BalanceSheetVertex.java

  1. package org.drip.xva.basel;

  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.  * Copyright (C) 2018 Lakshmi Krishnamurthy
  11.  * Copyright (C) 2017 Lakshmi Krishnamurthy
  12.  * 
  13.  *  This file is part of DROP, an open-source library targeting analytics/risk, transaction cost analytics,
  14.  *      asset liability management analytics, capital, exposure, and margin analytics, valuation adjustment
  15.  *      analytics, and portfolio construction analytics within and across fixed income, credit, commodity,
  16.  *      equity, FX, and structured products. It also includes auxiliary libraries for algorithm support,
  17.  *      numerical analysis, numerical optimization, spline builder, model validation, statistical learning,
  18.  *      and computational support.
  19.  *  
  20.  *      https://lakshmidrip.github.io/DROP/
  21.  *  
  22.  *  DROP is composed of three modules:
  23.  *  
  24.  *  - DROP Product Core - https://lakshmidrip.github.io/DROP-Product-Core/
  25.  *  - DROP Portfolio Core - https://lakshmidrip.github.io/DROP-Portfolio-Core/
  26.  *  - DROP Computational Core - https://lakshmidrip.github.io/DROP-Computational-Core/
  27.  * 
  28.  *  DROP Product Core implements libraries for the following:
  29.  *  - Fixed Income Analytics
  30.  *  - Loan Analytics
  31.  *  - Transaction Cost Analytics
  32.  * 
  33.  *  DROP Portfolio Core implements libraries for the following:
  34.  *  - Asset Allocation Analytics
  35.  *  - Asset Liability Management Analytics
  36.  *  - Capital Estimation Analytics
  37.  *  - Exposure Analytics
  38.  *  - Margin Analytics
  39.  *  - XVA Analytics
  40.  * 
  41.  *  DROP Computational Core implements libraries for the following:
  42.  *  - Algorithm Support
  43.  *  - Computation Support
  44.  *  - Function Analysis
  45.  *  - Model Validation
  46.  *  - Numerical Analysis
  47.  *  - Numerical Optimizer
  48.  *  - Spline Builder
  49.  *  - Statistical Learning
  50.  * 
  51.  *  Documentation for DROP is Spread Over:
  52.  * 
  53.  *  - Main                     => https://lakshmidrip.github.io/DROP/
  54.  *  - Wiki                     => https://github.com/lakshmiDRIP/DROP/wiki
  55.  *  - GitHub                   => https://github.com/lakshmiDRIP/DROP
  56.  *  - Repo Layout Taxonomy     => https://github.com/lakshmiDRIP/DROP/blob/master/Taxonomy.md
  57.  *  - Javadoc                  => https://lakshmidrip.github.io/DROP/Javadoc/index.html
  58.  *  - Technical Specifications => https://github.com/lakshmiDRIP/DROP/tree/master/Docs/Internal
  59.  *  - Release Versions         => https://lakshmidrip.github.io/DROP/version.html
  60.  *  - Community Credits        => https://lakshmidrip.github.io/DROP/credits.html
  61.  *  - Issues Catalog           => https://github.com/lakshmiDRIP/DROP/issues
  62.  *  - JUnit                    => https://lakshmidrip.github.io/DROP/junit/index.html
  63.  *  - Jacoco                   => https://lakshmidrip.github.io/DROP/jacoco/index.html
  64.  * 
  65.  *  Licensed under the Apache License, Version 2.0 (the "License");
  66.  *      you may not use this file except in compliance with the License.
  67.  *   
  68.  *  You may obtain a copy of the License at
  69.  *      http://www.apache.org/licenses/LICENSE-2.0
  70.  *  
  71.  *  Unless required by applicable law or agreed to in writing, software
  72.  *      distributed under the License is distributed on an "AS IS" BASIS,
  73.  *      WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
  74.  *  
  75.  *  See the License for the specific language governing permissions and
  76.  *      limitations under the License.
  77.  */

  79. /**
  80.  * <i>BalanceSheetVertex</i> implements the Balance Sheet Vertex Component of the Streamlined Accounting
  81.  * Framework for OTC Derivatives, as described in Albanese and Andersen (2014). The References are:
  82.  *  
  83.  *  <br><br>
  84.  *  <ul>
  85.  *      <li>
  86.  *          Albanese, C., and L. Andersen (2014): Accounting for OTC Derivatives: Funding Adjustments and the
  87.  *              Re-Hypothecation Option https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2482955
  88.  *              <b>eSSRN</b>
  89.  *      </li>
  90.  *      <li>
  91.  *          BCBS (2012): <i>Consultative Document: Application of Own Credit Risk Adjustments to
  92.  *              Derivatives</i> <b>Basel Committee on Banking Supervision</b>
  93.  *      </li>
  94.  *      <li>
  95.  *          Burgard, C., and M. Kjaer (2014): PDE Representations of Derivatives with Bilateral Counter-party
  96.  *              Risk and Funding Costs <i>Journal of Credit Risk</i> <b>7 (3)</b> 1-19
  97.  *      </li>
  98.  *      <li>
  99.  *          Burgard, C., and M. Kjaer (2014): In the Balance <i>Risk</i> <b>24 (11)</b> 72-75
  100.  *      </li>
  101.  *      <li>
  102.  *          Piterbarg, V. (2010): Funding Beyond Discounting: Collateral Agreements and Derivatives Pricing
  103.  *              <i>Risk</i> <b>21 (2)</b> 97-102
  104.  *      </li>
  105.  *  </ul>
  106.  *
  107.  *  <br><br>
  108.  *  <ul>
  109.  *      <li><b>Module </b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/PortfolioCore.md">Portfolio Core Module</a></li>
  110.  *      <li><b>Library</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/XVAAnalyticsLibrary.md">XVA Analytics Library</a></li>
  111.  *      <li><b>Project</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/src/main/java/org/drip/xva/README.md">Valuation Adjustments that account for Collateral, CC Credit/Debt and Funding Overhead</a></li>
  112.  *      <li><b>Package</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/src/main/java/org/drip/xva/basel/README.md">XVA Based Basel Accounting Measures</a></li>
  113.  *  </ul>
  114.  * <br><br>
  115.  * 
  116.  * @author Lakshmi Krishnamurthy
  117.  */

  119. public class BalanceSheetVertex
  120. {
  121.     private double _cash = java.lang.Double.NaN;
  122.     private double _asset = java.lang.Double.NaN;
  123.     private double _liability = java.lang.Double.NaN;
  124.     private double _contraAsset = java.lang.Double.NaN;
  125.     private double _contraLiability = java.lang.Double.NaN;
  126.     private double _retainedEarnings = java.lang.Double.NaN;

  128.     /**
  129.      * Unrealized Instance of BalanceSheetVertex
  130.      * 
  131.      * @param asset The Asset Account
  132.      * @param liability The Liability Account
  133.      * @param contraAsset The Contra Asset Account
  134.      * @param contraLiability The Contra Liability Account
  135.      * @param retainedEarnings The Retained Earnings Account
  136.      * 
  137.      * @return The Unrealized BalanceSheetVertex Instance
  138.      */

  140.     public static final BalanceSheetVertex Unrealized (
  141.         final double asset,
  142.         final double liability,
  143.         final double contraAsset,
  144.         final double contraLiability,
  145.         final double retainedEarnings)
  146.     {
  147.         try
  148.         {
  149.             return new BalanceSheetVertex (
  150.                 asset,
  151.                 liability,
  152.                 contraAsset,
  153.                 contraLiability,
  154.                 retainedEarnings,
  155.                 0.
  156.             );
  157.         }
  158.         catch (java.lang.Exception e)
  159.         {
  160.             e.printStackTrace();
  161.         }

  163.         return null;
  164.     }

  166.     /**
  167.      * BalanceSheetVertex Constructor
  168.      * 
  169.      * @param asset The Asset Account
  170.      * @param liability The Liability Account
  171.      * @param contraAsset The Contra Asset Account
  172.      * @param contraLiability The Contra Liability Account
  173.      * @param retainedEarnings The Retained Earnings Account
  174.      * @param cash The Cash Account
  175.      * 
  176.      * @throws java.lang.Exception Thrown if the Inputs are Invalid
  177.      */

  179.     public BalanceSheetVertex (
  180.         final double asset,
  181.         final double liability,
  182.         final double contraAsset,
  183.         final double contraLiability,
  184.         final double retainedEarnings,
  185.         final double cash)
  186.         throws java.lang.Exception
  187.     {
  188.         if (!org.drip.numerical.common.NumberUtil.IsValid (_cash = cash) ||
  189.             !org.drip.numerical.common.NumberUtil.IsValid (_asset = asset) ||
  190.             !org.drip.numerical.common.NumberUtil.IsValid (_liability = liability) ||
  191.             !org.drip.numerical.common.NumberUtil.IsValid (_contraAsset = contraAsset) ||
  192.             !org.drip.numerical.common.NumberUtil.IsValid (_contraLiability = contraLiability) ||
  193.             !org.drip.numerical.common.NumberUtil.IsValid (_retainedEarnings = retainedEarnings))
  194.         {
  195.             throw new java.lang.Exception ("BalanceSheetVertex Constructor => Invalid Inputs");
  196.         }
  197.     }

  199.     /**
  200.      * Retrieve the Asset Account
  201.      * 
  202.      * @return The Asset Account
  203.      */

  205.     public double asset()
  206.     {
  207.         return _asset;
  208.     }

  210.     /**
  211.      * Retrieve the Liability Account
  212.      * 
  213.      * @return The Liability Account
  214.      */

  216.     public double liability()
  217.     {
  218.         return _liability;
  219.     }

  221.     /**
  222.      * Retrieve the Contra Asset Account
  223.      * 
  224.      * @return The Contra Asset Account
  225.      */

  227.     public double contraAsset()
  228.     {
  229.         return _contraAsset;
  230.     }

  232.     /**
  233.      * Retrieve the Contra Liability Account
  234.      * 
  235.      * @return The Contra Liability Account
  236.      */

  238.     public double contraLiability()
  239.     {
  240.         return _contraLiability;
  241.     }

  243.     /**
  244.      * Retrieve the Retained Earnings Account
  245.      * 
  246.      * @return The Retained Earnings Account
  247.      */

  249.     public double retainedEarnings()
  250.     {
  251.         return _retainedEarnings;
  252.     }

  254.     /**
  255.      * Retrieve the Cash Account
  256.      * 
  257.      * @return The Cash Account
  258.      */

  260.     public double cash()
  261.     {
  262.         return _cash;
  263.     }

  265.     /**
  266.      * Estimate the Portfolio Value (PFV)
  267.      * 
  268.      * @return The Portfolio Value (PFV)
  269.      */

  271.     public double pfv()
  272.     {
  273.         return _asset - _liability;
  274.     }

  276.     /**
  277.      * Estimate the Equity Account
  278.      * 
  279.      * @return The Equity Account
  280.      */

  282.     public double equity()
  283.     {
  284.         return _cash + _asset - _liability - _contraAsset + _contraLiability + _retainedEarnings;
  285.     }

  287.     /**
  288.      * Estimate the Core Equity Tier I (CET1) Capital
  289.      * 
  290.      * @return The Core Equity Tier I (CET1) Capital
  291.      */

  293.     public double cet1()
  294.     {
  295.         return _cash + _asset - _liability - _contraAsset + _retainedEarnings;
  296.     }
  297. }
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