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.

    double t = 0;
    final double spot = data.getSpot();
    impliedTree[0][0] = spot;
    arrowDebreu[0] = 1;
    int previousNodes = 1;
    final ZonedDateTime date = data.getDate();
    for (int i = 1; i < _n + 1; i++) {
      final int nodes = RecombiningBinomialTree.NODES.evaluate(i);
      final BinomialOptionModel<StandardOptionDataBundle> crrModel = new BinomialOptionModel<>(CRR, i);
      t += dt;
      final double df1 = Math.exp(dt * data.getInterestRate(t));

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      throw new NotImplementedException("Can only calculate fair price at the moment: asked for " + requiredGreeks);
    }
    if (requiredGreeks.size() > 1) {
      s_logger.warn("Can only calculate fair price - ignoring other greeks");
    }
    final ZonedDateTime date = dataBundle.getDate();
    final EuropeanVanillaOption option = EuropeanVanillaOption.fromDefinition(definition, date);
    final BlackFunctionData data = BlackFunctionData.fromDataBundle(dataBundle, definition);


    double fwd = data.getForward();
    double df = data.getDiscountFactor();

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    assertEquals("Fixed coupon bond security: dirty price from yield", cleanPriceExpected, cleanPrice, 1E-8);
  }


  @Test
  public void dirtyPriceFromYieldUSStreetLastPeriod() {
    final ZonedDateTime referenceDate = DateUtils.getUTCDate(2016, 6, 3); // In last period
    final BondFixedSecurity bondSecurity = BOND_FIXED_SECURITY_DEFINITION.toDerivative(referenceDate, CURVES_NAME);
    final double yield = 0.04;
    final double dirtyPrice = METHOD.dirtyPriceFromYield(bondSecurity, yield);
    final double dirtyPriceExpected = (1 + RATE_FIXED / COUPON_PER_YEAR) / (1 + bondSecurity.getAccrualFactorToNextCoupon() * yield / COUPON_PER_YEAR);
    assertEquals("Fixed coupon bond security: dirty price from yield US Street - last period", dirtyPriceExpected, dirtyPrice, 1E-8);

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    assertEquals("Fixed coupon bond security: modified duration from curves US Street", modifiedDurationExpected, modifiedDuration, 1E-8);
  }


  @Test
  public void modifiedDurationFromYieldUSStreetLastPeriod() {
    final ZonedDateTime referenceDate = DateUtils.getUTCDate(2016, 6, 3); // In last period
    final BondFixedSecurity bondSecurity = BOND_FIXED_SECURITY_DEFINITION.toDerivative(referenceDate, CURVES_NAME);
    final double yield = 0.04;
    final double dirtyPrice = METHOD.modifiedDurationFromYield(bondSecurity, yield);
    final double dirtyPriceExpected = bondSecurity.getAccrualFactorToNextCoupon() / COUPON_PER_YEAR / (1 + bondSecurity.getAccrualFactorToNextCoupon() * yield / COUPON_PER_YEAR);
    assertEquals("Fixed coupon bond security: modified duration from yield US Street - last period", dirtyPriceExpected, dirtyPrice, 1E-8);

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      throw new NotImplementedException("Can only calculate fair price at the moment: asked for " + requiredGreeks);
    }
    if (requiredGreeks.size() > 1) {
      s_logger.warn("Can only calculate fair price - ignoring other greeks");
    }
    final ZonedDateTime date = dataBundle.getDate();
    final EuropeanVanillaOption option = EuropeanVanillaOption.fromDefinition(definition, date);
    final BlackFunctionData data = BlackFunctionData.fromDataBundle(dataBundle, definition);
    final double price = _pricer.price(data, option, _characteristicExponent, _alpha, _limitTolerance, _useVarianceReduction);
    final GreekResultCollection result = new GreekResultCollection();
    result.put(Greek.FAIR_PRICE, price);

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    assertEquals("Fixed coupon bond security: dirty price from yield", cleanPriceExpected, cleanPrice, TOLERANCE_PRICE);
  }


  @Test
  public void dirtyPriceFromYieldGermanLastPeriod() {
    final ZonedDateTime referenceDate = DateUtils.getUTCDate(2022, 5, 15); // In last period
    final BondFixedSecurity bondSecurity = BOND_DE_SECURITY_DEFINITION.toDerivative(referenceDate, CURVES_NAME);
    final double yield = 0.02;
    final double dirtyPrice = METHOD.dirtyPriceFromYield(bondSecurity, yield);
    final double dirtyPriceExpected = (1 + RATE_DE / COUPON_PER_YEAR_DE) / (1 + bondSecurity.getAccrualFactorToNextCoupon() * yield / COUPON_PER_YEAR_DE);
    assertEquals("Fixed coupon bond security: dirty price from yield German bond - last period", dirtyPriceExpected, dirtyPrice, TOLERANCE_PRICE);

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  private static final CouponCMS CMS_COUPON_RECEIVER = (CouponCMS) CMS_COUPON_RECEIVER_DEFINITION.toDerivative(REFERENCE_DATE);


  @Test
  public void testGetter() {
    final DayCount actAct = DayCountFactory.INSTANCE.getDayCount("Actual/Actual ISDA");
    final ZonedDateTime zonedDate = ZonedDateTime.of(LocalDateTime.of(REFERENCE_DATE.toLocalDate(), LocalTime.MIDNIGHT), ZoneOffset.UTC);
    final double fixingTime = actAct.getDayCountFraction(zonedDate, FIXING_DATE);
    assertEquals(fixingTime, CMS_COUPON_RECEIVER.getFixingTime(), 1E-10);
    assertEquals(SWAP, CMS_COUPON_RECEIVER.getUnderlyingSwap());
    assertEquals(NOTIONAL, CMS_COUPON_RECEIVER.getNotional(), 1E-10);
  }

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


      // TODO : Check if rate <= 0


      final ZonedDateTime startDate = _baseDate;
      final ZonedDateTime endDate = _cashDates[i];


      final double rateYF = TimeCalculator.getTimeBetween(startDate, endDate, ACT_360);


      // TODO : Check denom != 0
      final double denom = 1.0 + _cashRates[i] * rateYF;


      zcCashDiscount[i] = 1.0 / denom;


      final double rateYF2 = TimeCalculator.getTimeBetween(startDate, endDate, ACT_365);


      zcCashRates[i] = Math.pow(zcCashDiscount[i], -1.0 / (_basis * rateYF2)) - 1.0;


      //_zCurveDates[i] = _cashDates[i];


      _zCurveRates[i] = _cashRates[i];
      _zCurveCCRates[i] = zcCashRates[i];


      _zCurveDates.add(_cashDates[i]);
      _zCurveContinuouslyCompoundedRates.add(_zCurveCCRates[i]);
      _zCurveDiscountFactors.add(zcCashDiscount[i]);
    }


    final ZonedDateTime lastMMDate = _cashDates[_cashDates.length - 1];


    // ----------------------------------------------------------------------


    // Add the swap instruments


    // TODO : Check is numSwaps == 0


    // -----------------------------------


    // Compute the last stub date


    ZonedDateTime lastStubDate;


    if (_numberOfCashInstruments < 1) {
      lastStubDate = _baseDate;
    } else {
      lastStubDate = _cashDates[_numberOfCashInstruments - 1];

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    final ZonedDateTime[] dl = JpmcdsZCGetSwapCouponDL(_baseDate, matDate, isEndStub);


    final ZonedDateTime[] cflDate = new ZonedDateTime[dl.length];
    final double[] cflAmount = new double[dl.length];


    ZonedDateTime prevDate = _baseDate;


    for (int i = 0; i < dl.length; i++) {


      // TODO : Need to sort out what day count conv is being used
      final double yearFraction = 0.5; //TimeCalculator.getTimeBetween(prevDate, dl[i], ACT_365);
      cflDate[i] = dl[i];
      cflAmount[i] = rate * yearFraction;
      prevDate = dl[i];
    }


    cflAmount[cflAmount.length - 1] += 1.0;


    // ---------------------


    // Adjust matDate
    final ZonedDateTime adjMatDate = modifiedFollowingBadDayConv.adjustDate(holidayCalendar, matDate);


    /* Add rate implied by cashflow list to the zeroCurve.
     */


    JpmcdsZCAddCashFlowList(cflDate, cflAmount, price, adjMatDate, lastMMDate);

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    double sumNPV = 0.0;


    // TODO : cCheck if date == 0L and if there are no MM deposits already used to build the zc curve


    final ZonedDateTime lastZCDate = lastMMDate;


    // TODO : Check if date <= lastZCDate


    firstUncovered = cflDate.length - 1;

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Examples of org.threeten.bp.ZonedDateTime

Specification for implementors

Related Classes of org.threeten.bp.ZonedDateTime