CapitalMetricsStandard.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>CapitalMetricsStandard</i> implements the Basel Capital Metrics 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 CapitalMetricsStandard extends org.drip.capital.bcbs.CapitalMetrics
- {
- private double _cet1DeductionsPhaseIn = java.lang.Double.NaN;
- /**
- * Construct the Basel III 2013 Version of the Capital Metrics Standard
- *
- * @return Basel III 2013 Version of the Capital Metrics Standard
- */
- public static final CapitalMetricsStandard Basel_III_2013()
- {
- try
- {
- return new CapitalMetricsStandard (
- 0.030,
- 0.035,
- 0.035,
- 0.045,
- 0.045,
- 0.045,
- 0.00
- );
- }
- catch (java.lang.Exception e)
- {
- e.printStackTrace();
- }
- return null;
- }
- /**
- * Construct the Basel III 2014 Version of the Capital Metrics Standard
- *
- * @return Basel III 2014 Version of the Capital Metrics Standard
- */
- public static final CapitalMetricsStandard Basel_III_2014()
- {
- try
- {
- return new CapitalMetricsStandard (
- 0.030,
- 0.040,
- 0.040,
- 0.055,
- 0.080,
- 0.080,
- 0.20
- );
- }
- catch (java.lang.Exception e)
- {
- e.printStackTrace();
- }
- return null;
- }
- /**
- * Construct the Basel III 2015 Version of the Capital Metrics Standard
- *
- * @return Basel III 2015 Version of the Capital Metrics Standard
- */
- public static final CapitalMetricsStandard Basel_III_2015()
- {
- try
- {
- return new CapitalMetricsStandard (
- 0.030,
- 0.045,
- 0.045,
- 0.060,
- 0.080,
- 0.080,
- 0.40
- );
- }
- catch (java.lang.Exception e)
- {
- e.printStackTrace();
- }
- return null;
- }
- /**
- * Construct the Basel III 2016 Version of the Capital Metrics Standard
- *
- * @return Basel III 2016 Version of the Capital Metrics Standard
- */
- public static final CapitalMetricsStandard Basel_III_2016()
- {
- try
- {
- return new CapitalMetricsStandard (
- 0.03000,
- 0.04500,
- 0.05125,
- 0.06000,
- 0.08000,
- 0.08625,
- 0.60
- );
- }
- catch (java.lang.Exception e)
- {
- e.printStackTrace();
- }
- return null;
- }
- /**
- * Construct the Basel III 2017 Version of the Capital Metrics Standard
- *
- * @return Basel III 2017 Version of the Capital Metrics Standard
- */
- public static final CapitalMetricsStandard Basel_III_2017()
- {
- try
- {
- return new CapitalMetricsStandard (
- 0.03000,
- 0.04500,
- 0.05750,
- 0.06000,
- 0.08000,
- 0.09250,
- 0.80
- );
- }
- catch (java.lang.Exception e)
- {
- e.printStackTrace();
- }
- return null;
- }
- /**
- * Construct the Basel III 2018 Version of the Capital Metrics Standard
- *
- * @return Basel III 2018 Version of the Capital Metrics Standard
- */
- public static final CapitalMetricsStandard Basel_III_2018()
- {
- try
- {
- return new CapitalMetricsStandard (
- 0.03000,
- 0.04500,
- 0.06375,
- 0.06000,
- 0.08000,
- 0.09875,
- 1.00
- );
- }
- catch (java.lang.Exception e)
- {
- e.printStackTrace();
- }
- return null;
- }
- /**
- * Construct the Basel III 2019 Version of the Capital Metrics Standard
- *
- * @return Basel III 2019 Version of the Capital Metrics Standard
- */
- public static final CapitalMetricsStandard Basel_III_2019()
- {
- try
- {
- return new CapitalMetricsStandard (
- 0.03000,
- 0.04500,
- 0.07000,
- 0.06000,
- 0.08000,
- 0.10500,
- 1.00
- );
- }
- catch (java.lang.Exception e)
- {
- e.printStackTrace();
- }
- return null;
- }
- /**
- * Construct the Federal Reserve's Version of the Capital Metrics Standard for Systemically Important
- * Financial Institutions (SIFI)
- *
- * @return Federal Reserve's Version of the Capital Metrics Standard for Systemically Important Financial
- * Institutions (SIFI)
- */
- public static final CapitalMetricsStandard US_SIFI()
- {
- try
- {
- return new CapitalMetricsStandard (
- 0.06000,
- 0.04500,
- 0.07000,
- 0.06000,
- 0.08000,
- 0.10500,
- 1.00
- );
- }
- catch (java.lang.Exception e)
- {
- e.printStackTrace();
- }
- return null;
- }
- /**
- * Construct the Federal Reserve's Version of the Capital Metrics Standard for Systemically Important
- * Financial Institutions' Insured Bank Holding Corporations (BHC)
- *
- * @return Federal Reserve's Version of the Capital Metrics Standard for Systemically Important Financial
- * Institutions' Insured Bank Holding Corporations (BHC)
- */
- public static final CapitalMetricsStandard US_SIFI_BHC()
- {
- try
- {
- return new CapitalMetricsStandard (
- 0.05000,
- 0.04500,
- 0.07000,
- 0.06000,
- 0.08000,
- 0.10500,
- 1.00
- );
- }
- catch (java.lang.Exception e)
- {
- e.printStackTrace();
- }
- return null;
- }
- /**
- * CapitalMetricsStandard Constructor
- *
- * @param leverageRatio Leverage Ratio
- * @param commonEquityRatio Common Equity Capital Ratio
- * @param commonEquityPlusConservationBufferRatio Common Equity Capital Plus Capital Conservation Buffer
- * Ratio
- * @param tier1Ratio Tier 1 Capital Ratio
- * @param totalRatio Total Capital Ratio
- * @param totalPlusConservationBufferRatio Total Capital Plus Conservation Buffer Ratio
- * @param cet1DeductionsPhaseIn CET1 Deductions Phase-in
- *
- * @throws java.lang.Exception Thrown if the Inputs are Invalid
- */
- public CapitalMetricsStandard (
- final double leverageRatio,
- final double commonEquityRatio,
- final double commonEquityPlusConservationBufferRatio,
- final double tier1Ratio,
- final double totalRatio,
- final double totalPlusConservationBufferRatio,
- final double cet1DeductionsPhaseIn)
- throws java.lang.Exception
- {
- super (
- leverageRatio,
- commonEquityRatio,
- commonEquityPlusConservationBufferRatio,
- tier1Ratio,
- totalRatio,
- totalPlusConservationBufferRatio
- );
- if (!org.drip.numerical.common.NumberUtil.IsValid (_cet1DeductionsPhaseIn = cet1DeductionsPhaseIn) ||
- 0. > _cet1DeductionsPhaseIn)
- {
- throw new java.lang.Exception ("CapitalMetricsStandard Contructor => Invalid Inputs");
- }
- }
- /**
- * Retrieve the CET1 Deductions Phase-in
- *
- * @return The CET1 Deductions Phase-in
- */
- public double cet1DeductionsPhaseIn()
- {
- return _cet1DeductionsPhaseIn;
- }
- }