HighQualityLiquidAssetSettings.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>HighQualityLiquidAssetSettings</i> holds the Risk-Weights and the Haircuts associated with Levels 1,
  79.  * 2A, and 2B. 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 HighQualityLiquidAssetSettings
  117. {
  118.     private double _level1Haircut = java.lang.Double.NaN;
  119.     private double _level2AHaircut = java.lang.Double.NaN;
  120.     private double _level2BHaircut = java.lang.Double.NaN;
  121.     private double _level1RiskWeight = java.lang.Double.NaN;
  122.     private double _level2ARiskWeight = java.lang.Double.NaN;
  123.     private double _level2BRiskWeight = java.lang.Double.NaN;

  125.     /**
  126.      * Retrieve the Federal Reserve Version of the HQLA Settings Standard
  127.      * 
  128.      * @return The Federal Reserve Version of the HQLA Settings Standard
  129.      */

  131.     public static final HighQualityLiquidAssetSettings FederalReserveStandard()
  132.     {
  133.         try
  134.         {
  135.             return new HighQualityLiquidAssetSettings (
  136.                 0.00,
  137.                 0.00,
  138.                 0.15,
  139.                 0.20,
  140.                 0.50,
  141.                 0.50
  142.             );
  143.         }
  144.         catch (java.lang.Exception e)
  145.         {
  146.             e.printStackTrace();
  147.         }

  149.         return null;
  150.     }

  152.     /**
  153.      * HighQualityLiquidAssetSettings Constructor
  154.      * 
  155.      * @param level1Haircut Level 1 HQLA Haircut
  156.      * @param level1RiskWeight Level 1 HQLA Risk-Weight
  157.      * @param level2AHaircut Level 2A HQLA Haircut
  158.      * @param level2ARiskWeight Level 2A HQLA Risk-Weight
  159.      * @param level2BHaircut Level 2B HQLA Haircut
  160.      * @param level2BRiskWeight Level 2B HQLA Risk-Weight
  161.      * 
  162.      * @throws java.lang.Exception Thrown if the Inputs are Invalid
  163.      */

  165.     public HighQualityLiquidAssetSettings (
  166.         final double level1Haircut,
  167.         final double level1RiskWeight,
  168.         final double level2AHaircut,
  169.         final double level2ARiskWeight,
  170.         final double level2BHaircut,
  171.         final double level2BRiskWeight)
  172.         throws java.lang.Exception
  173.     {
  174.         if (!org.drip.numerical.common.NumberUtil.IsValid (_level1Haircut = level1Haircut) ||
  175.                 0. > _level1Haircut || 1. < _level1Haircut ||
  176.             !org.drip.numerical.common.NumberUtil.IsValid (_level1RiskWeight = level1RiskWeight) ||
  177.                 0. > _level1RiskWeight ||
  178.             !org.drip.numerical.common.NumberUtil.IsValid (_level2AHaircut = level2AHaircut) ||
  179.                 0. > _level2AHaircut || 1. < _level2AHaircut ||
  180.             !org.drip.numerical.common.NumberUtil.IsValid (_level2ARiskWeight = level2ARiskWeight) ||
  181.                 0. > _level2ARiskWeight ||
  182.             !org.drip.numerical.common.NumberUtil.IsValid (_level2BHaircut = level2BHaircut) ||
  183.                 0. > _level2BHaircut || 1. < _level2BHaircut ||
  184.             !org.drip.numerical.common.NumberUtil.IsValid (_level2BRiskWeight = level2BRiskWeight) ||
  185.                 0. > _level2BRiskWeight)
  186.         {
  187.             throw new java.lang.Exception ("HighQualityLiquidAssetSettings Constructor => Invalid Inputs");
  188.         }
  189.     }

  191.     /**
  192.      * Retrieve the Level 1 Risk Weight
  193.      * 
  194.      * @return The Level 1 Risk Weight
  195.      */

  197.     public double level1RiskWeight()
  198.     {
  199.         return _level1RiskWeight;
  200.     }

  202.     /**
  203.      * Retrieve the Level 1 Haircut
  204.      * 
  205.      * @return The Level 1 Haircut
  206.      */

  208.     public double level1Haircut()
  209.     {
  210.         return _level1Haircut;
  211.     }

  213.     /**
  214.      * Retrieve the Level 2A Risk Weight
  215.      * 
  216.      * @return The Level 2A Risk Weight
  217.      */

  219.     public double level2ARiskWeight()
  220.     {
  221.         return _level2ARiskWeight;
  222.     }

  224.     /**
  225.      * Retrieve the Level 2A Haircut
  226.      * 
  227.      * @return The Level 2A Haircut
  228.      */

  230.     public double level2AHaircut()
  231.     {
  232.         return _level2AHaircut;
  233.     }

  235.     /**
  236.      * Retrieve the Level 2B Risk Weight
  237.      * 
  238.      * @return The Level 2B Risk Weight
  239.      */

  241.     public double level2BRiskWeight()
  242.     {
  243.         return _level2BRiskWeight;
  244.     }

  246.     /**
  247.      * Retrieve the Level 2B Haircut
  248.      * 
  249.      * @return The Level 2B Haircut
  250.      */

  252.     public double level2BHaircut()
  253.     {
  254.         return _level2BHaircut;
  255.     }
  256. }
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