HighQualityLiquidAsset.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>HighQualityLiquidAsset</i> contains the Amounts and the Settings associated with Levels 1, 2A, and 2B.
* 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 HighQualityLiquidAsset
{
private double _level1 = java.lang.Double.NaN;
private double _level2A = java.lang.Double.NaN;
private double _level2B = java.lang.Double.NaN;
/**
* HighQualityLiquidAsset Constructor
*
* @param level1 Level 1 HQLA
* @param level2A Level 2A HQLA
* @param level2B Level 2B HQLA
*
* @throws java.lang.Exception Thrown if the Inputs are Invalid
*/
public HighQualityLiquidAsset (
final double level1,
final double level2A,
final double level2B)
throws java.lang.Exception
{
if (!org.drip.numerical.common.NumberUtil.IsValid (_level1 = level1) ||
!org.drip.numerical.common.NumberUtil.IsValid (_level2A = level2A) ||
!org.drip.numerical.common.NumberUtil.IsValid (_level2B = level2B))
{
throw new java.lang.Exception ("HighQualityLiquidAsset Constructor => Invalid Inputs");
}
}
/**
* Retrieve the Amount of Level 1 Assets
*
* @return The Amount of Level 1 Assets
*/
public double level1()
{
return _level1;
}
/**
* Retrieve the Amount of Level 2A Assets
*
* @return The Amount of Level 2A Assets
*/
public double level2A()
{
return _level2A;
}
/**
* Retrieve the Amount of Level 2B Assets
*
* @return The Amount of Level 2B Assets
*/
public double level2B()
{
return _level2B;
}
/**
* Retrieve the Total HQLA
*
* @return The Total HQLA
*/
public double total()
{
return _level1 + _level2A + _level2B;
}
/**
* Retrieve the Level 2 Shares to the Total HQLA
*
* @return The Level 2 Shares to the Total HQLA
*/
public double level2Ratio()
{
return (_level2A + _level2B) / (_level1 + _level2A + _level2B);
}
/**
* Retrieve the Level 2B Share to the Total HQLA
*
* @return The Level 2B Shares to the Total HQLA
*/
public double level2BRatio()
{
return _level2B / (_level1 + _level2A + _level2B);
}
/**
* Apply the appropriate Risk Weight and Hair cut to each of the Level x Assets
*
* @param hqlaSettings THe HQLA Settings
*
* @return The Risk Weight and Hair cut to each of the Level x Assets
*/
public HighQualityLiquidAsset applyRiskWeightAndHaircut (
final org.drip.capital.bcbs.HighQualityLiquidAssetSettings hqlaSettings)
{
if (null == hqlaSettings)
{
return null;
}
try
{
return new HighQualityLiquidAsset (
_level1,
_level2A * (1. - hqlaSettings.level2AHaircut()) / (1. + hqlaSettings.level2ARiskWeight()),
_level2B * (1. - hqlaSettings.level2BHaircut()) / (1. + hqlaSettings.level2BRiskWeight())
);
}
catch (java.lang.Exception e)
{
e.printStackTrace();
}
return null;
}
/**
* Verify if the HQLA is Compliant with the Level 2 and 2B Standards
*
* @param hqlaStandard The HQLA Standard
*
* @return TRUE - The HQLA is Compliant with the Level 2 and 2B Standards
*/
public boolean isCompliant (
final org.drip.capital.bcbs.HighQualityLiquidAssetStandard hqlaStandard)
{
return null == hqlaStandard ? false :
level2Ratio() <= hqlaStandard.level2Ratio() &&
level2BRatio() <= hqlaStandard.level2BRatio();
}
/**
* Compute the Risk Weight and Hair cut HQLA Total
*
* @param hqlaSettings THe HQLA Settings
*
* @return The Risk Weight and Hair cut HQLA Total
*
* @throws java.lang.Exception Thrown if the Inputs are Invalid
*/
public double totalRiskWeightAndHaircut (
final org.drip.capital.bcbs.HighQualityLiquidAssetSettings hqlaSettings)
throws java.lang.Exception
{
HighQualityLiquidAsset hqla = applyRiskWeightAndHaircut (hqlaSettings);
if (null == hqla)
{
throw new java.lang.Exception
("HighQualityLiquidAsset::totalRiskWeightAndHaircut => Invalid Inputs");
}
return hqla.total();
}
}