Basel32019Compliance.java
- package org.drip.sample.bcbs;
- import org.drip.capital.bcbs.BalanceSheet;
- import org.drip.capital.bcbs.BalanceSheetCapital;
- import org.drip.capital.bcbs.BalanceSheetFunding;
- import org.drip.capital.bcbs.BalanceSheetLiquidity;
- import org.drip.capital.bcbs.CapitalMetricsStandard;
- import org.drip.capital.bcbs.HighQualityLiquidAsset;
- import org.drip.capital.bcbs.HighQualityLiquidAssetSettings;
- import org.drip.capital.bcbs.LiquidityMetrics;
- import org.drip.numerical.common.FormatUtil;
- import org.drip.service.env.EnvManager;
- /*
- * -*- 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>Basel32019Compliance</i> illustrates the Basel III 2019 Capital Metrics Compliance Checks along with
- * Liquidity Compliance Checks for several Liquidity Metrics Standards. Liquidity Criteria correspond to
- * Large BHC's. 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/sample/README.md">DROP API Construction and Usage</a></li>
- * <li><b>Package</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/src/main/java/org/drip/sample/bcbs/README.md">BCBS/Jurisdictional Capital/Leverage Compliance Checks</a></li>
- * </ul>
- *
- * @author Lakshmi Krishnamurthy
- */
- public class Basel32019Compliance
- {
- public static final void main (
- final String[] argumentArray)
- throws Exception
- {
- EnvManager.InitEnv ("");
- HighQualityLiquidAssetSettings hqlaSettings =
- HighQualityLiquidAssetSettings.FederalReserveStandard();
- /*
- * Capital Parameters
- */
- double cet1 = 450.;
- double at1 = 150.;
- double additionalCapital = 200.;
- double rwa = 5000.;
- double totalExposure = 4000.;
- /*
- * HQLA Parameters
- */
- double level1 = 60.;
- double level2A = 25.;
- double level2B = 15.;
- /*
- * Liquidity Parameters
- */
- double netCashOutflowAmount = 75.;
- /*
- * Stable Funding Parameters
- */
- double stableFundingAmount = 500.;
- double extendedStressFundingAmount = 400.;
- CapitalMetricsStandard capitalMetricsStandard = CapitalMetricsStandard.Basel_III_2019();
- BalanceSheet balanceSheet = new BalanceSheet (
- new BalanceSheetCapital (
- cet1,
- at1,
- additionalCapital,
- rwa,
- totalExposure
- ),
- BalanceSheetLiquidity.LargeBHC (
- new HighQualityLiquidAsset (
- level1,
- level2A,
- level2B
- ),
- netCashOutflowAmount
- ),
- new BalanceSheetFunding (
- stableFundingAmount,
- extendedStressFundingAmount,
- "1Y"
- )
- );
- System.out.println ("\t|-------------------------------------------------------------------||");
- System.out.println ("\t| Basel III 2019 Liquidity Standards Compliance ||");
- System.out.println ("\t|-------------------------------------------------------------------||");
- System.out.println (
- "\t| CET1 Ratio (vs. Standard) => " +
- FormatUtil.FormatDouble (balanceSheet.cet1Ratio(), 3, 2, 100.) + "% | " +
- FormatUtil.FormatDouble (capitalMetricsStandard.commonEquityRatio(), 3, 2, 100.) + "%"
- );
- System.out.println (
- "\t| Tier 1 Ratio (vs. Standard) => " +
- FormatUtil.FormatDouble (balanceSheet.tier1Ratio(), 3, 2, 100.) + "% | " +
- FormatUtil.FormatDouble (capitalMetricsStandard.tier1Ratio(), 3, 2, 100.) + "%"
- );
- System.out.println (
- "\t| Total Capital Ratio (vs. Standard) => " +
- FormatUtil.FormatDouble (balanceSheet.totalCapitalRatio(), 3, 2, 100.) + "% | " +
- FormatUtil.FormatDouble (capitalMetricsStandard.totalRatio(), 3, 2, 100.) + "%"
- );
- System.out.println (
- "\t| Leverage Ratio => " +
- FormatUtil.FormatDouble (balanceSheet.leverageRatio(), 3, 2, 100.) + "% | " +
- FormatUtil.FormatDouble (capitalMetricsStandard.leverageRatio(), 3, 2, 100.) + "%"
- );
- System.out.println (
- "\t| Liquidity Coverage Ratio => " +
- FormatUtil.FormatDouble (balanceSheet.liquidityCoverageRatio (hqlaSettings), 3, 2, 100.) + "%"
- );
- System.out.println (
- "\t| Net Stable Funding Ratio => " +
- FormatUtil.FormatDouble (balanceSheet.netStableFundingRatio(), 3, 2, 100.) + "%"
- );
- System.out.println (
- "\t| Capital Metrics Compliance => " +
- balanceSheet.capitalMetrics().isCompliant (capitalMetricsStandard)
- );
- System.out.println ("\t|-------------------------------------------------------------------||");
- System.out.println();
- System.out.println ("\t|-------------------------------------------------------------------||");
- System.out.println ("\t| Cross Vintage Liquidity Standard ||");
- System.out.println ("\t|-------------------------------------------------------------------||");
- System.out.println ("\t| Year => 2015 | 2016 | 2017 | 2018 | 2019 ||");
- System.out.println ("\t|-------------------------------------------------------------------||");
- String liquidityMetricsCompliance = "\t| Liquidity Metrics Compliance => ";
- liquidityMetricsCompliance = liquidityMetricsCompliance +
- balanceSheet.liquidityMetrics (hqlaSettings).isCompliant (LiquidityMetrics.Basel_III_2015()) + " | ";
- liquidityMetricsCompliance = liquidityMetricsCompliance +
- balanceSheet.liquidityMetrics (hqlaSettings).isCompliant (LiquidityMetrics.Basel_III_2016()) + " | ";
- liquidityMetricsCompliance = liquidityMetricsCompliance +
- balanceSheet.liquidityMetrics (hqlaSettings).isCompliant (LiquidityMetrics.Basel_III_2017()) + " | ";
- liquidityMetricsCompliance = liquidityMetricsCompliance +
- balanceSheet.liquidityMetrics (hqlaSettings).isCompliant (LiquidityMetrics.Basel_III_2018()) + " | ";
- liquidityMetricsCompliance = liquidityMetricsCompliance +
- balanceSheet.liquidityMetrics (hqlaSettings).isCompliant (LiquidityMetrics.Basel_III_2019()) + " ||";
- System.out.println (liquidityMetricsCompliance);
- System.out.println ("\t|-------------------------------------------------------------------||");
- System.out.println();
- EnvManager.TerminateEnv();
- }
- }