenceStartDate()[1]);
  final ZonedDateTime naturalPaymentEndDate = getPaymentDate().minusMonths(_monthLag - _conventionalMonthLag);
  final double naturalPaymentEndTime = TimeCalculator.getTimeBetween(date, naturalPaymentEndDate);
  final ZonedDateTime naturalPaymentstartDate = naturalPaymentEndDate.minusMonths(12);
  final double naturalPaymentStartTime = TimeCalculator.getTimeBetween(date, naturalPaymentstartDate);
  return new CouponInflationYearOnYearInterpolationWithMargin(_factor, getCurrency(), paymentTime, getPaymentYearFraction(), getNotional(), getPriceIndex(), referenceStartTime,
      naturalPaymentStartTime,
      referenceEndTime, naturalPaymentEndTime, _payNotional, _weightStart, _weightEnd);
}
 

import org.threeten.bp.ZonedDateTime; //导入方法依赖的package包/类
@Override
public Coupon toDerivative(final ZonedDateTime dateTime) {
  ArgumentChecker.notNull(dateTime, "date");
  final LocalDate dayConversion = dateTime.toLocalDate();
  ArgumentChecker.isTrue(!dayConversion.isAfter(getFixingDate().toLocalDate()), "Do not have any fixing data but are asking for a derivative at " + dateTime + " which is after fixing date "
      + getFixingDate());
  ArgumentChecker.isTrue(!dayConversion.isAfter(getPaymentDate().toLocalDate()), "date is after payment date");
  final double paymentTime = TimeCalculator.getTimeBetween(dateTime, getPaymentDate());
  final double fixingTime = TimeCalculator.getTimeBetween(dateTime, getFixingDate());
  final double fixingPeriodStartTime = TimeCalculator.getTimeBetween(dateTime, getFixingPeriodStartDate());
  final double fixingPeriodEndTime = TimeCalculator.getTimeBetween(dateTime, getFixingPeriodEndDate());
  return new CouponIbor(getCurrency(), paymentTime, getPaymentYearFraction(), getNotional(), fixingTime, getIndex(), fixingPeriodStartTime, fixingPeriodEndTime,
      getFixingPeriodAccrualFactor());
}
 

import org.threeten.bp.ZonedDateTime; //导入方法依赖的package包/类
@Override
public InstrumentDefinition<?> visitEquityOptionSecurity(final EquityOptionSecurity security) {
  ArgumentChecker.notNull(security, "security");
  final boolean isCall = security.getOptionType() == OptionType.CALL;
  final double strike = security.getStrike();
  final ZonedDateTime expiryDT = security.getExpiry().getExpiry();
  final Currency ccy = security.getCurrency();
  final double unitNotional = security.getPointValue();
  final ExerciseDecisionType exerciseType = security.getExerciseType().accept(ExerciseTypeAnalyticsVisitorAdapter.getInstance());
  // TODO We need to know how long after expiry settlement occurs?
  // IndexOptions are obviously Cash Settled
  final LocalDate settlementDate = expiryDT.toLocalDate(); // FIXME Needs to come from convention
  //TODO settlement type needs to come from trade or convention
  return new EquityOptionDefinition(isCall, strike, ccy, exerciseType, expiryDT, settlementDate, unitNotional, SettlementType.PHYSICAL);
}
 

import org.threeten.bp.ZonedDateTime; //导入方法依赖的package包/类
@Override
public CouponFixedFxReset toDerivative(ZonedDateTime dateTime) {
  ArgumentChecker.notNull(dateTime, "date");
  LocalDate conversionDate = dateTime.toLocalDate();
  LocalDate fixingDate = _fxFixingDate.toLocalDate();
  ArgumentChecker.isTrue(!conversionDate.isAfter(fixingDate), 
      "Do not have any fixing data but are asking for a derivative at {} which is after fixing date {}", 
      conversionDate, fixingDate);
  double paymentTime = TimeCalculator.getTimeBetween(dateTime, getPaymentDate());
  double fixingTime = TimeCalculator.getTimeBetween(dateTime, _fxFixingDate);
  double deliveryTime = TimeCalculator.getTimeBetween(dateTime, _fxDeliveryDate);
  return new CouponFixedFxReset(getCurrency(), paymentTime, getPaymentYearFraction(), getNotional(), _rate, 
      _referenceCurrency, fixingTime, deliveryTime);
}
 

import org.threeten.bp.ZonedDateTime; //导入方法依赖的package包/类
@Override
public SwaptionPhysicalFixedCompoundedONCompounded toDerivative(final ZonedDateTime dateTime) {
  ArgumentChecker.notNull(dateTime, "date");
  final LocalDate dayConversion = dateTime.toLocalDate();
  ArgumentChecker.isTrue(!dayConversion.isAfter(getExpiry().getExpiry().toLocalDate()), "date is after expiry date");
  final double expiryTime = TimeCalculator.getTimeBetween(dateTime, _expiry.getExpiry());
  final double settlementTime = TimeCalculator.getTimeBetween(dateTime, _settlementDate);
  final Swap<CouponFixedAccruedCompounding, CouponONCompounded> underlyingSwap = (Swap<CouponFixedAccruedCompounding, CouponONCompounded>)
      _underlyingSwap.toDerivative(dateTime);
  return SwaptionPhysicalFixedCompoundedONCompounded.from(expiryTime, underlyingSwap, settlementTime, _isCall, _isLong);
}