Java's createNewFile() - will it also create directories?

No.
Use tmp.getParentFile().mkdirs() before you create the file.

File theDir = new File(DirectoryPath);
if (!theDir.exists()) theDir.mkdirs();

File directory = new File(tmp.getParentFile().getAbsolutePath());
directory.mkdirs();

If the directories already exist, nothing will happen, so you don't need any checks.