Package org.drip.capital.bcbs

Class BalanceSheet

java.lang.Object
org.drip.capital.bcbs.BalanceSheet
public class BalanceSheet
extends java.lang.Object
BalanceSheet holds the Quantities used to compute the Capital/Liquidity Ratios in the BCBS Standards. The References are:

  • Basel Committee on Banking Supervision (2017): Basel III Leverage Ratio Framework and Disclosure Requirements https://www.bis.org/publ/bcbs270.pdf
  • Central Banking (2013): Fed and FDIC agree 6% Leverage Ratio for US SIFIs https://www.centralbanking.com/central-banking/news/2280726/fed-and-fdic-agree-6-leverage-ratio-for-us-sifis
  • European Banking Agency (2013): Implementing Basel III in Europe: CRD IV Package https://eba.europa.eu/regulation-and-policy/implementing-basel-iii-europe
  • Federal Reserve (2013): Liquidity Coverage Ratio – Liquidity Risk Measurements, Standards, and Monitoring https://web.archive.org/web/20131102074614/http:/www.federalreserve.gov/FR_notice_lcr_20131024.pdf
  • Wikipedia (2018): Basel III https://en.wikipedia.org/wiki/Basel_III


Author:
Lakshmi Krishnamurthy

  • Constructor Details

    • BalanceSheet

      public BalanceSheet​(BalanceSheetCapital balanceSheetCapital, BalanceSheetLiquidity balanceSheetLiquidity, BalanceSheetFunding balanceSheetFunding) throws java.lang.Exception
      BalanceSheet Constructor
      Parameters:
      balanceSheetCapital - Balance Sheet Capital Composite
      balanceSheetLiquidity - Balance Sheet Liquidity Composite
      balanceSheetFunding - Balance Sheet Funding Composite
      Throws:
      java.lang.Exception - Thrown if the Inputs are Invalid

  • Method Details

    • balanceSheetCapital

      public BalanceSheetCapital balanceSheetCapital()
      Retrieve the Balance Sheet Capital Composite
      Returns:
      The Balance Sheet Capital Composite

    • balanceSheetLiquidity

      public BalanceSheetLiquidity balanceSheetLiquidity()
      Retrieve the Balance Sheet Liquidity Composite
      Returns:
      The Balance Sheet Liquidity Composite

    • balanceSheetFunding

      public BalanceSheetFunding balanceSheetFunding()
      Retrieve the Balance Sheet Funding Composite
      Returns:
      The Balance Sheet Funding Composite

    • tier1

      public double tier1()
      Retrieve the Tier 1 Capital
      Returns:
      The Tier 1 Capital

    • totalCapital

      public double totalCapital()
      Retrieve the Total Capital
      Returns:
      The Total Capital

    • cet1Ratio

      public double cet1Ratio()
      Retrieve the CET 1 Ratio
      Returns:
      The CET 1 Ratio

    • tier1Ratio

      public double tier1Ratio()
      Retrieve the Tier 1 Ratio
      Returns:
      The Tier 1 Ratio

    • totalCapitalRatio

      public double totalCapitalRatio()
      Retrieve the Total Capital Ratio
      Returns:
      The Total Capital Ratio

    • leverageRatio

      public double leverageRatio()
      Retrieve the Leverage Ratio
      Returns:
      The Leverage Ratio

    • liquidityCoverageRatio

      public double liquidityCoverageRatio​(HighQualityLiquidAssetSettings hqlaSettings) throws java.lang.Exception
      Retrieve the Liquidity Coverage Ratio
      Parameters:
      hqlaSettings - THe HQLA Settings
      Returns:
      The Liquidity Coverage Ratio
      Throws:
      java.lang.Exception - Thrown if the Inputs are Invalid

    • netStableFundingRatio

      public double netStableFundingRatio()
      Retrieve the Net Stable Funding Ratio
      Returns:
      The Net Stable Funding Ratio

    • capitalMetrics

      public CapitalMetrics capitalMetrics()
      Generate the Balance Sheet Capital Metrics
      Returns:
      The Balance Sheet Capital Metrics

    • liquidityMetrics

      public LiquidityMetrics liquidityMetrics​(HighQualityLiquidAssetSettings hqlaSettings)
      Generate the Balance Sheet Liquidity Metrics
      Parameters:
      hqlaSettings - The HQLA Settings
      Returns:
      The Balance Sheet Liquidity Metrics