Testcase:

import sun.misc.ProxyGenerator;

public class InPackage {
    public static void main(String[] args) throws Throwable {
        ProxyGenerator.generateProxyClass("a.b.c.d",
                new Class[] {Inf.class});
    }

    static interface Inf {
    }
}

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When the test is executed with -Dsun.misc.ProxyGenerator.saveGeneratedFiles=true, it should created directories a/b/c.
This is already true with jdk8 and later.

The fix was a part of JDK-8004260.