HighQualityLiquidAssetCompliance.java
package org.drip.sample.bcbs;
import org.drip.capital.bcbs.HighQualityLiquidAsset;
import org.drip.capital.bcbs.HighQualityLiquidAssetSettings;
import org.drip.capital.bcbs.HighQualityLiquidAssetStandard;
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>HighQualityLiquidAssetCompliance</i> illustrates the Basel III/Jurisdictional Compliance Checks
* associated with High Quality Liquid Assets. 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 HighQualityLiquidAssetCompliance
{
public static final void main (
final String[] argumentArray)
throws Exception
{
EnvManager.InitEnv ("");
HighQualityLiquidAssetStandard hqlaStandardFed = HighQualityLiquidAssetStandard.FederalReserve();
HighQualityLiquidAssetSettings hqlaSettings =
HighQualityLiquidAssetSettings.FederalReserveStandard();
double level1 = 60.;
double level2A = 25.;
double level2B = 15.;
HighQualityLiquidAsset hqla = new HighQualityLiquidAsset (
level1,
level2A,
level2B
);
System.out.println ("\t|-------------------------|");
System.out.println ("\t| HQLA Compliance Ratios |");
System.out.println ("\t|-------------------------|");
System.out.println ("\t| Level 2 Ratio => " +
FormatUtil.FormatDouble (hqlaStandardFed.level2Ratio(), 1, 2, 1.) + " |"
);
System.out.println ("\t| Level 2B Ratio => " +
FormatUtil.FormatDouble (hqlaStandardFed.level2BRatio(), 1, 2, 1.) + " |"
);
System.out.println ("\t|-------------------------|");
System.out.println();
System.out.println ("\t|-------------------------------|");
System.out.println ("\t| HQLA Fed Settings |");
System.out.println ("\t|-------------------------------|");
System.out.println ("\t| Level 1 Hair Cut => " +
FormatUtil.FormatDouble (hqlaSettings.level1Haircut(), 1, 2, 1.) + " |"
);
System.out.println ("\t| Level 1 Risk Weight => " +
FormatUtil.FormatDouble (hqlaSettings.level1RiskWeight(), 1, 2, 1.) + " |"
);
System.out.println ("\t| Level 2A Hair Cut => " +
FormatUtil.FormatDouble (hqlaSettings.level2AHaircut(), 1, 2, 1.) + " |"
);
System.out.println ("\t| Level 2A Risk Weight => " +
FormatUtil.FormatDouble (hqlaSettings.level2ARiskWeight(), 1, 2, 1.) + " |"
);
System.out.println ("\t| Level 2B Hair Cut => " +
FormatUtil.FormatDouble (hqlaSettings.level2BHaircut(), 1, 2, 1.) + " |"
);
System.out.println ("\t| Level 2B Risk Weight => " +
FormatUtil.FormatDouble (hqlaSettings.level2BRiskWeight(), 1, 2, 1.) + " |"
);
System.out.println ("\t|-------------------------------|");
System.out.println();
System.out.println ("\t|-------------------------------|");
System.out.println ("\t| HQLA Composite Metrics |");
System.out.println ("\t|-------------------------------|");
System.out.println ("\t| Level 1 => " +
FormatUtil.FormatDouble (hqla.level1(), 3, 1, 1.) + " |"
);
System.out.println ("\t| Level 2A => " +
FormatUtil.FormatDouble (hqla.level2A(), 3, 1, 1.) + " |"
);
System.out.println ("\t| Level 2B => " +
FormatUtil.FormatDouble (hqla.level2B(), 3, 1, 1.) + " |"
);
System.out.println ("\t| Total => " +
FormatUtil.FormatDouble (hqla.total(), 3, 1, 1.) + " |"
);
System.out.println ("\t| Level 2 Ratio => " +
FormatUtil.FormatDouble (hqla.level2Ratio(), 1, 2, 1.) + " |"
);
System.out.println ("\t| Level 2B Ratio => " +
FormatUtil.FormatDouble (hqla.level2BRatio(), 1, 2, 1.) + " |"
);
System.out.println ("\t| Fed HQLA Compliant => " + hqla.isCompliant (hqlaStandardFed) + " |");
System.out.println ("\t| HQLA Adjusted Total => " +
FormatUtil.FormatDouble (hqla.totalRiskWeightAndHaircut (hqlaSettings), 3, 1, 1.) + " |"
);
System.out.println ("\t|-------------------------------|");
EnvManager.TerminateEnv();
}
}