BalanceSheetCapital.java
package org.drip.capital.bcbs;
/*
* -*- mode: java; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*-
*/
/*!
* Copyright (C) 2020 Lakshmi Krishnamurthy
* Copyright (C) 2019 Lakshmi Krishnamurthy
*
* This file is part of DROP, an open-source library targeting analytics/risk, transaction cost analytics,
* asset liability management analytics, capital, exposure, and margin analytics, valuation adjustment
* analytics, and portfolio construction analytics within and across fixed income, credit, commodity,
* equity, FX, and structured products. It also includes auxiliary libraries for algorithm support,
* numerical analysis, numerical optimization, spline builder, model validation, statistical learning,
* and computational support.
*
* https://lakshmidrip.github.io/DROP/
*
* DROP is composed of three modules:
*
* - DROP Product Core - https://lakshmidrip.github.io/DROP-Product-Core/
* - DROP Portfolio Core - https://lakshmidrip.github.io/DROP-Portfolio-Core/
* - DROP Computational Core - https://lakshmidrip.github.io/DROP-Computational-Core/
*
* DROP Product Core implements libraries for the following:
* - Fixed Income Analytics
* - Loan Analytics
* - Transaction Cost Analytics
*
* DROP Portfolio Core implements libraries for the following:
* - Asset Allocation Analytics
* - Asset Liability Management Analytics
* - Capital Estimation Analytics
* - Exposure Analytics
* - Margin Analytics
* - XVA Analytics
*
* DROP Computational Core implements libraries for the following:
* - Algorithm Support
* - Computation Support
* - Function Analysis
* - Model Validation
* - Numerical Analysis
* - Numerical Optimizer
* - Spline Builder
* - Statistical Learning
*
* Documentation for DROP is Spread Over:
*
* - Main => https://lakshmidrip.github.io/DROP/
* - Wiki => https://github.com/lakshmiDRIP/DROP/wiki
* - GitHub => https://github.com/lakshmiDRIP/DROP
* - Repo Layout Taxonomy => https://github.com/lakshmiDRIP/DROP/blob/master/Taxonomy.md
* - Javadoc => https://lakshmidrip.github.io/DROP/Javadoc/index.html
* - Technical Specifications => https://github.com/lakshmiDRIP/DROP/tree/master/Docs/Internal
* - Release Versions => https://lakshmidrip.github.io/DROP/version.html
* - Community Credits => https://lakshmidrip.github.io/DROP/credits.html
* - Issues Catalog => https://github.com/lakshmiDRIP/DROP/issues
* - JUnit => https://lakshmidrip.github.io/DROP/junit/index.html
* - Jacoco => https://lakshmidrip.github.io/DROP/jacoco/index.html
*
* Licensed under the Apache License, Version 2.0 (the "License");
* you may not use this file except in compliance with the License.
*
* You may obtain a copy of the License at
* http://www.apache.org/licenses/LICENSE-2.0
*
* Unless required by applicable law or agreed to in writing, software
* distributed under the License is distributed on an "AS IS" BASIS,
* WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
*
* See the License for the specific language governing permissions and
* limitations under the License.
*/
/**
* <i>BalanceSheetCapital</i> holds the Quantities used to compute the Capital Compliance Ratios in the BCBS
* Standards. The References are:
*
* <br><br>
* <ul>
* <li>
* Basel Committee on Banking Supervision (2017): Basel III Leverage Ratio Framework and Disclosure
* Requirements https://www.bis.org/publ/bcbs270.pdf
* </li>
* <li>
* 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
* </li>
* <li>
* European Banking Agency (2013): Implementing Basel III in Europe: CRD IV Package
* https://eba.europa.eu/regulation-and-policy/implementing-basel-iii-europe
* </li>
* <li>
* 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
* </li>
* <li>
* Wikipedia (2018): Basel III https://en.wikipedia.org/wiki/Basel_III
* </li>
* </ul>
*
* <br><br>
* <ul>
* <li><b>Module </b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/PortfolioCore.md">Portfolio Core Module</a></li>
* <li><b>Library</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/CapitalAnalyticsLibrary.md">Capital Analytics</a></li>
* <li><b>Project</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/src/main/java/org/drip/capital/README.md">Basel Market Risk and Operational Capital</a></li>
* <li><b>Package</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/src/main/java/org/drip/capital/bcbs/README.md">BCBS and Jurisdictional Capital Ratios</a></li>
* </ul>
*
* @author Lakshmi Krishnamurthy
*/
public class BalanceSheetCapital
{
private double _at1 = java.lang.Double.NaN;
private double _rwa = java.lang.Double.NaN;
private double _cet1 = java.lang.Double.NaN;
private double _totalExposure = java.lang.Double.NaN;
private double _additionalCapital = java.lang.Double.NaN;
/**
* BalanceSheetCapital Constructor
*
* @param cet1 Common Equity Tier 1 Capital
* @param at1 Additional Tier 1 Capital
* @param additionalCapital Additional Capital
* @param rwa Risk Weighted Assets
* @param totalExposure Total Exposure
*
* @throws java.lang.Exception Thrown if the Inputs are Invalid
*/
public BalanceSheetCapital (
final double cet1,
final double at1,
final double additionalCapital,
final double rwa,
final double totalExposure)
throws java.lang.Exception
{
if (!org.drip.numerical.common.NumberUtil.IsValid (_cet1 = cet1) || 0. > _cet1 ||
!org.drip.numerical.common.NumberUtil.IsValid (_at1 = at1) || 0. > _at1 ||
!org.drip.numerical.common.NumberUtil.IsValid (_additionalCapital = additionalCapital) ||
0. > _additionalCapital ||
!org.drip.numerical.common.NumberUtil.IsValid (_rwa = rwa) || 0. > _rwa ||
!org.drip.numerical.common.NumberUtil.IsValid (_totalExposure = totalExposure) ||
0. > _totalExposure)
{
throw new java.lang.Exception ("BalanceSheetCapital Constructor => Invalid Inputs");
}
}
/**
* Retrieve the Common Equity Tier 1 Capital
*
* @return The Common Equity Tier 1 Capital
*/
public double commonEquityTier1()
{
return _cet1;
}
/**
* Retrieve the Additional Tier 1 Capital
*
* @return The Additional Tier 1 Capital
*/
public double additionalTier1()
{
return _at1;
}
/**
* Retrieve the Additional Capital
*
* @return The Additional Capital
*/
public double additionalCapital()
{
return _additionalCapital;
}
/**
* Retrieve the Risk Weighted Assets
*
* @return The Risk Weighted Assets
*/
public double riskWeightedAssets()
{
return _rwa;
}
/**
* Retrieve the Total Exposure
*
* @return The Total Exposure
*/
public double totalExposure()
{
return _totalExposure;
}
/**
* Retrieve the Tier 1 Capital
*
* @return The Tier 1 Capital
*/
public double tier1()
{
return _cet1 + _at1;
}
/**
* Retrieve the Total Capital
*
* @return The Total Capital
*/
public double totalCapital()
{
return _cet1 + _at1 + _additionalCapital;
}
/**
* Retrieve the CET 1 Ratio
*
* @return The CET 1 Ratio
*/
public double cet1Ratio()
{
return _cet1 / _rwa;
}
/**
* Retrieve the Tier 1 Ratio
*
* @return The Tier 1 Ratio
*/
public double tier1Ratio()
{
return (_cet1 + _at1) / _rwa;
}
/**
* Retrieve the Total Capital Ratio
*
* @return The Total Capital Ratio
*/
public double totalCapitalRatio()
{
return (_cet1 + _at1 + _additionalCapital) / _rwa;
}
/**
* Retrieve the Leverage Ratio
*
* @return The Leverage Ratio
*/
public double leverageRatio()
{
return (_cet1 + _at1) / _totalExposure;
}
/**
* Generate the Balance Sheet Capital Metrics
*
* @return The Balance Sheet Capital Metrics
*/
public org.drip.capital.bcbs.CapitalMetrics capitalMetrics()
{
double commonEquityCapitalRatio = _cet1 / _rwa;
double totalCapitalRatio = (_cet1 + _at1 + _additionalCapital) / _rwa;
try
{
return new org.drip.capital.bcbs.CapitalMetrics (
(_cet1 + _at1) / _totalExposure,
commonEquityCapitalRatio,
commonEquityCapitalRatio,
(_cet1 + _at1) / _rwa,
totalCapitalRatio,
totalCapitalRatio
);
}
catch (java.lang.Exception e)
{
e.printStackTrace();
}
return null;
}
}