BalanceSheetLiquidity.java

  1. package org.drip.capital.bcbs;

  3. /*
  4.  * -*- mode: java; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*-
  5.  */

  7. /*!
  8.  * Copyright (C) 2020 Lakshmi Krishnamurthy
  9.  * Copyright (C) 2019 Lakshmi Krishnamurthy
  10.  * 
  11.  *  This file is part of DROP, an open-source library targeting analytics/risk, transaction cost analytics,
  12.  *      asset liability management analytics, capital, exposure, and margin analytics, valuation adjustment
  13.  *      analytics, and portfolio construction analytics within and across fixed income, credit, commodity,
  14.  *      equity, FX, and structured products. It also includes auxiliary libraries for algorithm support,
  15.  *      numerical analysis, numerical optimization, spline builder, model validation, statistical learning,
  16.  *      and computational support.
  17.  *  
  18.  *      https://lakshmidrip.github.io/DROP/
  19.  *  
  20.  *  DROP is composed of three modules:
  21.  *  
  22.  *  - DROP Product Core - https://lakshmidrip.github.io/DROP-Product-Core/
  23.  *  - DROP Portfolio Core - https://lakshmidrip.github.io/DROP-Portfolio-Core/
  24.  *  - DROP Computational Core - https://lakshmidrip.github.io/DROP-Computational-Core/
  25.  * 
  26.  *  DROP Product Core implements libraries for the following:
  27.  *  - Fixed Income Analytics
  28.  *  - Loan Analytics
  29.  *  - Transaction Cost Analytics
  30.  * 
  31.  *  DROP Portfolio Core implements libraries for the following:
  32.  *  - Asset Allocation Analytics
  33.  *  - Asset Liability Management Analytics
  34.  *  - Capital Estimation Analytics
  35.  *  - Exposure Analytics
  36.  *  - Margin Analytics
  37.  *  - XVA Analytics
  38.  * 
  39.  *  DROP Computational Core implements libraries for the following:
  40.  *  - Algorithm Support
  41.  *  - Computation Support
  42.  *  - Function Analysis
  43.  *  - Model Validation
  44.  *  - Numerical Analysis
  45.  *  - Numerical Optimizer
  46.  *  - Spline Builder
  47.  *  - Statistical Learning
  48.  * 
  49.  *  Documentation for DROP is Spread Over:
  50.  * 
  51.  *  - Main                     => https://lakshmidrip.github.io/DROP/
  52.  *  - Wiki                     => https://github.com/lakshmiDRIP/DROP/wiki
  53.  *  - GitHub                   => https://github.com/lakshmiDRIP/DROP
  54.  *  - Repo Layout Taxonomy     => https://github.com/lakshmiDRIP/DROP/blob/master/Taxonomy.md
  55.  *  - Javadoc                  => https://lakshmidrip.github.io/DROP/Javadoc/index.html
  56.  *  - Technical Specifications => https://github.com/lakshmiDRIP/DROP/tree/master/Docs/Internal
  57.  *  - Release Versions         => https://lakshmidrip.github.io/DROP/version.html
  58.  *  - Community Credits        => https://lakshmidrip.github.io/DROP/credits.html
  59.  *  - Issues Catalog           => https://github.com/lakshmiDRIP/DROP/issues
  60.  *  - JUnit                    => https://lakshmidrip.github.io/DROP/junit/index.html
  61.  *  - Jacoco                   => https://lakshmidrip.github.io/DROP/jacoco/index.html
  62.  * 
  63.  *  Licensed under the Apache License, Version 2.0 (the "License");
  64.  *      you may not use this file except in compliance with the License.
  65.  *   
  66.  *  You may obtain a copy of the License at
  67.  *      http://www.apache.org/licenses/LICENSE-2.0
  68.  *  
  69.  *  Unless required by applicable law or agreed to in writing, software
  70.  *      distributed under the License is distributed on an "AS IS" BASIS,
  71.  *      WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
  72.  *  
  73.  *  See the License for the specific language governing permissions and
  74.  *      limitations under the License.
  75.  */

  77. /**
  78.  * <i>BalanceSheetLiquidity</i> holds the Liquidity Related Fields needed for computing the Compliance
  79.  * Ratios. The References are:
  80.  * 
  81.  * <br><br>
  82.  *  <ul>
  83.  *      <li>
  84.  *          Basel Committee on Banking Supervision (2017): Basel III Leverage Ratio Framework and Disclosure
  85.  *              Requirements https://www.bis.org/publ/bcbs270.pdf
  86.  *      </li>
  87.  *      <li>
  88.  *          Central Banking (2013): Fed and FDIC agree 6% Leverage Ratio for US SIFIs
  89.  *              https://www.centralbanking.com/central-banking/news/2280726/fed-and-fdic-agree-6-leverage-ratio-for-us-sifis
  90.  *      </li>
  91.  *      <li>
  92.  *          European Banking Agency (2013): Implementing Basel III in Europe: CRD IV Package
  93.  *              https://eba.europa.eu/regulation-and-policy/implementing-basel-iii-europe
  94.  *      </li>
  95.  *      <li>
  96.  *          Federal Reserve (2013): Liquidity Coverage Ratio – Liquidity Risk Measurements, Standards, and
  97.  *              Monitoring
  98.  *              https://web.archive.org/web/20131102074614/http:/www.federalreserve.gov/FR_notice_lcr_20131024.pdf
  99.  *      </li>
  100.  *      <li>
  101.  *          Wikipedia (2018): Basel III https://en.wikipedia.org/wiki/Basel_III
  102.  *      </li>
  103.  *  </ul>
  104.  *
  105.  *  <br><br>
  106.  *  <ul>
  107.  *      <li><b>Module </b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/PortfolioCore.md">Portfolio Core Module</a></li>
  108.  *      <li><b>Library</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/CapitalAnalyticsLibrary.md">Capital Analytics</a></li>
  109.  *      <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>
  110.  *      <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>
  111.  *  </ul>
  112.  * 
  113.  * @author Lakshmi Krishnamurthy
  114.  */

  116. public class BalanceSheetLiquidity
  117. {
  118.     private boolean _usePeakCumulative = false;
  119.     private java.lang.String _netCashOutflowPeriod = "";
  120.     private double _netCashOutflowAmount = java.lang.Double.NaN;
  121.     private org.drip.capital.bcbs.HighQualityLiquidAsset _highQualityLiquidAsset = null;

  123.     /**
  124.      * Construct the Basel III Standard Version of Balance Sheet Liquidity
  125.      * 
  126.      * @param highQualityLiquidAsset High Quality Liquid Asset Instance
  127.      * @param netCashOutflowAmount Net Cash Outflow Amount
  128.      * @param usePeakCumulative TRUE - The Net Outflow is to be determined off of the Peak Cumulative Period
  129.      * 
  130.      * @return Basel III Standard Version of Balance Sheet Liquidity
  131.      */

  133.     public static final BalanceSheetLiquidity Basel_III (
  134.         final org.drip.capital.bcbs.HighQualityLiquidAsset highQualityLiquidAsset,
  135.         final double netCashOutflowAmount,
  136.         final boolean usePeakCumulative)
  137.     {
  138.         try
  139.         {
  140.             return new BalanceSheetLiquidity (
  141.                 highQualityLiquidAsset,
  142.                 netCashOutflowAmount,
  143.                 "30D",
  144.                 usePeakCumulative
  145.             );
  146.         }
  147.         catch (java.lang.Exception e)
  148.         {
  149.             e.printStackTrace();
  150.         }

  152.         return null;
  153.     }

  155.     /**
  156.      * Construct the Basel III Standard Version of Balance Sheet Liquidity for Large BHC's
  157.      * 
  158.      * @param highQualityLiquidAsset High Quality Liquid Asset Instance
  159.      * @param netCashOutflowAmount Net Cash Outflow Amount
  160.      * 
  161.      * @return Basel III Standard Version of Balance Sheet Liquidity for Large BHC's
  162.      */

  164.     public static final BalanceSheetLiquidity LargeBHC (
  165.         final org.drip.capital.bcbs.HighQualityLiquidAsset highQualityLiquidAsset,
  166.         final double netCashOutflowAmount)
  167.     {
  168.         return Basel_III (
  169.             highQualityLiquidAsset,
  170.             netCashOutflowAmount,
  171.             true
  172.         );
  173.     }

  175.     /**
  176.      * Construct the Basel III Standard Version of Balance Sheet Liquidity for Regional BHC's
  177.      * 
  178.      * @param highQualityLiquidAsset High Quality Liquid Asset Instance
  179.      * @param netCashOutflowAmount Net Cash Outflow Amount
  180.      * 
  181.      * @return Basel III Standard Version of Balance Sheet Liquidity for Regional BHC's
  182.      */

  184.     public static final BalanceSheetLiquidity RegionalBHC (
  185.         final org.drip.capital.bcbs.HighQualityLiquidAsset highQualityLiquidAsset,
  186.         final double netCashOutflowAmount)
  187.     {
  188.         try
  189.         {
  190.             return new BalanceSheetLiquidity (
  191.                 highQualityLiquidAsset,
  192.                 netCashOutflowAmount,
  193.                 "21D",
  194.                 false
  195.             );
  196.         }
  197.         catch (java.lang.Exception e)
  198.         {
  199.             e.printStackTrace();
  200.         }

  202.         return null;
  203.     }

  205.     /**
  206.      * BalanceSheetLiquidity Constructor
  207.      * 
  208.      * @param highQualityLiquidAsset High Quality Liquid Asset Instance
  209.      * @param netCashOutflowAmount Net Cash Outflow Amount
  210.      * @param netCashOutflowPeriod Net Cash Outflow Period
  211.      * @param usePeakCumulative TRUE - The Net Outflow is to be determined off of the Peak Cumulative Period
  212.      * 
  213.      * @throws java.lang.Exception Thrown if the Inputs are Invalid
  214.      */

  216.     public BalanceSheetLiquidity (
  217.         final org.drip.capital.bcbs.HighQualityLiquidAsset highQualityLiquidAsset,
  218.         final double netCashOutflowAmount,
  219.         final java.lang.String netCashOutflowPeriod,
  220.         final boolean usePeakCumulative)
  221.         throws java.lang.Exception
  222.     {
  223.         if (null == (_highQualityLiquidAsset = highQualityLiquidAsset) ||
  224.             !org.drip.numerical.common.NumberUtil.IsValid (_netCashOutflowAmount = netCashOutflowAmount) ||
  225.                 0. > _netCashOutflowAmount ||
  226.             null == (_netCashOutflowPeriod = netCashOutflowPeriod) || _netCashOutflowPeriod.isEmpty())
  227.         {
  228.             throw new java.lang.Exception ("BalanceSheetLiquidity Constructor => Invalid Inputs");
  229.         }

  231.         _usePeakCumulative = usePeakCumulative;
  232.     }

  234.     /**
  235.      * Retrieve the High Quality Liquid Asset Instance
  236.      * 
  237.      * @return The High Quality Liquid Asset Instance
  238.      */

  240.     public org.drip.capital.bcbs.HighQualityLiquidAsset highQualityLiquidAsset()
  241.     {
  242.         return _highQualityLiquidAsset;
  243.     }

  245.     /**
  246.      * Retrieve the Net Cash Outflow Amount
  247.      * 
  248.      * @return The Net Cash Outflow Amount
  249.      */

  251.     public double netCashOutflowAmount()
  252.     {
  253.         return _netCashOutflowAmount;
  254.     }

  256.     /**
  257.      * Retrieve the Net Cash Outflow Period
  258.      * 
  259.      * @return The Net Cash Outflow Period
  260.      */

  262.     public java.lang.String netCashOutflowPeriod()
  263.     {
  264.         return _netCashOutflowPeriod;
  265.     }

  267.     /**
  268.      * Indicate if the Net Outflow is to be determined off of the Peak Cumulative Period
  269.      * 
  270.      * @return TRUE - The Net Outflow is to be determined off of the Peak Cumulative Period
  271.      */

  273.     public boolean usePeakCumulative()
  274.     {
  275.         return _usePeakCumulative;
  276.     }

  278.     /**
  279.      * Compute the Liquidity Coverage Ratio
  280.      *  
  281.      * @param hqlaSettings THe HQLA Settings
  282.      * 
  283.      * @return The Liquidity Coverage Ratio
  284.      * 
  285.      * @throws java.lang.Exception Thrown if the Inputs are Invalid
  286.      */

  288.     public double liquidityCoverageRatio (
  289.         final org.drip.capital.bcbs.HighQualityLiquidAssetSettings hqlaSettings)
  290.         throws java.lang.Exception
  291.     {
  292.         return _highQualityLiquidAsset.totalRiskWeightAndHaircut (hqlaSettings) / _netCashOutflowAmount;
  293.     }
  294. }
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