Package org.threeten.bp

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

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    final CDSAnalyticFactory analyticFactory = new CDSAnalyticFactory(cds.getRecoveryRate(), cds.getCouponFrequency().getPeriod())
        .with(cds.getBusinessDayAdjustmentConvention())
        .with(calendar).with(cds.getStubType())
        .withAccualDCC(cds.getDayCountFractionConvention());

    final CDSAnalytic pricingCDS = analyticFactory.makeCDS(valuationTime.toLocalDate(), cds.getEffectiveDate().toLocalDate(), cds.getMaturityDate().toLocalDate());
    double spread = 0;
    final ZonedDateTime[] times = new ZonedDateTime[n];
    final CDSAnalytic[] creditAnalytics = new CDSAnalytic[n];
    final double[] marketSpreads = new double[n];
    for (int i = 0; i < n; i++) {
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    final ZonedDateTime[] times = new ZonedDateTime[n];
    final CDSAnalytic[] creditAnalytics = new CDSAnalytic[n];
    final double[] marketSpreads = new double[n];
    for (int i = 0; i < n; i++) {
      ZonedDateTime nextIMM = IMMDateGenerator.getNextIMMDate(valuationTime, tenors[i]).withHour(0).withMinute(0).withSecond(0).withNano(0);
      creditAnalytics[i] = analyticFactory.makeCDS(valuationTime.toLocalDate(), cds.getEffectiveDate().toLocalDate(), nextIMM.toLocalDate());
      marketSpreads[i] = marketSpreadObjects[i] * 1e-4;
      if (!nextIMM.isAfter(cds.getMaturityDate().withHour(0).withMinute(0).withSecond(0).withNano(0))) {
        spread = marketSpreads[i];
      }
    }
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    // Build the analytic's version of the security - the derivative
    final ZonedDateTime valuationTime = ZonedDateTime.now(executionContext.getValuationClock());
    final InstrumentDefinitionWithData<?, Double> tradeDefinition = _tradeConverter.convert(trade);
    double referencePrice = lastMarginPrice; // TODO: Decide if this logic should be here or in toDerivative.
    if (trade.getTradeDate() != null) {
      if (trade.getTradeDate().isEqual(valuationTime.toLocalDate())) { // Transaction is on pricing date.if (trade.getPremium() != null) {
        if (trade.getPremium() != null) {
          referencePrice = trade.getPremium(); // TODO: The trade price is stored in the trade premium. This has to be corrected.
        }
      }
    }
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        }
        final Set<ValueRequirement> requirements = new HashSet<ValueRequirement>();
        final ForwardSwapCurveInstrumentProvider provider = (ForwardSwapCurveInstrumentProvider) specification.getCurveInstrumentProvider();
        final Tenor forwardTenor = Tenor.of(Period.parse(forwardTenorName));
        for (final Tenor tenor : definition.getTenors()) {
          final ExternalId identifier = provider.getInstrument(atZDT.toLocalDate(), tenor, forwardTenor);
          requirements.add(new ValueRequirement(provider.getDataFieldName(), ComputationTargetType.PRIMITIVE, identifier));
        }
        requirements.add(new ValueRequirement(provider.getDataFieldName(), ComputationTargetType.PRIMITIVE, provider.getSpotInstrument(forwardTenor)));
        return requirements;
      }
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          throw new OpenGammaRuntimeException("Could not get value for spot; requirement was " + spotRequirement);
        }
        final Double spot = (Double) inputs.getValue(spotRequirement);
        final Map<ExternalId, Double> data = new HashMap<ExternalId, Double>();
        for (final Tenor tenor : definition.getTenors()) {
          final ExternalId identifier = provider.getInstrument(now.toLocalDate(), tenor, forwardTenor);
          final ValueRequirement requirement = new ValueRequirement(provider.getDataFieldName(), ComputationTargetType.PRIMITIVE, identifier);
          if (inputs.getValue(requirement) != null) {
            final Double spread = (Double) inputs.getValue(requirement);
            data.put(identifier, spot + spread);
          }
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    final Trade trade = target.getTrade();
    final FinancialSecurity security = (FinancialSecurity) trade.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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    //final LegacyVanillaCreditDefaultSwapDefinition curveCDS = cds.withStartDate(now);
    //security.setStartDate(now); // needed for curve instruments
    final CDSAnalytic[] bucketCDSs = new CDSAnalytic[bucketDates.length];
    for (int i = 0; i < bucketCDSs.length; i++) {
      //security.setMaturityDate(bucketDates[i]);
      final CDSAnalyticVisitor visitor = new CDSAnalyticVisitor(now.toLocalDate(), _holidaySource, _regionSource, security.getStartDate().toLocalDate(), bucketDates[i].toLocalDate(), recoveryRate);
      bucketCDSs[i] = security.accept(visitor);
    }

    final ZonedDateTime[] pillarDates = SpreadCurveFunctions.getPillarDates(now, pillarObject.getXData());
    final CDSAnalytic[] pillarCDSs = new CDSAnalytic[pillarDates.length];
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    final ZonedDateTime[] pillarDates = SpreadCurveFunctions.getPillarDates(now, pillarObject.getXData());
    final CDSAnalytic[] pillarCDSs = new CDSAnalytic[pillarDates.length];
    for (int i = 0; i < pillarCDSs.length; i++) {
      //security.setMaturityDate(bucketDates[i]);
      final CDSAnalyticVisitor visitor = new CDSAnalyticVisitor(now.toLocalDate(), _holidaySource, _regionSource, security.getStartDate().toLocalDate(), pillarDates[i].toLocalDate(), recoveryRate);
      pillarCDSs[i] = security.accept(visitor);
    }

    final ISDACompliantCreditCurve creditCurve = (ISDACompliantCreditCurve) inputs.getValue(ValueRequirementNames.HAZARD_RATE_CURVE);
    if (creditCurve == null) {
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    if (creditCurve == null) {
      throw new OpenGammaRuntimeException("Couldnt get credit curve");
    }

    //final CDSAnalytic analytic = CDSAnalyticConverter.create(cds, now.toLocalDate());
    final CDSAnalyticVisitor visitor = new CDSAnalyticVisitor(now.toLocalDate(), _holidaySource, _regionSource, recoveryRate);
    final CDSAnalytic analytic = security.accept(visitor);
    final BuySellProtection buySellProtection = security.isBuy() ? BuySellProtection.BUY : BuySellProtection.SELL;
    final Double cdsQuoteDouble = (Double) inputs.getValue(MarketDataRequirementNames.MARKET_VALUE);
    if (cdsQuoteDouble == null) {
      throw new OpenGammaRuntimeException("Couldn't get spread for " + security);
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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));
        }
        return requirements;
      }
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