Package org.drip.capital.bcbs

Class LiquidityMetrics

java.lang.Object
org.drip.capital.bcbs.LiquidityMetrics
public class LiquidityMetrics
extends java.lang.Object
LiquidityMetrics holds the Realized Liquidity Metrics. 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
    LiquidityMetrics​(double liquidityCoverageRatio, double netStableFundingRatio)
    LiquidityMetrics Constructor

  • Method Summary

    Modifier and Type Method Description
    static LiquidityMetrics Basel_III_2015()
    Construct the Basel III 2015 Version of the Liquidity Metrics Standard
    static LiquidityMetrics Basel_III_2016()
    Construct the Basel III 2016 Version of the Liquidity Metrics Standard
    static LiquidityMetrics Basel_III_2017()
    Construct the Basel III 2017 Version of the Liquidity Metrics Standard
    static LiquidityMetrics Basel_III_2018()
    Construct the Basel III 2018 Version of the Liquidity Metrics Standard
    static LiquidityMetrics Basel_III_2019()
    Construct the Basel III 2019 Version of the Liquidity Metrics Standard
    boolean isCompliant​(LiquidityMetrics liquidityMetricsStandard)
    Verify if the Liquidity Metrics are Compliant with the Standard
    double liquidityCoverageRatio()
    Retrieve the Liquidity Coverage Ratio
    double netStableFundingRatio()
    Retrieve the Net Stable Funding Ratio

    Methods inherited from class java.lang.Object

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

  • Constructor Details

    • LiquidityMetrics

      public LiquidityMetrics​(double liquidityCoverageRatio, double netStableFundingRatio) throws java.lang.Exception
      LiquidityMetrics Constructor
      Parameters:
      liquidityCoverageRatio - The Liquidity Coverage Ratio
      netStableFundingRatio - The Net Stable Funding Ratio
      Throws:
      java.lang.Exception - Thrown if the Inputs are Invalid

  • Method Details

    • Basel_III_2015

      public static final LiquidityMetrics Basel_III_2015()
      Construct the Basel III 2015 Version of the Liquidity Metrics Standard
      Returns:
      The Basel III 2015 Version of the Liquidity Metrics Standard

    • Basel_III_2016

      public static final LiquidityMetrics Basel_III_2016()
      Construct the Basel III 2016 Version of the Liquidity Metrics Standard
      Returns:
      The Basel III 2016 Version of the Liquidity Metrics Standard

    • Basel_III_2017

      public static final LiquidityMetrics Basel_III_2017()
      Construct the Basel III 2017 Version of the Liquidity Metrics Standard
      Returns:
      The Basel III 2017 Version of the Liquidity Metrics Standard

    • Basel_III_2018

      public static final LiquidityMetrics Basel_III_2018()
      Construct the Basel III 2018 Version of the Liquidity Metrics Standard
      Returns:
      The Basel III 2018 Version of the Liquidity Metrics Standard

    • Basel_III_2019

      public static final LiquidityMetrics Basel_III_2019()
      Construct the Basel III 2019 Version of the Liquidity Metrics Standard
      Returns:
      The Basel III 2019 Version of the Liquidity Metrics Standard

    • liquidityCoverageRatio

      public double liquidityCoverageRatio()
      Retrieve the Liquidity Coverage Ratio
      Returns:
      The Liquidity Coverage Ratio

    • netStableFundingRatio

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

    • isCompliant

      public boolean isCompliant​(LiquidityMetrics liquidityMetricsStandard)
      Verify if the Liquidity Metrics are Compliant with the Standard
      Parameters:
      liquidityMetricsStandard - The Liquidity Metrics Standard
      Returns:
      TRUE - The Liquidity Metrics are Compliant with the Standard