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

  115. public class LiquidityMetrics
  116. {
  117.     private double _netStableFundingRatio = java.lang.Double.NaN;
  118.     private double _liquidityCoverageRatio = java.lang.Double.NaN;

  120.     /**
  121.      * Construct the Basel III 2015 Version of the Liquidity Metrics Standard
  122.      * 
  123.      * @return The Basel III 2015 Version of the Liquidity Metrics Standard
  124.      */

  126.     public static final LiquidityMetrics Basel_III_2015()
  127.     {
  128.         try
  129.         {
  130.             return new LiquidityMetrics (
  131.                 0.60,
  132.                 0.00
  133.             );
  134.         }
  135.         catch (java.lang.Exception e)
  136.         {
  137.             e.printStackTrace();
  138.         }

  140.         return null;
  141.     }

  143.     /**
  144.      * Construct the Basel III 2016 Version of the Liquidity Metrics Standard
  145.      * 
  146.      * @return The Basel III 2016 Version of the Liquidity Metrics Standard
  147.      */

  149.     public static final LiquidityMetrics Basel_III_2016()
  150.     {
  151.         try
  152.         {
  153.             return new LiquidityMetrics (
  154.                 0.70,
  155.                 0.00
  156.             );
  157.         }
  158.         catch (java.lang.Exception e)
  159.         {
  160.             e.printStackTrace();
  161.         }

  163.         return null;
  164.     }

  166.     /**
  167.      * Construct the Basel III 2017 Version of the Liquidity Metrics Standard
  168.      * 
  169.      * @return The Basel III 2017 Version of the Liquidity Metrics Standard
  170.      */

  172.     public static final LiquidityMetrics Basel_III_2017()
  173.     {
  174.         try
  175.         {
  176.             return new LiquidityMetrics (
  177.                 0.80,
  178.                 0.00
  179.             );
  180.         }
  181.         catch (java.lang.Exception e)
  182.         {
  183.             e.printStackTrace();
  184.         }

  186.         return null;
  187.     }

  189.     /**
  190.      * Construct the Basel III 2018 Version of the Liquidity Metrics Standard
  191.      * 
  192.      * @return The Basel III 2018 Version of the Liquidity Metrics Standard
  193.      */

  195.     public static final LiquidityMetrics Basel_III_2018()
  196.     {
  197.         try
  198.         {
  199.             return new LiquidityMetrics (
  200.                 0.90,
  201.                 1.00
  202.             );
  203.         }
  204.         catch (java.lang.Exception e)
  205.         {
  206.             e.printStackTrace();
  207.         }

  209.         return null;
  210.     }

  212.     /**
  213.      * Construct the Basel III 2019 Version of the Liquidity Metrics Standard
  214.      * 
  215.      * @return The Basel III 2019 Version of the Liquidity Metrics Standard
  216.      */

  218.     public static final LiquidityMetrics Basel_III_2019()
  219.     {
  220.         try
  221.         {
  222.             return new LiquidityMetrics (
  223.                 1.00,
  224.                 1.00
  225.             );
  226.         }
  227.         catch (java.lang.Exception e)
  228.         {
  229.             e.printStackTrace();
  230.         }

  232.         return null;
  233.     }

  235.     /**
  236.      * LiquidityMetrics Constructor
  237.      * 
  238.      * @param liquidityCoverageRatio The Liquidity Coverage Ratio
  239.      * @param netStableFundingRatio The Net Stable Funding Ratio
  240.      * 
  241.      * @throws java.lang.Exception Thrown if the Inputs are Invalid
  242.      */

  244.     public LiquidityMetrics (
  245.         final double liquidityCoverageRatio,
  246.         final double netStableFundingRatio)
  247.         throws java.lang.Exception
  248.     {
  249.         if (!org.drip.numerical.common.NumberUtil.IsValid (_liquidityCoverageRatio = liquidityCoverageRatio) ||
  250.                 0. > _liquidityCoverageRatio ||
  251.             !org.drip.numerical.common.NumberUtil.IsValid (_netStableFundingRatio = netStableFundingRatio) ||
  252.                 0. > _netStableFundingRatio)
  253.         {
  254.             throw new java.lang.Exception ("LiquidityMetrics Constructor => Invalid Inputs");
  255.         }
  256.     }

  258.     /**
  259.      * Retrieve the Liquidity Coverage Ratio
  260.      * 
  261.      * @return The Liquidity Coverage Ratio
  262.      */

  264.     public double liquidityCoverageRatio()
  265.     {
  266.         return _liquidityCoverageRatio;
  267.     }

  269.     /**
  270.      * Retrieve the Net Stable Funding Ratio
  271.      * 
  272.      * @return The Net Stable Funding Ratio
  273.      */

  275.     public double netStableFundingRatio()
  276.     {
  277.         return _netStableFundingRatio;
  278.     }

  280.     /**
  281.      * Verify if the Liquidity Metrics are Compliant with the Standard
  282.      * 
  283.      * @param liquidityMetricsStandard The Liquidity Metrics Standard
  284.      * 
  285.      * @return TRUE - The Liquidity Metrics are Compliant with the Standard
  286.      */

  288.     public boolean isCompliant (
  289.         final org.drip.capital.bcbs.LiquidityMetrics liquidityMetricsStandard)
  290.     {
  291.         if (null == liquidityMetricsStandard)
  292.         {
  293.             return false;
  294.         }

  296.         return _liquidityCoverageRatio >= liquidityMetricsStandard.liquidityCoverageRatio() &&
  297.             _netStableFundingRatio >= liquidityMetricsStandard.netStableFundingRatio();
  298.     }
  299. }
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