Package org.drip.capital.bcbs

Class BalanceSheetLiquidity

java.lang.Object

org.drip.capital.bcbs.BalanceSheetLiquidity

public class BalanceSheetLiquidity
extends java.lang.Object

BalanceSheetLiquidity holds the Liquidity Related Fields needed for computing the Compliance Ratios. 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

• Module = Portfolio Core Module
• Library = Capital Analytics
• Project = Basel Market Risk and Operational Capital
• Package = BCBS and Jurisdictional Capital Ratios

Author:

Lakshmi Krishnamurthy

Constructor Summary

Constructors

Constructor	Description
BalanceSheetLiquidity(HighQualityLiquidAsset highQualityLiquidAsset, double netCashOutflowAmount, java.lang.String netCashOutflowPeriod, boolean usePeakCumulative)	BalanceSheetLiquidity Constructor

Method Summary

Modifier and Type	Method	Description
static BalanceSheetLiquidity	Basel_III(HighQualityLiquidAsset highQualityLiquidAsset, double netCashOutflowAmount, boolean usePeakCumulative)	Construct the Basel III Standard Version of Balance Sheet Liquidity
HighQualityLiquidAsset	highQualityLiquidAsset()	Retrieve the High Quality Liquid Asset Instance
static BalanceSheetLiquidity	LargeBHC(HighQualityLiquidAsset highQualityLiquidAsset, double netCashOutflowAmount)	Construct the Basel III Standard Version of Balance Sheet Liquidity for Large BHC's
double	liquidityCoverageRatio(HighQualityLiquidAssetSettings hqlaSettings)	Compute the Liquidity Coverage Ratio
double	netCashOutflowAmount()	Retrieve the Net Cash Outflow Amount
java.lang.String	netCashOutflowPeriod()	Retrieve the Net Cash Outflow Period
static BalanceSheetLiquidity	RegionalBHC(HighQualityLiquidAsset highQualityLiquidAsset, double netCashOutflowAmount)	Construct the Basel III Standard Version of Balance Sheet Liquidity for Regional BHC's
boolean	usePeakCumulative()	Indicate if the Net Outflow is to be determined off of the Peak Cumulative Period

Methods inherited from class java.lang.Object

equals, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait

Constructor Details

BalanceSheetLiquidity

public BalanceSheetLiquidity(HighQualityLiquidAsset highQualityLiquidAsset,
double netCashOutflowAmount,
java.lang.String netCashOutflowPeriod,
boolean usePeakCumulative)
                      throws java.lang.Exception

BalanceSheetLiquidity Constructor

Parameters:

highQualityLiquidAsset - High Quality Liquid Asset Instance

netCashOutflowAmount - Net Cash Outflow Amount

netCashOutflowPeriod - Net Cash Outflow Period

usePeakCumulative - TRUE - The Net Outflow is to be determined off of the Peak Cumulative Period

Throws:

java.lang.Exception - Thrown if the Inputs are Invalid

Method Details

Basel_III

public static final BalanceSheetLiquidity Basel_III(HighQualityLiquidAsset highQualityLiquidAsset,
double netCashOutflowAmount,
boolean usePeakCumulative)

Construct the Basel III Standard Version of Balance Sheet Liquidity

Parameters:

highQualityLiquidAsset - High Quality Liquid Asset Instance

netCashOutflowAmount - Net Cash Outflow Amount

usePeakCumulative - TRUE - The Net Outflow is to be determined off of the Peak Cumulative Period

Returns:

Basel III Standard Version of Balance Sheet Liquidity

LargeBHC

public static final BalanceSheetLiquidity LargeBHC(HighQualityLiquidAsset highQualityLiquidAsset,
double netCashOutflowAmount)

Construct the Basel III Standard Version of Balance Sheet Liquidity for Large BHC's

Parameters:

highQualityLiquidAsset - High Quality Liquid Asset Instance

netCashOutflowAmount - Net Cash Outflow Amount

Returns:

Basel III Standard Version of Balance Sheet Liquidity for Large BHC's

RegionalBHC

public static final BalanceSheetLiquidity RegionalBHC(HighQualityLiquidAsset highQualityLiquidAsset,
double netCashOutflowAmount)

Construct the Basel III Standard Version of Balance Sheet Liquidity for Regional BHC's

Parameters:

highQualityLiquidAsset - High Quality Liquid Asset Instance

netCashOutflowAmount - Net Cash Outflow Amount

Returns:

Basel III Standard Version of Balance Sheet Liquidity for Regional BHC's

highQualityLiquidAsset

public HighQualityLiquidAsset highQualityLiquidAsset()

Retrieve the High Quality Liquid Asset Instance

Returns:

The High Quality Liquid Asset Instance

netCashOutflowAmount

public double netCashOutflowAmount()

Retrieve the Net Cash Outflow Amount

Returns:

The Net Cash Outflow Amount

netCashOutflowPeriod

public java.lang.String netCashOutflowPeriod()

Retrieve the Net Cash Outflow Period

Returns:

The Net Cash Outflow Period

usePeakCumulative

public boolean usePeakCumulative()

Indicate if the Net Outflow is to be determined off of the Peak Cumulative Period

Returns:

TRUE - The Net Outflow is to be determined off of the Peak Cumulative Period

liquidityCoverageRatio

public double liquidityCoverageRatio(HighQualityLiquidAssetSettings hqlaSettings)
                              throws java.lang.Exception

Compute the Liquidity Coverage Ratio

Parameters:

hqlaSettings - THe HQLA Settings

Returns:

The Liquidity Coverage Ratio

Throws:

java.lang.Exception - Thrown if the Inputs are Invalid