BaselPhaseInArrangements.java

package org.drip.sample.bcbs;

import org.drip.capital.bcbs.CapitalMetricsStandard;
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>BaselPhaseInArrangements</i> illustrates the Basel III Capital/Liquidity Phase-in Arrangement Schedule.
 * 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 BaselPhaseInArrangements
{

    private static final void DisplayLeverageRatio (
        final CapitalMetricsStandard[] capitalMetricsStandardArray)
    {
        String leverageRatio =
            "\t| Leverage                                                  => ";

        for (CapitalMetricsStandard capitalMetricsStandard : capitalMetricsStandardArray)
        {
            leverageRatio = leverageRatio +
                FormatUtil.FormatDouble (capitalMetricsStandard.leverageRatio(), 1, 3, 100.) + "% |";
        }

        System.out.println (leverageRatio + "|");
    }

    private static final void MinimumCommonEquityCapitalRatio (
        final CapitalMetricsStandard[] capitalMetricsStandardArray)
    {
        String minimumCommonEquityCapitalRatio =
            "\t| Minimum Common Equity Capital Ratio                       => ";

        for (CapitalMetricsStandard capitalMetricsStandard : capitalMetricsStandardArray)
        {
            minimumCommonEquityCapitalRatio = minimumCommonEquityCapitalRatio +
                FormatUtil.FormatDouble (capitalMetricsStandard.commonEquityRatio(), 1, 3, 100.) + "% |";
        }

        System.out.println (minimumCommonEquityCapitalRatio + "|");
    }

    private static final void CapitalConservationBufferRatio (
        final CapitalMetricsStandard[] capitalMetricsStandardArray)
    {
        String capitalConservationBufferRatio =
            "\t| Capital Conservation Ratio                                => ";

        for (CapitalMetricsStandard capitalMetricsStandard : capitalMetricsStandardArray)
        {
            capitalConservationBufferRatio = capitalConservationBufferRatio +
                FormatUtil.FormatDouble (capitalMetricsStandard.conservationBufferRatio(), 1, 3, 100.) + "% |";
        }

        System.out.println (capitalConservationBufferRatio + "|");
    }

    private static final void MinimumCommonEquityPlusCapitalConservationBufferRatio (
        final CapitalMetricsStandard[] capitalMetricsStandardArray)
    {
        String minimumCommonEquityPlusCapitalConservationBufferRatio =
            "\t| Minimum Common Equity + Capital Conservation Buffer Ratio => ";

        for (CapitalMetricsStandard capitalMetricsStandard : capitalMetricsStandardArray)
        {
            minimumCommonEquityPlusCapitalConservationBufferRatio =
                minimumCommonEquityPlusCapitalConservationBufferRatio + FormatUtil.FormatDouble
                    (capitalMetricsStandard.commonEquityPlusConservationBufferRatio(), 1, 3, 100.) + "% |";
        }

        System.out.println (minimumCommonEquityPlusCapitalConservationBufferRatio + "|");
    }

    private static final void PhaseInOfDeductionsFromCET1 (
        final CapitalMetricsStandard[] capitalMetricsStandardArray)
    {
        String phaseInOfDeductionsFromCET1 =
            "\t| Phase-in of Deductions from CET1                          => ";

        for (CapitalMetricsStandard capitalMetricsStandard : capitalMetricsStandardArray)
        {
            phaseInOfDeductionsFromCET1 = phaseInOfDeductionsFromCET1 +
                FormatUtil.FormatDouble (capitalMetricsStandard.cet1DeductionsPhaseIn(), 3, 1, 100.) + "% |";
        }

        System.out.println (phaseInOfDeductionsFromCET1 + "|");
    }

    private static final void MinimumTier1CapitalRatio (
        final CapitalMetricsStandard[] capitalMetricsStandardArray)
    {
        String minimumTier1CapitalRatio =
            "\t| Minimum Tier 1 Capital Ratio                              => ";

        for (CapitalMetricsStandard capitalMetricsStandard : capitalMetricsStandardArray)
        {
            minimumTier1CapitalRatio = minimumTier1CapitalRatio +
                FormatUtil.FormatDouble (capitalMetricsStandard.tier1Ratio(), 1, 3, 100.) + "% |";
        }

        System.out.println (minimumTier1CapitalRatio + "|");
    }

    private static final void MinimumTotalCapitalRatio (
        final CapitalMetricsStandard[] capitalMetricsStandardArray)
    {
        String minimumTotalCapitalRatio =
            "\t| Minimum Total Capital Ratio                               => ";

        for (CapitalMetricsStandard capitalMetricsStandard : capitalMetricsStandardArray)
        {
            minimumTotalCapitalRatio = minimumTotalCapitalRatio +
                FormatUtil.FormatDouble (capitalMetricsStandard.totalRatio(), 1, 3, 100.) + "% |";
        }

        System.out.println (minimumTotalCapitalRatio + "|");
    }

    private static final void MinimumTotalCapitalPlusConservationBufferRatio (
        final CapitalMetricsStandard[] capitalMetricsStandardArray)
    {
        String minimumTotalCapitalPlusConservationBufferRatio =
            "\t| Minimum Total Capital Plus Conservation Buffer Ratio      => ";

        for (CapitalMetricsStandard capitalMetricsStandard : capitalMetricsStandardArray)
        {
            minimumTotalCapitalPlusConservationBufferRatio = minimumTotalCapitalPlusConservationBufferRatio +
                FormatUtil.FormatDouble (capitalMetricsStandard.totalPlusConservationBufferRatio(), 1, 3, 100.) + "% |";
        }

        System.out.println (minimumTotalCapitalPlusConservationBufferRatio + "|");
    }

    private static final void LiquidityCoverageRatioMinimumRequirement (
        final LiquidityMetrics[] liquidityMetricsArray)
    {
        String liquidityCoverageRatioMinimumRequirement =
            "\t| Liquidity Coverage Ratio - Minimum Requirement => ";

        for (LiquidityMetrics liquidityMetrics : liquidityMetricsArray)
        {
            liquidityCoverageRatioMinimumRequirement = liquidityCoverageRatioMinimumRequirement +
                FormatUtil.FormatDouble (liquidityMetrics.liquidityCoverageRatio(), 3, 1, 100.) + "% |";
        }

        System.out.println (liquidityCoverageRatioMinimumRequirement + "|");
    }

    private static final void NetStableFundingRatio (
        final LiquidityMetrics[] liquidityMetricsArray)
    {
        String netStableFundingRatio = "\t| Net Stable Funding Ratio                       => ";

        for (LiquidityMetrics liquidityMetrics : liquidityMetricsArray)
        {
            netStableFundingRatio = netStableFundingRatio +
                FormatUtil.FormatDouble (liquidityMetrics.netStableFundingRatio(), 3, 1, 100.) + "% |";
        }

        System.out.println (netStableFundingRatio + "|");
    }

    public static final void main (
        final String[] argumentArray)
        throws Exception
    {
        EnvManager.InitEnv ("");

        CapitalMetricsStandard[] capitalMetricsStandardArray = {
            CapitalMetricsStandard.Basel_III_2013(),
            CapitalMetricsStandard.Basel_III_2014(),
            CapitalMetricsStandard.Basel_III_2015(),
            CapitalMetricsStandard.Basel_III_2016(),
            CapitalMetricsStandard.Basel_III_2017(),
            CapitalMetricsStandard.Basel_III_2018(),
            CapitalMetricsStandard.Basel_III_2019(),
            CapitalMetricsStandard.US_SIFI(),
            CapitalMetricsStandard.US_SIFI_BHC()
        };

        LiquidityMetrics[] liquidityMetricsArray = {
            LiquidityMetrics.Basel_III_2015(),
            LiquidityMetrics.Basel_III_2016(),
            LiquidityMetrics.Basel_III_2017(),
            LiquidityMetrics.Basel_III_2018(),
            LiquidityMetrics.Basel_III_2019()
        };

        System.out.println
            ("\t|----------------------------------------------------------------------------------------------------------------------------------------------||");

        System.out.println
            ("\t|                                                            BASEL III Phase-in Arrangements - Capital                                         ||");

        System.out.println
            ("\t|----------------------------------------------------------------------------------------------------------------------------------------------||");

        System.out.println (
            "\t|                           Year                            =>   2013  |  2014  |  2015  |  2016  |  2017  |  2018  |  2019  |  SIFI  |  BHC   ||"
        );

        System.out.println
            ("\t|----------------------------------------------------------------------------------------------------------------------------------------------||");

        DisplayLeverageRatio (capitalMetricsStandardArray);

        MinimumCommonEquityCapitalRatio (capitalMetricsStandardArray);

        CapitalConservationBufferRatio (capitalMetricsStandardArray);

        MinimumCommonEquityPlusCapitalConservationBufferRatio (capitalMetricsStandardArray);

        PhaseInOfDeductionsFromCET1 (capitalMetricsStandardArray);

        MinimumTier1CapitalRatio (capitalMetricsStandardArray);

        MinimumTotalCapitalRatio (capitalMetricsStandardArray);

        MinimumTotalCapitalPlusConservationBufferRatio (capitalMetricsStandardArray);

        System.out.println
            ("\t|----------------------------------------------------------------------------------------------------------------------------------------------||");

        System.out.println();

        System.out.println
            ("\t|-----------------------------------------------------------------------------------------------||");

        System.out.println
            ("\t|                          BASEL III Phase-in Arrangements - Liquidity                          ||");

        System.out.println
            ("\t|-----------------------------------------------------------------------------------------------||");

        System.out.println (
            "\t|                      Year                      =>   2015  |  2016  |  2017  |  2018  |  2019  ||"
        );

        System.out.println
            ("\t|-----------------------------------------------------------------------------------------------||");

        LiquidityCoverageRatioMinimumRequirement (liquidityMetricsArray);

        NetStableFundingRatio (liquidityMetricsArray);

        System.out.println
            ("\t|-----------------------------------------------------------------------------------------------||");

        System.out.println();

        EnvManager.TerminateEnv();
    }
}