Examples of org.threeten.bp.ZonedDateTime

org.threeten.bp.ZonedDateTime
A date-time with a time-zone in the ISO-8601 calendar system, such as {@code 2007-12-03T10:15:30+01:00 Europe/Paris}.
{@code ZonedDateTime} is an immutable representation of a date-time with a time-zone.This class stores all date and time fields, to a precision of nanoseconds, and a time-zone, with a zone offset used to handle ambiguous local date-times. For example, the value "2nd October 2007 at 13:45.30.123456789 +02:00 in the Europe/Paris time-zone" can be stored in a {@code ZonedDateTime}.
This class handles conversion from the local time-line of {@code LocalDateTime}to the instant time-line of {@code Instant}. The difference between the two time-lines is the offset from UTC/Greenwich, represented by a {@code ZoneOffset}.
Converting between the two time-lines involves calculating the offset using the {@link ZoneRules rules} accessed from the {@code ZoneId}. Obtaining the offset for an instant is simple, as there is exactly one valid offset for each instant. By contrast, obtaining the offset for a local date-time is not straightforward. There are three cases:
- Normal, with one valid offset. For the vast majority of the year, the normal case applies, where there is a single valid offset for the local date-time.
- Gap, with zero valid offsets. This is when clocks jump forward typically due to the spring daylight savings change from "winter" to "summer". In a gap there are local date-time values with no valid offset.
- Overlap, with two valid offsets. This is when clocks are set back typically due to the autumn daylight savings change from "summer" to "winter". In an overlap there are local date-time values with two valid offsets.
Any method that converts directly or implicitly from a local date-time to an instant by obtaining the offset has the potential to be complicated.
For Gaps, the general strategy is that if the local date-time falls in the middle of a Gap, then the resulting zoned date-time will have a local date-time shifted forwards by the length of the Gap, resulting in a date-time in the later offset, typically "summer" time.
For Overlaps, the general strategy is that if the local date-time falls in the middle of an Overlap, then the previous offset will be retained. If there is no previous offset, or the previous offset is invalid, then the earlier offset is used, typically "summer" time.. Two additional methods, {@link #withEarlierOffsetAtOverlap()} and {@link #withLaterOffsetAtOverlap()}, help manage the case of an overlap.
Specification for implementors
A {@code ZonedDateTime} holds state equivalent to three separate objects,a {@code LocalDateTime}, a {@code ZoneId} and the resolved {@code ZoneOffset}. The offset and local date-time are used to define an instant when necessary. The zone ID is used to obtain the rules for how and when the offset changes. The offset cannot be freely set, as the zone controls which offsets are valid.
This class is immutable and thread-safe.

   */
  @Deprecated
  @Override
  public BondIborSecurity toDerivative(final ZonedDateTime date, final DoubleTimeSeries<ZonedDateTime> indexFixingTS, final String... yieldCurveNames) {
    ArgumentChecker.notNull(date, "date");
    final ZonedDateTime spot = ScheduleCalculator.getAdjustedDate(date, getSettlementDays(), getCalendar());
    return toDerivative(date, indexFixingTS, spot, yieldCurveNames);
  }

View Full Code Here

  }


  @Override
  public BondIborSecurity toDerivative(final ZonedDateTime date) {
    ArgumentChecker.notNull(date, "date");
    final ZonedDateTime spot = ScheduleCalculator.getAdjustedDate(date, getSettlementDays(), getCalendar());
    return toDerivative(date, ImmutableZonedDateTimeDoubleTimeSeries.of(DateUtils.getUTCDate(1800, 1, 1), 0.0), spot);
  }

View Full Code Here

  }


  @Override
  public BondIborSecurity toDerivative(final ZonedDateTime date, final DoubleTimeSeries<ZonedDateTime> indexFixingTS) {
    ArgumentChecker.notNull(date, "date");
    final ZonedDateTime spot = ScheduleCalculator.getAdjustedDate(date, getSettlementDays(), getCalendar());
    return toDerivative(date, indexFixingTS, spot);
  }

View Full Code Here

        cds.getNotional(),
        cds.getRecoveryRate(),
        cds.getIncludeAccruedPremium(),
        cds.getProtectionStart(),
        cds.getParSpread());
    ZonedDateTime date = new IMMDates(cds.getStartDate().getYear()).getImmDateDecember();
    List<ZonedDateTime> dates = new ArrayList<>();
    dates.add(cds.getStartDate());
    while (!date.isAfter(cds.getMaturityDate())) {
      dates.add(date);
      date = date.plusMonths(cds.getCouponFrequency().getPeriod().toTotalMonths());
    }
    ZonedDateTime[] expected1 = dates.toArray(new ZonedDateTime[dates.size()]);
    ZonedDateTime[] expected2 = new ZonedDateTime[dates.size()];
    ZonedDateTime[] expected3 = new ZonedDateTime[dates.size()];
    ZonedDateTime[] expected4 = new ZonedDateTime[dates.size()];
    /*ZonedDateTime[] actual = CALCULATOR.constructISDACompliantCreditDefaultSwapPremiumLegSchedule(cds);
    assertDateArrayEquals(expected, actual);*/
    ZonedDateTime[][] calculatedSchedule = DEPRECATED_CALCULATOR.constructISDACompliantCreditDefaultSwapPremiumLegSchedule(cds);
    ZonedDateTime[] extractCalculatedSchedule1 = new ZonedDateTime[calculatedSchedule.length];
    ZonedDateTime[] extractCalculatedSchedule2 = new ZonedDateTime[calculatedSchedule.length];
    ZonedDateTime[] extractCalculatedSchedule3 = new ZonedDateTime[calculatedSchedule.length];
    ZonedDateTime[] extractCalculatedSchedule4 = new ZonedDateTime[calculatedSchedule.length];
    for (int loop = 0; loop < calculatedSchedule.length; loop++) {
      extractCalculatedSchedule1[loop] = calculatedSchedule[loop][0];
    }


    for (int loop = 1; loop < calculatedSchedule.length; loop++) {
      extractCalculatedSchedule2[loop] = calculatedSchedule[loop][1];
      extractCalculatedSchedule3[loop] = calculatedSchedule[loop][2];
      extractCalculatedSchedule4[loop] = calculatedSchedule[loop][3];
    }
    ZonedDateTime prevDate = expected1[0];
    ZonedDateTime prevDateAdj = prevDate;
    for (int loop = 1; loop < calculatedSchedule.length; loop++) {
      ZonedDateTime nextDate = expected1[loop];
      ZonedDateTime nextDateAdj = expected1[loop];
      // accStartDate
      expected2[loop] = prevDateAdj;


      // accEndDate
      expected3[loop] = nextDateAdj;


      // payDate
      expected4[loop] = nextDateAdj;


      prevDate = nextDate;
      prevDateAdj = nextDateAdj;
    }


    if (cds.getProtectionStart()) {
      expected3[expected1.length - 1] = prevDate.plusDays(1);
    }
    else
    {
      expected3[expected1.length - 1] = prevDate;
    }


    assertDateArrayEquals(expected1, extractCalculatedSchedule1);
    assertDateArrayEquals(expected2, extractCalculatedSchedule2);
    assertDateArrayEquals(expected3, extractCalculatedSchedule3);
    assertDateArrayEquals(expected4, extractCalculatedSchedule4);


    cds = CreditDefaultSwapDefinitionDataSets.getLegacyVanillaDefinitionWithStubType(StubType.FRONTSHORT);
    final BusinessDayConvention bdc = cds.getBusinessDayAdjustmentConvention();
    final Calendar holidays = cds.getCalendar();
    date = new IMMDates(cds.getStartDate().getYear()).getImmDateDecember();
    dates = new ArrayList<>();
    dates.add(cds.getStartDate());
    while (!date.isAfter(cds.getMaturityDate())) {
      dates.add(bdc.adjustDate(holidays, date));
      date = date.plusMonths(cds.getCouponFrequency().getPeriod().toTotalMonths());
    }
    expected1 = dates.toArray(new ZonedDateTime[dates.size()]);
    //CALCULATOR not tested in this file
    /* actual = CALCULATOR.constructISDACompliantCreditDefaultSwapPremiumLegSchedule(cds);
     assertDateArrayEquals(expected, actual);*/


    ZonedDateTime[][] calculatedScheduleAdjusted = DEPRECATED_CALCULATOR.constructISDACompliantCreditDefaultSwapPremiumLegSchedule(cds);
    ZonedDateTime[] extractCalculatedScheduleAdjusted1 = new ZonedDateTime[calculatedScheduleAdjusted.length];
    ZonedDateTime[] extractCalculatedScheduleAdjusted2 = new ZonedDateTime[calculatedSchedule.length];
    ZonedDateTime[] extractCalculatedScheduleAdjusted3 = new ZonedDateTime[calculatedSchedule.length];
    ZonedDateTime[] extractCalculatedScheduleAdjusted4 = new ZonedDateTime[calculatedSchedule.length];
    for (int loop = 0; loop < calculatedSchedule.length; loop++) {
      extractCalculatedScheduleAdjusted1[loop] = calculatedScheduleAdjusted[loop][0];
    }


    for (int loop = 1; loop < calculatedSchedule.length; loop++) {
      extractCalculatedScheduleAdjusted2[loop] = calculatedScheduleAdjusted[loop][1];
      extractCalculatedScheduleAdjusted3[loop] = calculatedScheduleAdjusted[loop][2];
      extractCalculatedScheduleAdjusted4[loop] = calculatedScheduleAdjusted[loop][3];
    }


    prevDate = expected1[0];
    prevDateAdj = prevDate;
    for (int loop = 1; loop < calculatedSchedule.length; loop++) {
      ZonedDateTime nextDate = expected1[loop];
      ZonedDateTime nextDateAdj = expected1[loop];
      // accStartDate
      expected2[loop] = prevDateAdj;


      // accEndDate
      expected3[loop] = nextDateAdj;

View Full Code Here

   * Test of the schedule generation, here we test the FRONTSHORT stub case when the start date is an holiday: 
   * Stub is at the start (front) of the cashflow schedule; first coupon is on the first IMM date after the effective date (short stub).
   */
  @Test
  public void testFrontShortFirstDateHoliday() {
    final ZonedDateTime startDate = new IMMDates(2008).getImmDateSeptember();
    final ZonedDateTime effectiveDate = startDate.plusDays(1);
    LegacyVanillaCreditDefaultSwapDefinition cds = CreditDefaultSwapDefinitionDataSets.getLegacyVanillaDefinitionWithStubType(StubType.FRONTSHORT);
    cds = new LegacyVanillaCreditDefaultSwapDefinition(cds.getBuySellProtection(),
        cds.getProtectionBuyer(),
        cds.getProtectionSeller(),
        cds.getReferenceEntity(),
        cds.getCurrency(),
        cds.getDebtSeniority(),
        cds.getRestructuringClause(),
        new NoHolidayCalendar(),
        startDate,
        effectiveDate,
        cds.getMaturityDate(),
        cds.getStubType(),
        cds.getCouponFrequency(),
        cds.getDayCountFractionConvention(),
        cds.getBusinessDayAdjustmentConvention(),
        cds.getIMMAdjustMaturityDate(),
        cds.getAdjustEffectiveDate(),
        cds.getAdjustMaturityDate(),
        cds.getNotional(),
        cds.getRecoveryRate(),
        cds.getIncludeAccruedPremium(),
        cds.getProtectionStart(),
        cds.getParSpread());
    ZonedDateTime date = new IMMDates(cds.getStartDate().getYear()).getImmDateDecember();
    List<ZonedDateTime> dates = new ArrayList<>();
    dates.add(cds.getStartDate());
    while (!date.isAfter(cds.getMaturityDate())) {
      dates.add(date);
      date = date.plusMonths(cds.getCouponFrequency().getPeriod().toTotalMonths());
    }
    ZonedDateTime[] expected1 = dates.toArray(new ZonedDateTime[dates.size()]);
    ZonedDateTime[] expected2 = new ZonedDateTime[dates.size()];
    ZonedDateTime[] expected3 = new ZonedDateTime[dates.size()];
    ZonedDateTime[] expected4 = new ZonedDateTime[dates.size()];


    //CALCULATOR not tested in this file
    /*ZonedDateTime[] actual = CALCULATOR.constructISDACompliantCreditDefaultSwapPremiumLegSchedule(cds);
    assertDateArrayEquals(expected, actual);*/
    ZonedDateTime[][] calculatedSchedule = DEPRECATED_CALCULATOR.constructISDACompliantCreditDefaultSwapPremiumLegSchedule(cds);
    ZonedDateTime[] extractCalculatedSchedule1 = new ZonedDateTime[calculatedSchedule.length];
    ZonedDateTime[] extractCalculatedSchedule2 = new ZonedDateTime[calculatedSchedule.length];
    ZonedDateTime[] extractCalculatedSchedule3 = new ZonedDateTime[calculatedSchedule.length];
    ZonedDateTime[] extractCalculatedSchedule4 = new ZonedDateTime[calculatedSchedule.length];
    for (int loop = 0; loop < calculatedSchedule.length; loop++) {
      extractCalculatedSchedule1[loop] = calculatedSchedule[loop][0];
    }


    for (int loop = 1; loop < calculatedSchedule.length; loop++) {
      extractCalculatedSchedule2[loop] = calculatedSchedule[loop][1];
      extractCalculatedSchedule3[loop] = calculatedSchedule[loop][2];
      extractCalculatedSchedule4[loop] = calculatedSchedule[loop][3];
    }
    ZonedDateTime prevDate = expected1[0];
    ZonedDateTime prevDateAdj = prevDate;
    for (int loop = 1; loop < calculatedSchedule.length; loop++) {
      ZonedDateTime nextDate = expected1[loop];
      ZonedDateTime nextDateAdj = expected1[loop];
      // accStartDate
      expected2[loop] = prevDateAdj;


      // accEndDate
      expected3[loop] = nextDateAdj;


      // payDate
      expected4[loop] = nextDateAdj;


      prevDate = nextDate;
      prevDateAdj = nextDateAdj;
    }


    if (cds.getProtectionStart()) {
      expected3[expected1.length - 1] = prevDate.plusDays(1);
    }
    else
    {
      expected3[expected1.length - 1] = prevDate;
    }


    assertDateArrayEquals(expected1, extractCalculatedSchedule1);
    assertDateArrayEquals(expected2, extractCalculatedSchedule2);
    assertDateArrayEquals(expected3, extractCalculatedSchedule3);
    assertDateArrayEquals(expected4, extractCalculatedSchedule4);


    cds = CreditDefaultSwapDefinitionDataSets.getLegacyVanillaDefinitionWithStubType(StubType.FRONTSHORT);
    cds = new LegacyVanillaCreditDefaultSwapDefinition(cds.getBuySellProtection(),
        cds.getProtectionBuyer(),
        cds.getProtectionSeller(),
        cds.getReferenceEntity(),
        cds.getCurrency(),
        cds.getDebtSeniority(),
        cds.getRestructuringClause(),
        cds.getCalendar(),
        startDate,
        effectiveDate,
        cds.getMaturityDate(),
        cds.getStubType(),
        cds.getCouponFrequency(),
        cds.getDayCountFractionConvention(),
        cds.getBusinessDayAdjustmentConvention(),
        cds.getIMMAdjustMaturityDate(),
        cds.getAdjustEffectiveDate(),
        cds.getAdjustMaturityDate(),
        cds.getNotional(),
        cds.getRecoveryRate(),
        cds.getIncludeAccruedPremium(),
        cds.getProtectionStart(),
        cds.getParSpread());
    final BusinessDayConvention bdc = cds.getBusinessDayAdjustmentConvention();
    final Calendar holidays = cds.getCalendar();
    date = new IMMDates(cds.getStartDate().getYear()).getImmDateDecember();
    dates = new ArrayList<>();
    dates.add(cds.getStartDate());
    while (!date.isAfter(cds.getMaturityDate())) {
      dates.add(bdc.adjustDate(holidays, date));
      date = date.plusMonths(cds.getCouponFrequency().getPeriod().toTotalMonths());
    }
    expected1 = dates.toArray(new ZonedDateTime[dates.size()]);
    expected2 = new ZonedDateTime[dates.size()];
    expected3 = new ZonedDateTime[dates.size()];
    expected4 = new ZonedDateTime[dates.size()];


    //we don't want to test CALCULATOR in this file (for the moment ???)
    /* actual = CALCULATOR.constructISDACompliantCreditDefaultSwapPremiumLegSchedule(cds);
     assertDateArrayEquals(expected, actual);*/
    ZonedDateTime[][] calculatedScheduleAdjusted = DEPRECATED_CALCULATOR.constructISDACompliantCreditDefaultSwapPremiumLegSchedule(cds);
    ZonedDateTime[] extractCalculatedScheduleAdjusted1 = new ZonedDateTime[calculatedScheduleAdjusted.length];
    ZonedDateTime[] extractCalculatedScheduleAdjusted2 = new ZonedDateTime[calculatedSchedule.length];
    ZonedDateTime[] extractCalculatedScheduleAdjusted3 = new ZonedDateTime[calculatedSchedule.length];
    ZonedDateTime[] extractCalculatedScheduleAdjusted4 = new ZonedDateTime[calculatedSchedule.length];
    for (int loop = 0; loop < calculatedSchedule.length; loop++) {
      extractCalculatedScheduleAdjusted1[loop] = calculatedScheduleAdjusted[loop][0];
    }


    for (int loop = 1; loop < calculatedSchedule.length; loop++) {
      extractCalculatedScheduleAdjusted2[loop] = calculatedScheduleAdjusted[loop][1];
      extractCalculatedScheduleAdjusted3[loop] = calculatedScheduleAdjusted[loop][2];
      extractCalculatedScheduleAdjusted4[loop] = calculatedScheduleAdjusted[loop][3];
    }


    prevDate = expected1[0];
    prevDateAdj = prevDate;
    for (int loop = 1; loop < calculatedSchedule.length; loop++) {
      ZonedDateTime nextDate = expected1[loop];
      ZonedDateTime nextDateAdj = expected1[loop];
      // accStartDate
      expected2[loop] = prevDateAdj;


      // accEndDate
      expected3[loop] = nextDateAdj;

View Full Code Here

        cds.getNotional(),
        cds.getRecoveryRate(),
        cds.getIncludeAccruedPremium(),
        cds.getProtectionStart(),
        cds.getParSpread());
    ZonedDateTime date = new IMMDates(cds.getStartDate().getYear()).getImmDateNextMarch();
    List<ZonedDateTime> dates = new ArrayList<>();
    dates.add(cds.getStartDate());
    while (!date.isAfter(cds.getMaturityDate())) {
      dates.add(date);
      date = date.plusMonths(cds.getCouponFrequency().getPeriod().toTotalMonths());
    }
    ZonedDateTime[] expected1 = dates.toArray(new ZonedDateTime[dates.size()]);
    ZonedDateTime[] expected2 = new ZonedDateTime[dates.size()];
    ZonedDateTime[] expected3 = new ZonedDateTime[dates.size()];
    ZonedDateTime[] expected4 = new ZonedDateTime[dates.size()];
    /*ZonedDateTime[] actual = CALCULATOR.constructISDACompliantCreditDefaultSwapPremiumLegSchedule(cds);
    assertDateArrayEquals(expected, actual);*/
    ZonedDateTime[][] calculated = DEPRECATED_CALCULATOR.constructISDACompliantCreditDefaultSwapPremiumLegSchedule(cds);
    ZonedDateTime[] extractCalculatedSchedule1 = new ZonedDateTime[calculated.length];
    ZonedDateTime[] extractCalculatedSchedule2 = new ZonedDateTime[calculated.length];
    ZonedDateTime[] extractCalculatedSchedule3 = new ZonedDateTime[calculated.length];
    ZonedDateTime[] extractCalculatedSchedule4 = new ZonedDateTime[calculated.length];
    for (int loop = 0; loop < calculated.length; loop++) {
      extractCalculatedSchedule1[loop] = calculated[loop][0];
    }


    for (int loop = 1; loop < calculated.length; loop++) {
      extractCalculatedSchedule2[loop] = calculated[loop][1];
      extractCalculatedSchedule3[loop] = calculated[loop][2];
      extractCalculatedSchedule4[loop] = calculated[loop][3];
    }
    ZonedDateTime prevDate = expected1[0];
    ZonedDateTime prevDateAdj = prevDate;
    for (int loop = 1; loop < calculated.length; loop++) {
      ZonedDateTime nextDate = expected1[loop];
      ZonedDateTime nextDateAdj = expected1[loop];
      // accStartDate
      expected2[loop] = prevDateAdj;


      // accEndDate
      expected3[loop] = nextDateAdj;


      // payDate
      expected4[loop] = nextDateAdj;


      prevDate = nextDate;
      prevDateAdj = nextDateAdj;
    }


    if (cds.getProtectionStart()) {
      expected3[expected1.length - 1] = prevDate.plusDays(1);
    }
    else
    {
      expected3[expected1.length - 1] = prevDate;
    }


    assertDateArrayEquals(expected1, extractCalculatedSchedule1);
    assertDateArrayEquals(expected2, extractCalculatedSchedule2);
    assertDateArrayEquals(expected3, extractCalculatedSchedule3);
    assertDateArrayEquals(expected4, extractCalculatedSchedule4);


    cds = CreditDefaultSwapDefinitionDataSets.getLegacyVanillaDefinitionWithStubType(StubType.FRONTSHORT);
    final BusinessDayConvention bdc = cds.getBusinessDayAdjustmentConvention();
    final Calendar holidays = cds.getCalendar();
    date = new IMMDates(cds.getStartDate().getYear()).getImmDateDecember();
    dates = new ArrayList<>();
    dates.add(cds.getStartDate());
    while (!date.isAfter(cds.getMaturityDate())) {
      dates.add(bdc.adjustDate(holidays, date));
      date = date.plusMonths(cds.getCouponFrequency().getPeriod().toTotalMonths());
    }
    expected1 = dates.toArray(new ZonedDateTime[dates.size()]);
    expected2 = new ZonedDateTime[dates.size()];
    expected3 = new ZonedDateTime[dates.size()];
    expected4 = new ZonedDateTime[dates.size()];
    /*actual = CALCULATOR.constructISDACompliantCreditDefaultSwapPremiumLegSchedule(cds);
    assertDateArrayEquals(expected, actual);*/
    ZonedDateTime[][] calculatedAdjusated = DEPRECATED_CALCULATOR.constructISDACompliantCreditDefaultSwapPremiumLegSchedule(cds);
    ZonedDateTime[] extractCalculatedScheduleAdjusted1 = new ZonedDateTime[calculatedAdjusated.length];
    ZonedDateTime[] extractCalculatedScheduleAdjusted2 = new ZonedDateTime[calculatedAdjusated.length];
    ZonedDateTime[] extractCalculatedScheduleAdjusted3 = new ZonedDateTime[calculatedAdjusated.length];
    ZonedDateTime[] extractCalculatedScheduleAdjusted4 = new ZonedDateTime[calculatedAdjusated.length];
    for (int loop = 0; loop < calculatedAdjusated.length; loop++) {
      extractCalculatedScheduleAdjusted1[loop] = calculatedAdjusated[loop][0];
    }


    for (int loop = 1; loop < calculatedAdjusated.length; loop++) {
      extractCalculatedScheduleAdjusted2[loop] = calculatedAdjusated[loop][1];
      extractCalculatedScheduleAdjusted3[loop] = calculatedAdjusated[loop][2];
      extractCalculatedScheduleAdjusted4[loop] = calculatedAdjusated[loop][3];
    }


    prevDate = expected1[0];
    prevDateAdj = prevDate;
    for (int loop = 1; loop < calculatedAdjusated.length; loop++) {
      ZonedDateTime nextDate = expected1[loop];
      ZonedDateTime nextDateAdj = expected1[loop];
      // accStartDate
      expected2[loop] = prevDateAdj;


      // accEndDate
      expected3[loop] = nextDateAdj;

View Full Code Here

   * Test of the schedule generation, here we test the FRONTLONG stub case when the start date is an holiday: 
   * Stub is at the end (back) of the cashflow schedule; last but one coupon is on the last scheduled coupon date before the maturity date (short stub)
   */
  @Test
  public void testFrontLongFirstDateHoliday() {
    final ZonedDateTime startDate = new IMMDates(2008).getImmDateSeptember();
    final ZonedDateTime effectiveDate = startDate.plusDays(1);
    LegacyVanillaCreditDefaultSwapDefinition cds = CreditDefaultSwapDefinitionDataSets.getLegacyVanillaDefinitionWithStubType(StubType.FRONTLONG);
    cds = new LegacyVanillaCreditDefaultSwapDefinition(cds.getBuySellProtection(),
        cds.getProtectionBuyer(),
        cds.getProtectionSeller(),
        cds.getReferenceEntity(),
        cds.getCurrency(),
        cds.getDebtSeniority(),
        cds.getRestructuringClause(),
        new NoHolidayCalendar(),
        startDate,
        effectiveDate,
        cds.getMaturityDate(),
        cds.getStubType(),
        cds.getCouponFrequency(),
        cds.getDayCountFractionConvention(),
        cds.getBusinessDayAdjustmentConvention(),
        cds.getIMMAdjustMaturityDate(),
        cds.getAdjustEffectiveDate(),
        cds.getAdjustMaturityDate(),
        cds.getNotional(),
        cds.getRecoveryRate(),
        cds.getIncludeAccruedPremium(),
        cds.getProtectionStart(),
        cds.getParSpread());
    ZonedDateTime date = new IMMDates(cds.getStartDate().getYear()).getImmDateDecember();
    List<ZonedDateTime> dates = new ArrayList<>();
    dates.add(cds.getStartDate());
    while (!date.isAfter(cds.getMaturityDate())) {
      dates.add(date);
      date = date.plusMonths(cds.getCouponFrequency().getPeriod().toTotalMonths());
    }
    ZonedDateTime[] expected1 = dates.toArray(new ZonedDateTime[dates.size()]);
    ZonedDateTime[] expected2 = new ZonedDateTime[dates.size()];
    ZonedDateTime[] expected3 = new ZonedDateTime[dates.size()];
    ZonedDateTime[] expected4 = new ZonedDateTime[dates.size()];
    /*ZonedDateTime[] actual = CALCULATOR.constructISDACompliantCreditDefaultSwapPremiumLegSchedule(cds);
    assertDateArrayEquals(expected, actual);*/
    ZonedDateTime[][] calculated = DEPRECATED_CALCULATOR.constructISDACompliantCreditDefaultSwapPremiumLegSchedule(cds);


    ZonedDateTime[] extractCalculatedSchedule1 = new ZonedDateTime[calculated.length];
    ZonedDateTime[] extractCalculatedSchedule2 = new ZonedDateTime[calculated.length];
    ZonedDateTime[] extractCalculatedSchedule3 = new ZonedDateTime[calculated.length];
    ZonedDateTime[] extractCalculatedSchedule4 = new ZonedDateTime[calculated.length];
    for (int loop = 0; loop < calculated.length; loop++) {
      extractCalculatedSchedule1[loop] = calculated[loop][0];
    }


    for (int loop = 1; loop < calculated.length; loop++) {
      extractCalculatedSchedule2[loop] = calculated[loop][1];
      extractCalculatedSchedule3[loop] = calculated[loop][2];
      extractCalculatedSchedule4[loop] = calculated[loop][3];
    }


    ZonedDateTime prevDate = expected1[0];


    ZonedDateTime prevDateAdj = prevDate;
    for (int loop = 1; loop < calculated.length; loop++) {
      ZonedDateTime nextDate = expected1[loop];
      ZonedDateTime nextDateAdj = expected1[loop];
      // accStartDate
      expected2[loop] = prevDateAdj;


      // accEndDate
      expected3[loop] = nextDateAdj;


      // payDate
      expected4[loop] = nextDateAdj;


      prevDate = nextDate;
      prevDateAdj = nextDateAdj;
    }


    if (cds.getProtectionStart()) {
      expected3[expected1.length - 1] = prevDate.plusDays(1);
    }
    else
    {
      expected3[expected1.length - 1] = prevDate;
    }


    assertDateArrayEquals(expected1, extractCalculatedSchedule1);
    assertDateArrayEquals(expected2, extractCalculatedSchedule2);
    assertDateArrayEquals(expected3, extractCalculatedSchedule3);
    assertDateArrayEquals(expected4, extractCalculatedSchedule4);


    cds = CreditDefaultSwapDefinitionDataSets.getLegacyVanillaDefinitionWithStubType(StubType.FRONTLONG);
    cds = new LegacyVanillaCreditDefaultSwapDefinition(cds.getBuySellProtection(),
        cds.getProtectionBuyer(),
        cds.getProtectionSeller(),
        cds.getReferenceEntity(),
        cds.getCurrency(),
        cds.getDebtSeniority(),
        cds.getRestructuringClause(),
        cds.getCalendar(),
        startDate,
        effectiveDate,
        cds.getMaturityDate(),
        cds.getStubType(),
        cds.getCouponFrequency(),
        cds.getDayCountFractionConvention(),
        cds.getBusinessDayAdjustmentConvention(),
        cds.getIMMAdjustMaturityDate(),
        cds.getAdjustEffectiveDate(),
        cds.getAdjustMaturityDate(),
        cds.getNotional(),
        cds.getRecoveryRate(),
        cds.getIncludeAccruedPremium(),
        cds.getProtectionStart(),
        cds.getParSpread());
    final BusinessDayConvention bdc = cds.getBusinessDayAdjustmentConvention();
    final Calendar holidays = cds.getCalendar();
    date = new IMMDates(cds.getStartDate().getYear()).getImmDateDecember();
    dates = new ArrayList<>();
    dates.add(cds.getStartDate());
    while (!date.isAfter(cds.getMaturityDate())) {
      dates.add(bdc.adjustDate(holidays, date));
      date = date.plusMonths(cds.getCouponFrequency().getPeriod().toTotalMonths());
    }
    expected1 = dates.toArray(new ZonedDateTime[dates.size()]);
    expected2 = new ZonedDateTime[dates.size()];
    expected3 = new ZonedDateTime[dates.size()];
    expected4 = new ZonedDateTime[dates.size()];
    /*actual = CALCULATOR.constructISDACompliantCreditDefaultSwapPremiumLegSchedule(cds);
    assertDateArrayEquals(expected, actual);*/
    ZonedDateTime[][] calculatedAdjusted = DEPRECATED_CALCULATOR.constructISDACompliantCreditDefaultSwapPremiumLegSchedule(cds);
    ZonedDateTime[] extractCalculatedScheduleAdjusted1 = new ZonedDateTime[calculatedAdjusted.length];
    ZonedDateTime[] extractCalculatedScheduleAdjusted2 = new ZonedDateTime[calculatedAdjusted.length];
    ZonedDateTime[] extractCalculatedScheduleAdjusted3 = new ZonedDateTime[calculatedAdjusted.length];
    ZonedDateTime[] extractCalculatedScheduleAdjusted4 = new ZonedDateTime[calculatedAdjusted.length];
    for (int loop = 0; loop < calculatedAdjusted.length; loop++) {
      extractCalculatedScheduleAdjusted1[loop] = calculatedAdjusted[loop][0];
    }


    for (int loop = 1; loop < calculatedAdjusted.length; loop++) {
      extractCalculatedScheduleAdjusted2[loop] = calculatedAdjusted[loop][1];
      extractCalculatedScheduleAdjusted3[loop] = calculatedAdjusted[loop][2];
      extractCalculatedScheduleAdjusted4[loop] = calculatedAdjusted[loop][3];
    }


    prevDate = expected1[0];
    prevDateAdj = prevDate;
    for (int loop = 1; loop < calculatedAdjusted.length; loop++) {
      ZonedDateTime nextDate = expected1[loop];
      ZonedDateTime nextDateAdj = expected1[loop];
      // accStartDate
      expected2[loop] = prevDateAdj;


      // accEndDate
      expected3[loop] = nextDateAdj;

View Full Code Here

   * Test of the schedule generation, here we test the FRONTLONG stub case when there is only one date generated in the schedule (the schedule contain two dates but the start date is not generated): 
   * Stub is at the end (back) of the cashflow schedule; last but one coupon is on the last scheduled coupon date before the maturity date (short stub)
   */
  @Test
  public void testFrontOneDate() {
    final ZonedDateTime startDate = new IMMDates(2007).getImmDateJune();
    final ZonedDateTime effectiveDate = startDate.plusDays(1);
    final ZonedDateTime endDate = startDate.plusMonths(1);
    LegacyVanillaCreditDefaultSwapDefinition cds = CreditDefaultSwapDefinitionDataSets.getLegacyVanillaDefinitionWithStubType(StubType.FRONTLONG);
    cds = new LegacyVanillaCreditDefaultSwapDefinition(cds.getBuySellProtection(),
        cds.getProtectionBuyer(),
        cds.getProtectionSeller(),
        cds.getReferenceEntity(),
        cds.getCurrency(),
        cds.getDebtSeniority(),
        cds.getRestructuringClause(),
        new NoHolidayCalendar(),
        startDate,
        effectiveDate,
        endDate,
        cds.getStubType(),
        cds.getCouponFrequency(),
        cds.getDayCountFractionConvention(),
        cds.getBusinessDayAdjustmentConvention(),
        cds.getIMMAdjustMaturityDate(),
        cds.getAdjustEffectiveDate(),
        cds.getAdjustMaturityDate(),
        cds.getNotional(),
        cds.getRecoveryRate(),
        cds.getIncludeAccruedPremium(),
        cds.getProtectionStart(),
        cds.getParSpread());
    ZonedDateTime date = new IMMDates(cds.getStartDate().getYear()).getImmDateDecember();
    final List<ZonedDateTime> dates = new ArrayList<>();
    dates.add(cds.getStartDate());
    while (!date.isAfter(cds.getMaturityDate())) {
      dates.add(date);
      date = date.plusMonths(cds.getCouponFrequency().getPeriod().toTotalMonths());
    }
    final ZonedDateTime[] expected1 = new ZonedDateTime[] {startDate, endDate };
    ZonedDateTime[] expected2 = new ZonedDateTime[2];
    ZonedDateTime[] expected3 = new ZonedDateTime[2];
    ZonedDateTime[] expected4 = new ZonedDateTime[2];
    /*final ZonedDateTime[] actual = CALCULATOR.constructISDACompliantCreditDefaultSwapPremiumLegSchedule(cds);
    assertDateArrayEquals(expected, actual);*/
    ZonedDateTime[][] calculated = DEPRECATED_CALCULATOR.constructISDACompliantCreditDefaultSwapPremiumLegSchedule(cds);
    ZonedDateTime[] extractCalculatedSchedule1 = new ZonedDateTime[calculated.length];
    ZonedDateTime[] extractCalculatedSchedule2 = new ZonedDateTime[calculated.length];
    ZonedDateTime[] extractCalculatedSchedule3 = new ZonedDateTime[calculated.length];
    ZonedDateTime[] extractCalculatedSchedule4 = new ZonedDateTime[calculated.length];
    for (int loop = 0; loop < calculated.length; loop++) {
      extractCalculatedSchedule1[loop] = calculated[loop][0];
    }


    for (int loop = 1; loop < calculated.length; loop++) {
      extractCalculatedSchedule2[loop] = calculated[loop][1];
      extractCalculatedSchedule3[loop] = calculated[loop][2];
      extractCalculatedSchedule4[loop] = calculated[loop][3];
    }


    ZonedDateTime prevDate = expected1[0];


    ZonedDateTime prevDateAdj = prevDate;
    for (int loop = 1; loop < calculated.length; loop++) {
      ZonedDateTime nextDate = expected1[loop];
      ZonedDateTime nextDateAdj = expected1[loop];
      // accStartDate
      expected2[loop] = prevDateAdj;


      // accEndDate
      expected3[loop] = nextDateAdj;

View Full Code Here

    final int index = -i - 2;
    final int length = nominalDates.length;
    Validate.isTrue(index >= 0, "Settlement date is before first accrual date");
    Validate.isTrue(index < length, "Settlement date is after maturity date");
    final double accruedInterest = getAccruedInterest(dayCount, index, length, nominalDates[index], settlementDate, nominalDates[index + 1], coupon, paymentsPerYear, isEndOfMonthConvention);
    ZonedDateTime exDividendDate = nominalDates[index + 1];
    for (int j = 0; j < exDividendDays; j++) {
      while (!calendar.isWorkingDay(exDividendDate.toLocalDate())) {
        exDividendDate = exDividendDate.minusDays(1);
      }
      exDividendDate = exDividendDate.minusDays(1);
    }
    if (exDividendDays != 0 && exDividendDate.isBefore(settlementDate)) {
      return accruedInterest - coupon;
    }
    return accruedInterest;
  }

View Full Code Here

    Validate.isTrue(paymentsPerYear > 0);
    Validate.isTrue(exDividendDays >= 0);
    final int length = nominalDates.length;
    Validate.isTrue(index >= 0 && index < length);
    final double accruedInterest = getAccruedInterest(dayCount, index, length, nominalDates[index], settlementDate, nominalDates[index + 1], coupon, paymentsPerYear, isEndOfMonthConvention);
    ZonedDateTime exDividendDate = nominalDates[index + 1];
    for (int i = 0; i < exDividendDays; i++) {
      while (!calendar.isWorkingDay(exDividendDate.toLocalDate())) {
        exDividendDate = exDividendDate.minusDays(1);
      }
      exDividendDate = exDividendDate.minusDays(1);
    }
    if (exDividendDays != 0 && exDividendDate.isBefore(settlementDate)) {
      return accruedInterest - coupon;
    }
    return accruedInterest;
  }

View Full Code Here

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Examples of org.threeten.bp.ZonedDateTime

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