Package org.drip.capital.bcbs

Class HighQualityLiquidAsset

java.lang.Object
org.drip.capital.bcbs.HighQualityLiquidAsset
public class HighQualityLiquidAsset
extends java.lang.Object
HighQualityLiquidAsset contains the Amounts and the Settings associated with Levels 1, 2A, and 2B. 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

    • HighQualityLiquidAsset

      public HighQualityLiquidAsset​(double level1, double level2A, double level2B) throws java.lang.Exception
      HighQualityLiquidAsset Constructor
      Parameters:
      level1 - Level 1 HQLA
      level2A - Level 2A HQLA
      level2B - Level 2B HQLA
      Throws:
      java.lang.Exception - Thrown if the Inputs are Invalid

  • Method Details

    • level1

      public double level1()
      Retrieve the Amount of Level 1 Assets
      Returns:
      The Amount of Level 1 Assets

    • level2A

      public double level2A()
      Retrieve the Amount of Level 2A Assets
      Returns:
      The Amount of Level 2A Assets

    • level2B

      public double level2B()
      Retrieve the Amount of Level 2B Assets
      Returns:
      The Amount of Level 2B Assets

    • total

      public double total()
      Retrieve the Total HQLA
      Returns:
      The Total HQLA

    • level2Ratio

      public double level2Ratio()
      Retrieve the Level 2 Shares to the Total HQLA
      Returns:
      The Level 2 Shares to the Total HQLA

    • level2BRatio

      public double level2BRatio()
      Retrieve the Level 2B Share to the Total HQLA
      Returns:
      The Level 2B Shares to the Total HQLA

    • applyRiskWeightAndHaircut

      public HighQualityLiquidAsset applyRiskWeightAndHaircut​(HighQualityLiquidAssetSettings hqlaSettings)
      Apply the appropriate Risk Weight and Hair cut to each of the Level x Assets
      Parameters:
      hqlaSettings - THe HQLA Settings
      Returns:
      The Risk Weight and Hair cut to each of the Level x Assets

    • isCompliant

      public boolean isCompliant​(HighQualityLiquidAssetStandard hqlaStandard)
      Verify if the HQLA is Compliant with the Level 2 and 2B Standards
      Parameters:
      hqlaStandard - The HQLA Standard
      Returns:
      TRUE - The HQLA is Compliant with the Level 2 and 2B Standards

    • totalRiskWeightAndHaircut

      public double totalRiskWeightAndHaircut​(HighQualityLiquidAssetSettings hqlaSettings) throws java.lang.Exception
      Compute the Risk Weight and Hair cut HQLA Total
      Parameters:
      hqlaSettings - THe HQLA Settings
      Returns:
      The Risk Weight and Hair cut HQLA Total
      Throws:
      java.lang.Exception - Thrown if the Inputs are Invalid