Package org.drip.capital.bcbs

Class HighQualityLiquidAssetStandard

java.lang.Object
org.drip.capital.bcbs.HighQualityLiquidAssetStandard
public class HighQualityLiquidAssetStandard
extends java.lang.Object
HighQualityLiquidAssetStandard contains the Regulatory HQLA Ratios 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 Summary

    Constructors
    Constructor Description
    HighQualityLiquidAssetStandard​(double level2Ratio, double level2BRatio)
    HighQualityLiquidAssetStandard Constructor

  • Method Summary

    Modifier and Type Method Description
    static HighQualityLiquidAssetStandard FederalReserve()
    Generate an Instance of the Fed's HQLA Standard
    double level2BRatio()
    Retrieve the Level 2B share to the Total HQLA
    double level2Ratio()
    Retrieve the Level 2 share to the Total HQLA

    Methods inherited from class java.lang.Object

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

  • Constructor Details

    • HighQualityLiquidAssetStandard

      public HighQualityLiquidAssetStandard​(double level2Ratio, double level2BRatio) throws java.lang.Exception
      HighQualityLiquidAssetStandard Constructor
      Parameters:
      level2Ratio - Level 2 Ratio
      level2BRatio - Level 2B Ratio
      Throws:
      java.lang.Exception - Thrown if the Inputs are Invalid

  • Method Details

    • FederalReserve

      public static final HighQualityLiquidAssetStandard FederalReserve()
      Generate an Instance of the Fed's HQLA Standard
      Returns:
      The Fed's HQLA Standard

    • level2Ratio

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

    • level2BRatio

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