From 9b13c1eec0d5570acafd226c68662df6e516ba46 Mon Sep 17 00:00:00 2001 From: Lakshmi Krishnamurthy Date: Thu, 3 Jan 2019 22:59:54 -0500 Subject: [PATCH] Features: - Basel III Balance Sheet Funding (7, 8) - Balance Sheet Capital Tier 1 Ratio (15, 16) Bug Fixes/Clean-up: Samples: - US SIFI Compliance #1 (1, 2) - US SIFI Compliance #2 (3, 4) - US SIFI Compliance #3 (5, 6) - US SIFI Compliance #4 (9, 10) - US SIFI Compliance #5 (11, 12) - US SIFI Compliance #6 (13, 14) - US SIFI Compliance #7 (17, 18) - US SIFI Compliance #8 (19, 20) - US SIFI Compliance #9 (21, 22) - US SIFI Compliance #10 (23, 24) - US SIFI Compliance #11 (25, 26) - US SIFI Compliance #12 (27, 28) - US SIFI Compliance #13 (29, 30) - US SIFI Compliance #14 (31, 32) - US SIFI Compliance #15 (33, 34) - US SIFI Compliance #16 (35, 36) - US SIFI Compliance #17 (37, 38) - US SIFI Compliance #18 (39, 40) - US SIFI Compliance #19 (41, 42) - Dual CAD 3M6M USD 3M6M (43) - Dual CCBS Discount Curve (44) - Dual CCBS Forward Curve (45) - Dual CHF 3M6M USD 3M6M (46) - Dual DKK 3M6M USD 3M6M (47) - Dual EUR 3M6M USD 3M6M (48) - Dual GBP 3M6M USD 3M6M (49) - Dual JPY 3M6M USD 3M6M (50) - Dual NOK 3M6M USD 3M6M (51) - Dual PLN 3M6M USD 3M6M (52) - Dual SEK 3M6M USD 3M6M (53) - Dual (54) - Efron Stein Bounded Markovitz Bullet (55) - Efron Stein Long Only Markovitz Bullet (56) - Efron Stein Unbounded Markovitz Bullet (57) - Efron Stein Unbounded Markovitz Bullet Explicit (58) - Efron Stein (59) --- ReleaseNotes/02_05_2019.txt | 47 +++ drop/org/drip/sample/dual/CAD3M6MUSD3M6M.drop | 144 ++++++++++ drop/org/drip/sample/dual/CHF3M6MUSD3M6M.drop | 144 ++++++++++ drop/org/drip/sample/dual/DKK3M6MUSD3M6M.drop | 144 ++++++++++ drop/org/drip/sample/dual/EUR3M6MUSD3M6M.drop | 152 ++++++++++ drop/org/drip/sample/dual/GBP3M6MUSD3M6M.drop | 152 ++++++++++ drop/org/drip/sample/dual/JPY3M6MUSD3M6M.drop | 152 ++++++++++ drop/org/drip/sample/dual/NOK3M6MUSD3M6M.drop | 144 ++++++++++ drop/org/drip/sample/dual/PLN3M6MUSD3M6M.drop | 128 +++++++++ drop/org/drip/sample/dual/README.md | 47 +++ drop/org/drip/sample/dual/SEK3M6MUSD3M6M.drop | 144 ++++++++++ .../BoundedMarkovitzBullet.drop | 105 +++++++ .../LongOnlyMarkovitzBullet.drop | 109 +++++++ .../drip/sample/efficientfrontier/README.md | 40 +++ .../UnboundedMarkovitzBullet.drop | 69 +++++ .../UnboundedMarkovitzBulletExplicit.drop | 88 ++++++ .../java/org/drip/bcbs/core/BalanceSheet.java | 13 +- .../drip/bcbs/core/BalanceSheetCapital.java | 11 + .../drip/bcbs/core/BalanceSheetFunding.java | 30 ++ .../drip/bcbs/core/BalanceSheetLiquidity.java | 4 +- .../sample/bcbs/Basel32013Compliance.java | 270 ++++++++++++++++++ .../sample/bcbs/Basel32014Compliance.java | 270 ++++++++++++++++++ .../sample/bcbs/Basel32015Compliance.java | 270 ++++++++++++++++++ .../sample/bcbs/Basel32016Compliance.java | 270 ++++++++++++++++++ .../sample/bcbs/Basel32017Compliance.java | 270 ++++++++++++++++++ .../sample/bcbs/Basel32018Compliance.java | 270 ++++++++++++++++++ .../sample/bcbs/Basel32019Compliance.java | 270 ++++++++++++++++++ .../sample/bcbs/BaselPhaseInArrangements.java | 4 +- .../HighQualityLiquidAssetCompliance.java | 4 +- .../drip/sample/bcbs/USSIFIBHCCompliance.java | 270 ++++++++++++++++++ .../drip/sample/bcbs/USSIFICompliance.java | 153 +++++++++- .../org/drip/sample/dual/CAD3M6MUSD3M6M.java | 68 +++-- .../drip/sample/dual/CCBSDiscountCurve.java | 65 +++-- .../drip/sample/dual/CCBSForwardCurve.java | 64 +++-- .../org/drip/sample/dual/CHF3M6MUSD3M6M.java | 68 +++-- .../org/drip/sample/dual/DKK3M6MUSD3M6M.java | 68 +++-- .../org/drip/sample/dual/EUR3M6MUSD3M6M.java | 68 +++-- .../org/drip/sample/dual/GBP3M6MUSD3M6M.java | 68 +++-- .../org/drip/sample/dual/JPY3M6MUSD3M6M.java | 68 +++-- .../org/drip/sample/dual/NOK3M6MUSD3M6M.java | 68 +++-- .../org/drip/sample/dual/PLN3M6MUSD3M6M.java | 68 +++-- src/main/java/org/drip/sample/dual/README.md | 65 +++++ .../org/drip/sample/dual/SEK3M6MUSD3M6M.java | 69 +++-- .../BoundedMarkovitzBullet.java | 68 +++-- .../LongOnlyMarkovitzBullet.java | 68 +++-- .../drip/sample/efficientfrontier/README.md | 38 +++ .../UnboundedMarkovitzBullet.java | 70 +++-- .../UnboundedMarkovitzBulletExplicit.java | 68 +++-- 48 files changed, 5006 insertions(+), 301 deletions(-) create mode 100644 ReleaseNotes/02_05_2019.txt create mode 100644 drop/org/drip/sample/dual/CAD3M6MUSD3M6M.drop create mode 100644 drop/org/drip/sample/dual/CHF3M6MUSD3M6M.drop create mode 100644 drop/org/drip/sample/dual/DKK3M6MUSD3M6M.drop create mode 100644 drop/org/drip/sample/dual/EUR3M6MUSD3M6M.drop create mode 100644 drop/org/drip/sample/dual/GBP3M6MUSD3M6M.drop create mode 100644 drop/org/drip/sample/dual/JPY3M6MUSD3M6M.drop create mode 100644 drop/org/drip/sample/dual/NOK3M6MUSD3M6M.drop create mode 100644 drop/org/drip/sample/dual/PLN3M6MUSD3M6M.drop create mode 100644 drop/org/drip/sample/dual/README.md create mode 100644 drop/org/drip/sample/dual/SEK3M6MUSD3M6M.drop create mode 100644 drop/org/drip/sample/efficientfrontier/BoundedMarkovitzBullet.drop create mode 100644 drop/org/drip/sample/efficientfrontier/LongOnlyMarkovitzBullet.drop create mode 100644 drop/org/drip/sample/efficientfrontier/README.md create mode 100644 drop/org/drip/sample/efficientfrontier/UnboundedMarkovitzBullet.drop create mode 100644 drop/org/drip/sample/efficientfrontier/UnboundedMarkovitzBulletExplicit.drop create mode 100644 src/main/java/org/drip/sample/bcbs/Basel32013Compliance.java create mode 100644 src/main/java/org/drip/sample/bcbs/Basel32014Compliance.java create mode 100644 src/main/java/org/drip/sample/bcbs/Basel32015Compliance.java create mode 100644 src/main/java/org/drip/sample/bcbs/Basel32016Compliance.java create mode 100644 src/main/java/org/drip/sample/bcbs/Basel32017Compliance.java create mode 100644 src/main/java/org/drip/sample/bcbs/Basel32018Compliance.java create mode 100644 src/main/java/org/drip/sample/bcbs/Basel32019Compliance.java create mode 100644 src/main/java/org/drip/sample/bcbs/USSIFIBHCCompliance.java create mode 100644 src/main/java/org/drip/sample/dual/README.md create mode 100644 src/main/java/org/drip/sample/efficientfrontier/README.md diff --git a/ReleaseNotes/02_05_2019.txt b/ReleaseNotes/02_05_2019.txt new file mode 100644 index 000000000000..4badf7bcce66 --- /dev/null +++ b/ReleaseNotes/02_05_2019.txt @@ -0,0 +1,47 @@ + +Features: + + - Basel III Balance Sheet Funding (7, 8) + - Balance Sheet Capital Tier 1 Ratio (15, 16) + + +Bug Fixes/Clean-up: + +Samples: + + - US SIFI Compliance #1 (1, 2) + - US SIFI Compliance #2 (3, 4) + - US SIFI Compliance #3 (5, 6) + - US SIFI Compliance #4 (9, 10) + - US SIFI Compliance #5 (11, 12) + - US SIFI Compliance #6 (13, 14) + - US SIFI Compliance #7 (17, 18) + - US SIFI Compliance #8 (19, 20) + - US SIFI Compliance #9 (21, 22) + - US SIFI Compliance #10 (23, 24) + - US SIFI Compliance #11 (25, 26) + - US SIFI Compliance #12 (27, 28) + - US SIFI Compliance #13 (29, 30) + - US SIFI Compliance #14 (31, 32) + - US SIFI Compliance #15 (33, 34) + - US SIFI Compliance #16 (35, 36) + - US SIFI Compliance #17 (37, 38) + - US SIFI Compliance #18 (39, 40) + - US SIFI Compliance #19 (41, 42) + - Dual CAD 3M6M USD 3M6M (43) + - Dual CCBS Discount Curve (44) + - Dual CCBS Forward Curve (45) + - Dual CHF 3M6M USD 3M6M (46) + - Dual DKK 3M6M USD 3M6M (47) + - Dual EUR 3M6M USD 3M6M (48) + - Dual GBP 3M6M USD 3M6M (49) + - Dual JPY 3M6M USD 3M6M (50) + - Dual NOK 3M6M USD 3M6M (51) + - Dual PLN 3M6M USD 3M6M (52) + - Dual SEK 3M6M USD 3M6M (53) + - Dual (54) + - Efron Stein Bounded Markovitz Bullet (55) + - Efron Stein Long Only Markovitz Bullet (56) + - Efron Stein Unbounded Markovitz Bullet (57) + - Efron Stein Unbounded Markovitz Bullet Explicit (58) + - Efron Stein (59) diff --git a/drop/org/drip/sample/dual/CAD3M6MUSD3M6M.drop b/drop/org/drip/sample/dual/CAD3M6MUSD3M6M.drop new file mode 100644 index 000000000000..011b88026e25 --- /dev/null +++ b/drop/org/drip/sample/dual/CAD3M6MUSD3M6M.drop @@ -0,0 +1,144 @@ + + |-----------------------------------------------------------------| + | Copyright (C) 2011-2019 (DRIP, DROP) + |-----------------------------------------------------------------| + | Build Version => 3.98.0 multi mode + | Build JVM (TM) => 1.8.0_112 + | Build Snap => Thu Jan 03 12:59:38 EST 2018 + | Start Time => Thu Jan 03 22:20:16 EST 2019 + | Setup Time => Thu Jan 03 22:20:17 EST 2019 + | Setup Duration => 494 ms + |-----------------------------------------------------------------| + + ---------------------------------------------------------------- + RECOVERY OF THE CCBS REFERENCE COMPONENT DERIVED BASIS + ---------------------------------------------------------------- + [11-DEC-2012 - 11-DEC-2013] = 10.500 | 10.500 | 0.3360% + [11-DEC-2012 - 11-DEC-2014] = 11.500 | 11.500 | 0.3770% + [11-DEC-2012 - 11-DEC-2015] = 12.250 | 12.250 | 0.7634% + [11-DEC-2012 - 11-DEC-2016] = 13.250 | 13.250 | 1.1594% + [11-DEC-2012 - 11-DEC-2017] = 14.250 | 14.250 | 1.7238% + [11-DEC-2012 - 11-DEC-2019] = 15.000 | 15.000 | 2.3278% + [11-DEC-2012 - 11-DEC-2022] = 15.000 | 15.000 | 3.0811% + [11-DEC-2012 - 11-DEC-2027] = 15.250 | 15.250 | 3.0870% + [11-DEC-2012 - 11-DEC-2032] = 15.250 | 15.250 | 2.6980% + + ---------------------------------------------------------------- + ---- CCBS DERIVED QUOTE FORWARD CURVE SENSITIVITY --- + ---------------------------------------------------------------- + 11-DEC-2013 | 1Y: Wengert{0} => [ 18.758, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000] + + 11-DEC-2014 | 2Y: Wengert{0} => [ 0.000, 32.839, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000] + + 11-DEC-2015 | 3Y: Wengert{0} => [ 0.000, 0.000, 47.034, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000] + + 11-DEC-2017 | 5Y: Wengert{0} => [ 0.000, 0.000, 0.000, 0.000, 76.577, 0.000, 0.000, 0.000, 0.000] + + 11-DEC-2019 | 7Y: Wengert{0} => [ 0.000, 0.000, 0.000, 0.000, 0.000, 67.026, 0.000, 0.000, 0.000] + + ---------------------------------------------------------------- + RECOVERY OF THE CCBS REFERENCE COMPONENT REFERENCE BASIS + ---------------------------------------------------------------- + [11-DEC-2012 - 11-DEC-2013] = 10.500 | 10.500 | 0.0865% + [11-DEC-2012 - 11-DEC-2014] = 11.500 | 11.500 | 0.1938% + [11-DEC-2012 - 11-DEC-2015] = 12.250 | 12.250 | 0.4889% + [11-DEC-2012 - 11-DEC-2016] = 13.250 | 13.250 | 0.8863% + [11-DEC-2012 - 11-DEC-2017] = 14.250 | 14.250 | 1.3866% + [11-DEC-2012 - 11-DEC-2019] = 15.000 | 15.000 | 2.1030% + [11-DEC-2012 - 11-DEC-2022] = 15.000 | 15.000 | 2.7613% + [11-DEC-2012 - 11-DEC-2027] = 15.250 | 15.250 | 2.9038% + [11-DEC-2012 - 11-DEC-2032] = 15.250 | 15.250 | 2.2960% + + ---------------------------------------------------------------- + ---- CCBS DERIVED QUOTE FORWARD CURVE SENSITIVITY --- + ---------------------------------------------------------------- + 11-DEC-2013 | 1Y: Wengert{0} => [ 18.762, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000] + + 11-DEC-2014 | 2Y: Wengert{0} => [ 0.000, 32.849, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000] + + 11-DEC-2015 | 3Y: Wengert{0} => [ 0.000, 0.000, 47.050, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000] + + 11-DEC-2017 | 5Y: Wengert{0} => [ 0.000, 0.000, 0.000, 0.000, 76.609, 0.000, 0.000, 0.000, 0.000] + + 11-DEC-2019 | 7Y: Wengert{0} => [ 0.000, 0.000, 0.000, 0.000, 0.000, 67.055, 0.000, 0.000, 0.000] + + ---------------------------------------------------------------- + IRS INSTRUMENTS QUOTE REVISION FROM CCBS DERIVED BASIS INPUTS + ---------------------------------------------------------------- + [11-DEC-2012 - 11-DEC-2013] = 1.087% | 1.050% | -04 | 0.9892 + [11-DEC-2012 - 11-DEC-2014] = 1.169% | 1.150% | -02 | 0.9769 + [11-DEC-2012 - 11-DEC-2015] = 1.252% | 1.225% | -03 | 0.9632 + [11-DEC-2012 - 11-DEC-2016] = 1.354% | 1.325% | -03 | 0.9473 + [11-DEC-2012 - 11-DEC-2017] = 1.450% | 1.425% | -03 | 0.9300 + [11-DEC-2012 - 11-DEC-2019] = 1.515% | 1.500% | -02 | 0.8993 + [11-DEC-2012 - 11-DEC-2022] = 1.500% | 1.500% | 00 | 0.8608 + [11-DEC-2012 - 11-DEC-2027] = 1.490% | 1.525% | 04 | 0.8001 + [11-DEC-2012 - 11-DEC-2032] = 1.467% | 1.525% | 06 | 0.7466 + ---------------------------------------------------------------------- + CCBS DERIVED BASIS TENOR JACOBIAN + ---------------------------------------------------------------------- + 1Y => Wengert{0} => [ 3.959, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000] + + 2Y => Wengert{0} => [ 0.000, 9.936, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000] + + 3Y => Wengert{0} => [ 0.000, 0.000, 13.905, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000] + + 4Y => Wengert{0} => [ 0.000, 0.000, 0.000, 17.868, 0.000, 0.000, 0.000, 0.000, 0.000] + + 5Y => Wengert{0} => [ 0.000, 0.000, 0.000, 0.000, 21.826, 0.000, 0.000, 0.000, 0.000] + + 7Y => Wengert{0} => [ 0.000, 0.000, 0.000, 0.000, 0.000, 29.653, 0.000, 0.000, 0.000] + + 10Y => Wengert{0} => [ 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 41.366, 0.000, 0.000] + + 15Y => Wengert{0} => [ 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 60.597, 0.000] + + 20Y => Wengert{0} => [ 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 80.139] + + ---------------------------------------------------------------- + IRS INSTRUMENTS QUOTE REVISION FROM CCBS REFERENCE BASIS INPUTS + ---------------------------------------------------------------- + [11-DEC-2012 - 11-DEC-2013] = 0.798% | 1.050% | 25 | 0.9921 + [11-DEC-2012 - 11-DEC-2014] = 0.895% | 1.150% | 25 | 0.9823 + [11-DEC-2012 - 11-DEC-2015] = 0.946% | 1.225% | 28 | 0.9721 + [11-DEC-2012 - 11-DEC-2016] = 1.022% | 1.325% | 30 | 0.9599 + [11-DEC-2012 - 11-DEC-2017] = 1.105% | 1.425% | 32 | 0.9462 + [11-DEC-2012 - 11-DEC-2019] = 1.174% | 1.500% | 33 | 0.9210 + [11-DEC-2012 - 11-DEC-2022] = 1.191% | 1.500% | 31 | 0.8877 + [11-DEC-2012 - 11-DEC-2027] = 1.251% | 1.525% | 27 | 0.8284 + [11-DEC-2012 - 11-DEC-2032] = 1.281% | 1.525% | 24 | 0.7731 + ---------------------------------------------------------------------- + CCBS REFERENCE BASIS TENOR JACOBIAN + ---------------------------------------------------------------------- + 1Y => Wengert{0} => [ 3.956, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000] + + 2Y => Wengert{0} => [ 0.000, 9.931, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000] + + 3Y => Wengert{0} => [ 0.000, 0.000, 13.896, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000] + + 4Y => Wengert{0} => [ 0.000, 0.000, 0.000, 17.855, 0.000, 0.000, 0.000, 0.000, 0.000] + + 5Y => Wengert{0} => [ 0.000, 0.000, 0.000, 0.000, 21.809, 0.000, 0.000, 0.000, 0.000] + + 7Y => Wengert{0} => [ 0.000, 0.000, 0.000, 0.000, 0.000, 29.631, 0.000, 0.000, 0.000] + + 10Y => Wengert{0} => [ 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 41.337, 0.000, 0.000] + + 15Y => Wengert{0} => [ 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 60.565, 0.000] + + 20Y => Wengert{0} => [ 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 80.107] + + + |-----------------------------------------------------------------| + | Copyright (C) 2011-2019 (DRIP, DROP) + |-----------------------------------------------------------------| + | Build Version => 3.98.0 multi mode + | Build JVM (TM) => 1.8.0_112 + | Build Snap => Thu Jan 03 12:59:38 EST 2018 + | Start Time => Thu Jan 03 22:20:16 EST 2019 + | Setup Time => Thu Jan 03 22:20:17 EST 2019 + | Finish Time => Thu Jan 03 22:20:24 EST 2019 + | Setup Duration => 494 ms + | Run Duration => 6 s 957 ms + |-----------------------------------------------------------------| + diff --git a/drop/org/drip/sample/dual/CHF3M6MUSD3M6M.drop b/drop/org/drip/sample/dual/CHF3M6MUSD3M6M.drop new file mode 100644 index 000000000000..8c8f294bf872 --- /dev/null +++ b/drop/org/drip/sample/dual/CHF3M6MUSD3M6M.drop @@ -0,0 +1,144 @@ + + |-----------------------------------------------------------------| + | Copyright (C) 2011-2019 (DRIP, DROP) + |-----------------------------------------------------------------| + | Build Version => 3.98.0 multi mode + | Build JVM (TM) => 1.8.0_112 + | Build Snap => Thu Jan 03 12:59:38 EST 2018 + | Start Time => Thu Jan 03 22:23:13 EST 2019 + | Setup Time => Thu Jan 03 22:23:13 EST 2019 + | Setup Duration => 485 ms + |-----------------------------------------------------------------| + + ---------------------------------------------------------------- + RECOVERY OF THE CCBS REFERENCE COMPONENT DERIVED BASIS + ---------------------------------------------------------------- + [11-DEC-2012 - 11-DEC-2013] = -0.000 | -0.000 | 0.1376% + [11-DEC-2012 - 11-DEC-2014] = -0.500 | -0.500 | 0.2236% + [11-DEC-2012 - 11-DEC-2015] = -1.375 | -1.375 | 0.4457% + [11-DEC-2012 - 11-DEC-2016] = -2.250 | -2.250 | 0.8899% + [11-DEC-2012 - 11-DEC-2017] = -2.750 | -2.750 | 1.3724% + [11-DEC-2012 - 11-DEC-2019] = -3.000 | -3.000 | 2.1254% + [11-DEC-2012 - 11-DEC-2022] = -3.000 | -3.000 | 2.7249% + [11-DEC-2012 - 11-DEC-2027] = -2.750 | -2.750 | 3.0190% + [11-DEC-2012 - 11-DEC-2032] = -2.250 | -2.250 | 2.2675% + + ---------------------------------------------------------------- + ---- CCBS DERIVED QUOTE FORWARD CURVE SENSITIVITY --- + ---------------------------------------------------------------- + 11-DEC-2013 | 1Y: Wengert{0} => [ 22.447, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000] + + 11-DEC-2014 | 2Y: Wengert{0} => [ 0.000, 39.300, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000] + + 11-DEC-2015 | 3Y: Wengert{0} => [ 0.000, 0.000, 56.294, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000] + + 11-DEC-2017 | 5Y: Wengert{0} => [ 0.000, 0.000, 0.000, 0.000, 91.688, 0.000, 0.000, 0.000, 0.000] + + 11-DEC-2019 | 7Y: Wengert{0} => [ 0.000, 0.000, 0.000, 0.000, 0.000, 80.294, 0.000, 0.000, 0.000] + + ---------------------------------------------------------------- + RECOVERY OF THE CCBS REFERENCE COMPONENT REFERENCE BASIS + ---------------------------------------------------------------- + [11-DEC-2012 - 11-DEC-2013] = -0.000 | -0.000 | 0.1407% + [11-DEC-2012 - 11-DEC-2014] = -0.500 | -0.500 | 0.2656% + [11-DEC-2012 - 11-DEC-2015] = -1.375 | -1.375 | 0.5440% + [11-DEC-2012 - 11-DEC-2016] = -2.250 | -2.250 | 1.0182% + [11-DEC-2012 - 11-DEC-2017] = -2.750 | -2.750 | 1.4811% + [11-DEC-2012 - 11-DEC-2019] = -3.000 | -3.000 | 2.2066% + [11-DEC-2012 - 11-DEC-2022] = -3.000 | -3.000 | 2.7938% + [11-DEC-2012 - 11-DEC-2027] = -2.750 | -2.750 | 3.0532% + [11-DEC-2012 - 11-DEC-2032] = -2.250 | -2.250 | 2.2488% + + ---------------------------------------------------------------- + ---- CCBS DERIVED QUOTE FORWARD CURVE SENSITIVITY --- + ---------------------------------------------------------------- + 11-DEC-2013 | 1Y: Wengert{0} => [ 22.447, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000] + + 11-DEC-2014 | 2Y: Wengert{0} => [ 0.000, 39.300, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000] + + 11-DEC-2015 | 3Y: Wengert{0} => [ 0.000, 0.000, 56.292, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000] + + 11-DEC-2017 | 5Y: Wengert{0} => [ 0.000, 0.000, 0.000, 0.000, 91.679, 0.000, 0.000, 0.000, 0.000] + + 11-DEC-2019 | 7Y: Wengert{0} => [ 0.000, 0.000, 0.000, 0.000, 0.000, 80.285, 0.000, 0.000, 0.000] + + ---------------------------------------------------------------- + IRS INSTRUMENTS QUOTE REVISION FROM CCBS DERIVED BASIS INPUTS + ---------------------------------------------------------------- + [13-DEC-2012 - 13-DEC-2013] = 0.644% | 0.500% | -14 | 0.9936 + [13-DEC-2012 - 13-DEC-2014] = 0.642% | 0.500% | -14 | 0.9872 + [13-DEC-2012 - 13-DEC-2015] = 1.543% | 1.375% | -17 | 0.9547 + [13-DEC-2012 - 13-DEC-2016] = 2.443% | 2.250% | -19 | 0.9061 + [13-DEC-2012 - 13-DEC-2017] = 2.958% | 2.750% | -21 | 0.8608 + [13-DEC-2012 - 13-DEC-2019] = 3.215% | 3.000% | -21 | 0.7966 + [13-DEC-2012 - 13-DEC-2022] = 3.205% | 3.000% | -20 | 0.7254 + [13-DEC-2012 - 13-DEC-2027] = 2.919% | 2.750% | -17 | 0.6512 + [13-DEC-2012 - 13-DEC-2032] = 2.385% | 2.250% | -14 | 0.6386 + ---------------------------------------------------------------------- + CCBS DERIVED BASIS TENOR JACOBIAN + ---------------------------------------------------------------------- + 1Y => Wengert{0} => [ 5.972, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000] + + 2Y => Wengert{0} => [ 0.000, 7.963, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000] + + 3Y => Wengert{0} => [ 0.000, 0.000, 10.856, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000] + + 4Y => Wengert{0} => [ 0.000, 0.000, 0.000, 13.699, 0.000, 0.000, 0.000, 0.000, 0.000] + + 5Y => Wengert{0} => [ 0.000, 0.000, 0.000, 0.000, 16.555, 0.000, 0.000, 0.000, 0.000] + + 7Y => Wengert{0} => [ 0.000, 0.000, 0.000, 0.000, 0.000, 22.262, 0.000, 0.000, 0.000] + + 10Y => Wengert{0} => [ 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 30.786, 0.000, 0.000] + + 15Y => Wengert{0} => [ 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 44.802, 0.000] + + 20Y => Wengert{0} => [ 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 59.607] + + ---------------------------------------------------------------- + IRS INSTRUMENTS QUOTE REVISION FROM CCBS REFERENCE BASIS INPUTS + ---------------------------------------------------------------- + [13-DEC-2012 - 13-DEC-2013] = 0.356% | 0.500% | 14 | 0.9964 + [13-DEC-2012 - 13-DEC-2014] = 0.369% | 0.500% | 13 | 0.9926 + [13-DEC-2012 - 13-DEC-2015] = 1.236% | 1.375% | 14 | 0.9635 + [13-DEC-2012 - 13-DEC-2016] = 2.106% | 2.250% | 14 | 0.9185 + [13-DEC-2012 - 13-DEC-2017] = 2.602% | 2.750% | 15 | 0.8764 + [13-DEC-2012 - 13-DEC-2019] = 2.853% | 3.000% | 15 | 0.8171 + [13-DEC-2012 - 13-DEC-2022] = 2.866% | 3.000% | 13 | 0.7500 + [13-DEC-2012 - 13-DEC-2027] = 2.647% | 2.750% | 10 | 0.6763 + [13-DEC-2012 - 13-DEC-2032] = 2.169% | 2.250% | 08 | 0.6627 + ---------------------------------------------------------------------- + CCBS REFERENCE BASIS TENOR JACOBIAN + ---------------------------------------------------------------------- + 1Y => Wengert{0} => [ 5.969, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000] + + 2Y => Wengert{0} => [ 0.000, 7.958, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000] + + 3Y => Wengert{0} => [ 0.000, 0.000, 10.847, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000] + + 4Y => Wengert{0} => [ 0.000, 0.000, 0.000, 13.686, 0.000, 0.000, 0.000, 0.000, 0.000] + + 5Y => Wengert{0} => [ 0.000, 0.000, 0.000, 0.000, 16.538, 0.000, 0.000, 0.000, 0.000] + + 7Y => Wengert{0} => [ 0.000, 0.000, 0.000, 0.000, 0.000, 22.240, 0.000, 0.000, 0.000] + + 10Y => Wengert{0} => [ 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 30.757, 0.000, 0.000] + + 15Y => Wengert{0} => [ 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 44.771, 0.000] + + 20Y => Wengert{0} => [ 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 59.575] + + + |-----------------------------------------------------------------| + | Copyright (C) 2011-2019 (DRIP, DROP) + |-----------------------------------------------------------------| + | Build Version => 3.98.0 multi mode + | Build JVM (TM) => 1.8.0_112 + | Build Snap => Thu Jan 03 12:59:38 EST 2018 + | Start Time => Thu Jan 03 22:23:13 EST 2019 + | Setup Time => Thu Jan 03 22:23:13 EST 2019 + | Finish Time => Thu Jan 03 22:23:18 EST 2019 + | Setup Duration => 485 ms + | Run Duration => 4 s 463 ms + |-----------------------------------------------------------------| + diff --git a/drop/org/drip/sample/dual/DKK3M6MUSD3M6M.drop b/drop/org/drip/sample/dual/DKK3M6MUSD3M6M.drop new file mode 100644 index 000000000000..7f1bf872c349 --- /dev/null +++ b/drop/org/drip/sample/dual/DKK3M6MUSD3M6M.drop @@ -0,0 +1,144 @@ + + |-----------------------------------------------------------------| + | Copyright (C) 2011-2019 (DRIP, DROP) + |-----------------------------------------------------------------| + | Build Version => 3.98.0 multi mode + | Build JVM (TM) => 1.8.0_112 + | Build Snap => Thu Jan 03 12:59:38 EST 2018 + | Start Time => Thu Jan 03 22:24:00 EST 2019 + | Setup Time => Thu Jan 03 22:24:01 EST 2019 + | Setup Duration => 473 ms + |-----------------------------------------------------------------| + + ---------------------------------------------------------------- + RECOVERY OF THE CCBS REFERENCE COMPONENT DERIVED BASIS + ---------------------------------------------------------------- + [11-DEC-2012 - 11-DEC-2013] = -3.000 | -3.000 | 0.3653% + [11-DEC-2012 - 11-DEC-2014] = -3.000 | -3.000 | 0.3555% + [11-DEC-2012 - 11-DEC-2015] = -2.750 | -2.750 | 0.7768% + [11-DEC-2012 - 11-DEC-2016] = -2.500 | -2.500 | 1.1444% + [11-DEC-2012 - 11-DEC-2017] = -1.750 | -1.750 | 1.6821% + [11-DEC-2012 - 11-DEC-2019] = -1.375 | -1.375 | 2.2195% + [11-DEC-2012 - 11-DEC-2022] = -1.375 | -1.375 | 2.8766% + [11-DEC-2012 - 11-DEC-2027] = -1.250 | -1.250 | 2.7408% + [11-DEC-2012 - 11-DEC-2032] = -1.250 | -1.250 | 2.5152% + + ---------------------------------------------------------------- + ---- CCBS DERIVED QUOTE FORWARD CURVE SENSITIVITY --- + ---------------------------------------------------------------- + 11-DEC-2013 | 1Y: Wengert{0} => [ 3.660, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000] + + 11-DEC-2014 | 2Y: Wengert{0} => [ 0.000, 6.401, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000] + + 11-DEC-2015 | 3Y: Wengert{0} => [ 0.000, 0.000, 9.138, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000] + + 11-DEC-2017 | 5Y: Wengert{0} => [ 0.000, 0.000, 0.000, 0.000, 14.581, 0.000, 0.000, 0.000, 0.000] + + 11-DEC-2019 | 7Y: Wengert{0} => [ 0.000, 0.000, 0.000, 0.000, 0.000, 12.342, 0.000, 0.000, 0.000] + + ---------------------------------------------------------------- + RECOVERY OF THE CCBS REFERENCE COMPONENT REFERENCE BASIS + ---------------------------------------------------------------- + [11-DEC-2012 - 11-DEC-2013] = -3.000 | -3.000 | 0.3680% + [11-DEC-2012 - 11-DEC-2014] = -3.000 | -3.000 | 0.3569% + [11-DEC-2012 - 11-DEC-2015] = -2.750 | -2.750 | 0.7785% + [11-DEC-2012 - 11-DEC-2016] = -2.500 | -2.500 | 1.1450% + [11-DEC-2012 - 11-DEC-2017] = -1.750 | -1.750 | 1.6806% + [11-DEC-2012 - 11-DEC-2019] = -1.375 | -1.375 | 2.2217% + [11-DEC-2012 - 11-DEC-2022] = -1.375 | -1.375 | 2.8753% + [11-DEC-2012 - 11-DEC-2027] = -1.250 | -1.250 | 2.7443% + [11-DEC-2012 - 11-DEC-2032] = -1.250 | -1.250 | 2.5111% + + ---------------------------------------------------------------- + ---- CCBS DERIVED QUOTE FORWARD CURVE SENSITIVITY --- + ---------------------------------------------------------------- + 11-DEC-2013 | 1Y: Wengert{0} => [ 3.660, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000] + + 11-DEC-2014 | 2Y: Wengert{0} => [ 0.000, 6.401, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000] + + 11-DEC-2015 | 3Y: Wengert{0} => [ 0.000, 0.000, 9.138, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000] + + 11-DEC-2017 | 5Y: Wengert{0} => [ 0.000, 0.000, 0.000, 0.000, 14.580, 0.000, 0.000, 0.000, 0.000] + + 11-DEC-2019 | 7Y: Wengert{0} => [ 0.000, 0.000, 0.000, 0.000, 0.000, 12.342, 0.000, 0.000, 0.000] + + ---------------------------------------------------------------- + IRS INSTRUMENTS QUOTE REVISION FROM CCBS DERIVED BASIS INPUTS + ---------------------------------------------------------------- + [13-DEC-2012 - 13-DEC-2013] = 1.426% | 1.250% | -18 | 0.9859 + [13-DEC-2012 - 13-DEC-2014] = 1.420% | 1.250% | -17 | 0.9721 + [13-DEC-2012 - 13-DEC-2015] = 1.559% | 1.375% | -18 | 0.9545 + [13-DEC-2012 - 13-DEC-2016] = 1.570% | 1.375% | -19 | 0.9394 + [13-DEC-2012 - 13-DEC-2017] = 1.945% | 1.750% | -20 | 0.9073 + [13-DEC-2012 - 13-DEC-2019] = 2.693% | 2.500% | -19 | 0.8262 + [13-DEC-2012 - 13-DEC-2022] = 2.932% | 2.750% | -18 | 0.7432 + [13-DEC-2012 - 13-DEC-2027] = 3.150% | 3.000% | -15 | 0.6190 + [13-DEC-2012 - 13-DEC-2032] = 3.126% | 3.000% | -13 | 0.5336 + ---------------------------------------------------------------------- + CCBS DERIVED BASIS TENOR JACOBIAN + ---------------------------------------------------------------------- + 1Y => Wengert{0} => [ 3.952, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000] + + 2Y => Wengert{0} => [ 0.000, 7.905, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000] + + 3Y => Wengert{0} => [ 0.000, 0.000, 10.856, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000] + + 4Y => Wengert{0} => [ 0.000, 0.000, 0.000, 13.818, 0.000, 0.000, 0.000, 0.000, 0.000] + + 5Y => Wengert{0} => [ 0.000, 0.000, 0.000, 0.000, 16.717, 0.000, 0.000, 0.000, 0.000] + + 7Y => Wengert{0} => [ 0.000, 0.000, 0.000, 0.000, 0.000, 22.383, 0.000, 0.000, 0.000] + + 10Y => Wengert{0} => [ 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 30.883, 0.000, 0.000] + + 15Y => Wengert{0} => [ 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 44.608, 0.000] + + 20Y => Wengert{0} => [ 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 58.842] + + ---------------------------------------------------------------- + IRS INSTRUMENTS QUOTE REVISION FROM CCBS REFERENCE BASIS INPUTS + ---------------------------------------------------------------- + [13-DEC-2012 - 13-DEC-2013] = 1.136% | 1.250% | 11 | 0.9887 + [13-DEC-2012 - 13-DEC-2014] = 1.143% | 1.250% | 11 | 0.9775 + [13-DEC-2012 - 13-DEC-2015] = 1.249% | 1.375% | 13 | 0.9633 + [13-DEC-2012 - 13-DEC-2016] = 1.234% | 1.375% | 14 | 0.9521 + [13-DEC-2012 - 13-DEC-2017] = 1.593% | 1.750% | 16 | 0.9234 + [13-DEC-2012 - 13-DEC-2019] = 2.339% | 2.500% | 16 | 0.8470 + [13-DEC-2012 - 13-DEC-2022] = 2.601% | 2.750% | 15 | 0.7681 + [13-DEC-2012 - 13-DEC-2027] = 2.881% | 3.000% | 12 | 0.6433 + [13-DEC-2012 - 13-DEC-2032] = 2.906% | 3.000% | 09 | 0.5549 + ---------------------------------------------------------------------- + CCBS REFERENCE BASIS TENOR JACOBIAN + ---------------------------------------------------------------------- + 1Y => Wengert{0} => [ 3.950, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000] + + 2Y => Wengert{0} => [ 0.000, 7.899, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000] + + 3Y => Wengert{0} => [ 0.000, 0.000, 10.847, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000] + + 4Y => Wengert{0} => [ 0.000, 0.000, 0.000, 13.805, 0.000, 0.000, 0.000, 0.000, 0.000] + + 5Y => Wengert{0} => [ 0.000, 0.000, 0.000, 0.000, 16.700, 0.000, 0.000, 0.000, 0.000] + + 7Y => Wengert{0} => [ 0.000, 0.000, 0.000, 0.000, 0.000, 22.361, 0.000, 0.000, 0.000] + + 10Y => Wengert{0} => [ 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 30.855, 0.000, 0.000] + + 15Y => Wengert{0} => [ 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 44.577, 0.000] + + 20Y => Wengert{0} => [ 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 58.811] + + + |-----------------------------------------------------------------| + | Copyright (C) 2011-2019 (DRIP, DROP) + |-----------------------------------------------------------------| + | Build Version => 3.98.0 multi mode + | Build JVM (TM) => 1.8.0_112 + | Build Snap => Thu Jan 03 12:59:38 EST 2018 + | Start Time => Thu Jan 03 22:24:00 EST 2019 + | Setup Time => Thu Jan 03 22:24:01 EST 2019 + | Finish Time => Thu Jan 03 22:24:04 EST 2019 + | Setup Duration => 473 ms + | Run Duration => 3 s 121 ms + |-----------------------------------------------------------------| + diff --git a/drop/org/drip/sample/dual/EUR3M6MUSD3M6M.drop b/drop/org/drip/sample/dual/EUR3M6MUSD3M6M.drop new file mode 100644 index 000000000000..e946b888361d --- /dev/null +++ b/drop/org/drip/sample/dual/EUR3M6MUSD3M6M.drop @@ -0,0 +1,152 @@ + + |-----------------------------------------------------------------| + | Copyright (C) 2011-2019 (DRIP, DROP) + |-----------------------------------------------------------------| + | Build Version => 3.98.0 multi mode + | Build JVM (TM) => 1.8.0_112 + | Build Snap => Thu Jan 03 12:59:38 EST 2018 + | Start Time => Thu Jan 03 22:24:42 EST 2019 + | Setup Time => Thu Jan 03 22:24:43 EST 2019 + | Setup Duration => 467 ms + |-----------------------------------------------------------------| + + ---------------------------------------------------------------- + RECOVERY OF THE CCBS REFERENCE COMPONENT DERIVED BASIS + ---------------------------------------------------------------- + [11-DEC-2012 - 11-DEC-2013] = 2.125 | 2.125 | 0.0764% + [11-DEC-2012 - 11-DEC-2014] = 2.000 | 2.000 | 0.2111% + [11-DEC-2012 - 11-DEC-2015] = 2.000 | 2.000 | 0.3987% + [11-DEC-2012 - 11-DEC-2016] = 2.000 | 2.000 | 0.8813% + [11-DEC-2012 - 11-DEC-2017] = 1.750 | 1.750 | 1.3030% + [11-DEC-2012 - 11-DEC-2019] = 1.750 | 1.750 | 2.1689% + [11-DEC-2012 - 11-DEC-2022] = 1.750 | 1.750 | 2.6589% + [11-DEC-2012 - 11-DEC-2027] = 2.125 | 2.125 | 3.2038% + [11-DEC-2012 - 11-DEC-2032] = 2.125 | 2.125 | 2.1997% + [11-DEC-2012 - 11-DEC-2042] = 2.125 | 2.125 | 3.3821% + + ---------------------------------------------------------------- + ---- CCBS DERIVED QUOTE FORWARD CURVE SENSITIVITY --- + ---------------------------------------------------------------- + 11-DEC-2013 | 1Y: Wengert{0} => [ 27.438, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000] + + 11-DEC-2014 | 2Y: Wengert{0} => [ 0.000, 48.040, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000] + + 11-DEC-2015 | 3Y: Wengert{0} => [ 0.000, 0.000, 68.814, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000] + + 11-DEC-2017 | 5Y: Wengert{0} => [ 0.000, 0.000, 0.000, 0.000, 112.087, 0.000, 0.000, 0.000, 0.000, 0.000] + + 11-DEC-2019 | 7Y: Wengert{0} => [ 0.000, 0.000, 0.000, 0.000, 0.000, 98.168, 0.000, 0.000, 0.000, 0.000] + + ---------------------------------------------------------------- + RECOVERY OF THE CCBS REFERENCE COMPONENT REFERENCE BASIS + ---------------------------------------------------------------- + [11-DEC-2012 - 11-DEC-2013] = 2.125 | 2.125 | -0.0291% + [11-DEC-2012 - 11-DEC-2014] = 2.000 | 2.000 | 0.1649% + [11-DEC-2012 - 11-DEC-2015] = 2.000 | 2.000 | 0.3038% + [11-DEC-2012 - 11-DEC-2016] = 2.000 | 2.000 | 0.8308% + [11-DEC-2012 - 11-DEC-2017] = 1.750 | 1.750 | 1.2812% + [11-DEC-2012 - 11-DEC-2019] = 1.750 | 1.750 | 2.0677% + [11-DEC-2012 - 11-DEC-2022] = 1.750 | 1.750 | 2.6397% + [11-DEC-2012 - 11-DEC-2027] = 2.125 | 2.125 | 2.9967% + [11-DEC-2012 - 11-DEC-2032] = 2.125 | 2.125 | 2.2805% + [11-DEC-2012 - 11-DEC-2042] = 2.125 | 2.125 | 2.8702% + + ---------------------------------------------------------------- + ---- CCBS DERIVED QUOTE FORWARD CURVE SENSITIVITY --- + ---------------------------------------------------------------- + 11-DEC-2013 | 1Y: Wengert{0} => [ 27.440, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000] + + 11-DEC-2014 | 2Y: Wengert{0} => [ 0.000, 48.043, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000] + + 11-DEC-2015 | 3Y: Wengert{0} => [ 0.000, 0.000, 68.820, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000] + + 11-DEC-2017 | 5Y: Wengert{0} => [ 0.000, 0.000, 0.000, 0.000, 112.096, 0.000, 0.000, 0.000, 0.000, 0.000] + + 11-DEC-2019 | 7Y: Wengert{0} => [ 0.000, 0.000, 0.000, 0.000, 0.000, 98.175, 0.000, 0.000, 0.000, 0.000] + + ---------------------------------------------------------------- + IRS INSTRUMENTS QUOTE REVISION FROM CCBS DERIVED BASIS INPUTS + ---------------------------------------------------------------- + [13-DEC-2012 - 13-DEC-2013] = 1.874% | 1.750% | -12 | 0.9815 + [13-DEC-2012 - 13-DEC-2014] = 1.869% | 1.750% | -12 | 0.9636 + [13-DEC-2012 - 13-DEC-2015] = 1.886% | 1.750% | -14 | 0.9454 + [13-DEC-2012 - 13-DEC-2016] = 2.149% | 2.000% | -15 | 0.9180 + [13-DEC-2012 - 13-DEC-2017] = 2.160% | 2.000% | -16 | 0.8982 + [13-DEC-2012 - 13-DEC-2019] = 2.159% | 2.000% | -16 | 0.8607 + [13-DEC-2012 - 13-DEC-2022] = 2.270% | 2.125% | -14 | 0.7978 + [13-DEC-2012 - 13-DEC-2027] = 2.232% | 2.125% | -11 | 0.7178 + [13-DEC-2012 - 13-DEC-2032] = 2.205% | 2.125% | -08 | 0.6467 + [13-DEC-2012 - 13-DEC-2042] = 2.181% | 2.125% | -06 | 0.5247 + ---------------------------------------------------------------------- + CCBS DERIVED BASIS TENOR JACOBIAN + ---------------------------------------------------------------------- + 1Y => Wengert{0} => [ 5.898, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000] + + 2Y => Wengert{0} => [ 0.000, 7.865, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000] + + 3Y => Wengert{0} => [ 0.000, 0.000, 10.815, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000] + + 4Y => Wengert{0} => [ 0.000, 0.000, 0.000, 13.731, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000] + + 5Y => Wengert{0} => [ 0.000, 0.000, 0.000, 0.000, 16.674, 0.000, 0.000, 0.000, 0.000, 0.000] + + 7Y => Wengert{0} => [ 0.000, 0.000, 0.000, 0.000, 0.000, 22.504, 0.000, 0.000, 0.000, 0.000] + + 10Y => Wengert{0} => [ 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 31.130, 0.000, 0.000, 0.000] + + 15Y => Wengert{0} => [ 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 45.281, 0.000, 0.000] + + 20Y => Wengert{0} => [ 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 59.729, 0.000] + + 30Y => Wengert{0} => [ 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 86.455] + + ---------------------------------------------------------------- + IRS INSTRUMENTS QUOTE REVISION FROM CCBS REFERENCE BASIS INPUTS + ---------------------------------------------------------------- + [13-DEC-2012 - 13-DEC-2013] = 1.583% | 1.750% | 17 | 0.9843 + [13-DEC-2012 - 13-DEC-2014] = 1.590% | 1.750% | 16 | 0.9689 + [13-DEC-2012 - 13-DEC-2015] = 1.573% | 1.750% | 18 | 0.9542 + [13-DEC-2012 - 13-DEC-2016] = 1.810% | 2.000% | 19 | 0.9305 + [13-DEC-2012 - 13-DEC-2017] = 1.805% | 2.000% | 20 | 0.9142 + [13-DEC-2012 - 13-DEC-2019] = 1.805% | 2.000% | 19 | 0.8820 + [13-DEC-2012 - 13-DEC-2022] = 1.945% | 2.125% | 18 | 0.8236 + [13-DEC-2012 - 13-DEC-2027] = 1.975% | 2.125% | 15 | 0.7444 + [13-DEC-2012 - 13-DEC-2032] = 2.002% | 2.125% | 12 | 0.6709 + [13-DEC-2012 - 13-DEC-2042] = 2.027% | 2.125% | 10 | 0.5452 + ---------------------------------------------------------------------- + CCBS REFERENCE BASIS TENOR JACOBIAN + ---------------------------------------------------------------------- + 1Y => Wengert{0} => [ 5.895, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000] + + 2Y => Wengert{0} => [ 0.000, 7.859, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000] + + 3Y => Wengert{0} => [ 0.000, 0.000, 10.806, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000] + + 4Y => Wengert{0} => [ 0.000, 0.000, 0.000, 13.718, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000] + + 5Y => Wengert{0} => [ 0.000, 0.000, 0.000, 0.000, 16.658, 0.000, 0.000, 0.000, 0.000, 0.000] + + 7Y => Wengert{0} => [ 0.000, 0.000, 0.000, 0.000, 0.000, 22.481, 0.000, 0.000, 0.000, 0.000] + + 10Y => Wengert{0} => [ 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 31.102, 0.000, 0.000, 0.000] + + 15Y => Wengert{0} => [ 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 45.249, 0.000, 0.000] + + 20Y => Wengert{0} => [ 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 59.697, 0.000] + + 30Y => Wengert{0} => [ 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 86.422] + + + |-----------------------------------------------------------------| + | Copyright (C) 2011-2019 (DRIP, DROP) + |-----------------------------------------------------------------| + | Build Version => 3.98.0 multi mode + | Build JVM (TM) => 1.8.0_112 + | Build Snap => Thu Jan 03 12:59:38 EST 2018 + | Start Time => Thu Jan 03 22:24:42 EST 2019 + | Setup Time => Thu Jan 03 22:24:43 EST 2019 + | Finish Time => Thu Jan 03 22:24:49 EST 2019 + | Setup Duration => 467 ms + | Run Duration => 6 s 580 ms + |-----------------------------------------------------------------| + diff --git a/drop/org/drip/sample/dual/GBP3M6MUSD3M6M.drop b/drop/org/drip/sample/dual/GBP3M6MUSD3M6M.drop new file mode 100644 index 000000000000..edbb19f464bf --- /dev/null +++ b/drop/org/drip/sample/dual/GBP3M6MUSD3M6M.drop @@ -0,0 +1,152 @@ + + |-----------------------------------------------------------------| + | Copyright (C) 2011-2019 (DRIP, DROP) + |-----------------------------------------------------------------| + | Build Version => 3.98.0 multi mode + | Build JVM (TM) => 1.8.0_112 + | Build Snap => Thu Jan 03 12:59:38 EST 2018 + | Start Time => Thu Jan 03 22:25:08 EST 2019 + | Setup Time => Thu Jan 03 22:25:08 EST 2019 + | Setup Duration => 472 ms + |-----------------------------------------------------------------| + + ---------------------------------------------------------------- + RECOVERY OF THE CCBS REFERENCE COMPONENT DERIVED BASIS + ---------------------------------------------------------------- + [11-DEC-2012 - 11-DEC-2013] = 0.500 | 0.500 | -0.1474% + [11-DEC-2012 - 11-DEC-2014] = 0.500 | 0.500 | 0.1068% + [11-DEC-2012 - 11-DEC-2015] = 0.250 | 0.250 | 0.1401% + [11-DEC-2012 - 11-DEC-2016] = 0.000 | 0.000 | 0.6761% + [11-DEC-2012 - 11-DEC-2017] = -0.250 | -0.250 | 1.0663% + [11-DEC-2012 - 11-DEC-2019] = -1.250 | -1.250 | 1.8972% + [11-DEC-2012 - 11-DEC-2022] = -2.750 | -2.750 | 2.3679% + [11-DEC-2012 - 11-DEC-2027] = -4.250 | -4.250 | 2.9903% + [11-DEC-2012 - 11-DEC-2032] = -4.500 | -4.500 | 2.1068% + [11-DEC-2012 - 11-DEC-2042] = -4.500 | -4.500 | 3.1465% + + ---------------------------------------------------------------- + ---- CCBS DERIVED QUOTE FORWARD CURVE SENSITIVITY --- + ---------------------------------------------------------------- + 11-DEC-2013 | 1Y: Wengert{0} => [ 34.358, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000] + + 11-DEC-2014 | 2Y: Wengert{0} => [ 0.000, 60.157, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000] + + 11-DEC-2015 | 3Y: Wengert{0} => [ 0.000, 0.000, 86.172, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000] + + 11-DEC-2017 | 5Y: Wengert{0} => [ 0.000, 0.000, 0.000, 0.000, 140.343, 0.000, 0.000, 0.000, 0.000, 0.000] + + 11-DEC-2019 | 7Y: Wengert{0} => [ 0.000, 0.000, 0.000, 0.000, 0.000, 122.876, 0.000, 0.000, 0.000, 0.000] + + ---------------------------------------------------------------- + RECOVERY OF THE CCBS REFERENCE COMPONENT REFERENCE BASIS + ---------------------------------------------------------------- + [11-DEC-2012 - 11-DEC-2013] = 0.500 | 0.500 | -0.1873% + [11-DEC-2012 - 11-DEC-2014] = 0.500 | 0.500 | 0.0920% + [11-DEC-2012 - 11-DEC-2015] = 0.250 | 0.250 | 0.1700% + [11-DEC-2012 - 11-DEC-2016] = -0.000 | 0.000 | 0.7256% + [11-DEC-2012 - 11-DEC-2017] = -0.250 | -0.250 | 1.1599% + [11-DEC-2012 - 11-DEC-2019] = -1.250 | -1.250 | 2.2186% + [11-DEC-2012 - 11-DEC-2022] = -2.750 | -2.750 | 2.7477% + [11-DEC-2012 - 11-DEC-2027] = -4.250 | -4.250 | 3.4705% + [11-DEC-2012 - 11-DEC-2032] = -4.500 | -4.500 | 2.2372% + [11-DEC-2012 - 11-DEC-2042] = -4.500 | -4.500 | 3.8010% + + ---------------------------------------------------------------- + ---- CCBS DERIVED QUOTE FORWARD CURVE SENSITIVITY --- + ---------------------------------------------------------------- + 11-DEC-2013 | 1Y: Wengert{0} => [ 34.359, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000] + + 11-DEC-2014 | 2Y: Wengert{0} => [ 0.000, 60.159, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000] + + 11-DEC-2015 | 3Y: Wengert{0} => [ 0.000, 0.000, 86.173, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000] + + 11-DEC-2017 | 5Y: Wengert{0} => [ 0.000, 0.000, 0.000, 0.000, 140.341, 0.000, 0.000, 0.000, 0.000, 0.000] + + 11-DEC-2019 | 7Y: Wengert{0} => [ 0.000, 0.000, 0.000, 0.000, 0.000, 122.868, 0.000, 0.000, 0.000, 0.000] + + ---------------------------------------------------------------- + IRS INSTRUMENTS QUOTE REVISION FROM CCBS DERIVED BASIS INPUTS + ---------------------------------------------------------------- + [11-DEC-2012 - 11-DEC-2013] = 0.389% | 0.250% | -14 | 0.9961 + [11-DEC-2012 - 11-DEC-2014] = 0.381% | 0.250% | -13 | 0.9924 + [11-DEC-2012 - 11-DEC-2015] = 0.399% | 0.250% | -15 | 0.9881 + [11-DEC-2012 - 11-DEC-2016] = 0.664% | 0.500% | -16 | 0.9737 + [11-DEC-2012 - 11-DEC-2017] = 0.673% | 0.500% | -17 | 0.9668 + [11-DEC-2012 - 11-DEC-2019] = 1.432% | 1.250% | -18 | 0.9027 + [11-DEC-2012 - 11-DEC-2022] = 2.938% | 2.750% | -19 | 0.7294 + [11-DEC-2012 - 11-DEC-2027] = 4.435% | 4.250% | -18 | 0.4642 + [11-DEC-2012 - 11-DEC-2032] = 4.674% | 4.500% | -17 | 0.3443 + [11-DEC-2012 - 11-DEC-2042] = 4.665% | 4.500% | -16 | 0.2177 + ---------------------------------------------------------------------- + CCBS DERIVED BASIS TENOR JACOBIAN + ---------------------------------------------------------------------- + 1Y => Wengert{0} => [ 6.984, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000] + + 2Y => Wengert{0} => [ 0.000, 9.989, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000] + + 3Y => Wengert{0} => [ 0.000, 0.000, 13.985, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000] + + 4Y => Wengert{0} => [ 0.000, 0.000, 0.000, 17.956, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000] + + 5Y => Wengert{0} => [ 0.000, 0.000, 0.000, 0.000, 21.947, 0.000, 0.000, 0.000, 0.000, 0.000] + + 7Y => Wengert{0} => [ 0.000, 0.000, 0.000, 0.000, 0.000, 29.722, 0.000, 0.000, 0.000, 0.000] + + 10Y => Wengert{0} => [ 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 40.869, 0.000, 0.000, 0.000] + + 15Y => Wengert{0} => [ 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 58.274, 0.000, 0.000] + + 20Y => Wengert{0} => [ 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 76.792, 0.000] + + 30Y => Wengert{0} => [ 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 108.556] + + ---------------------------------------------------------------- + IRS INSTRUMENTS QUOTE REVISION FROM CCBS REFERENCE BASIS INPUTS + ---------------------------------------------------------------- + [11-DEC-2012 - 11-DEC-2013] = 0.102% | 0.250% | 15 | 0.9990 + [11-DEC-2012 - 11-DEC-2014] = 0.109% | 0.250% | 14 | 0.9978 + [11-DEC-2012 - 11-DEC-2015] = 0.096% | 0.250% | 15 | 0.9971 + [11-DEC-2012 - 11-DEC-2016] = 0.337% | 0.500% | 16 | 0.9866 + [11-DEC-2012 - 11-DEC-2017] = 0.333% | 0.500% | 17 | 0.9834 + [11-DEC-2012 - 11-DEC-2019] = 1.096% | 1.250% | 15 | 0.9247 + [11-DEC-2012 - 11-DEC-2022] = 2.623% | 2.750% | 13 | 0.7543 + [11-DEC-2012 - 11-DEC-2027] = 4.165% | 4.250% | 09 | 0.4855 + [11-DEC-2012 - 11-DEC-2032] = 4.439% | 4.500% | 06 | 0.3610 + [11-DEC-2012 - 11-DEC-2042] = 4.462% | 4.500% | 04 | 0.2292 + ---------------------------------------------------------------------- + CCBS REFERENCE BASIS TENOR JACOBIAN + ---------------------------------------------------------------------- + 1Y => Wengert{0} => [ 6.981, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000] + + 2Y => Wengert{0} => [ 0.000, 9.983, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000] + + 3Y => Wengert{0} => [ 0.000, 0.000, 13.976, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000] + + 4Y => Wengert{0} => [ 0.000, 0.000, 0.000, 17.943, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000] + + 5Y => Wengert{0} => [ 0.000, 0.000, 0.000, 0.000, 21.930, 0.000, 0.000, 0.000, 0.000, 0.000] + + 7Y => Wengert{0} => [ 0.000, 0.000, 0.000, 0.000, 0.000, 29.699, 0.000, 0.000, 0.000, 0.000] + + 10Y => Wengert{0} => [ 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 40.841, 0.000, 0.000, 0.000] + + 15Y => Wengert{0} => [ 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 58.243, 0.000, 0.000] + + 20Y => Wengert{0} => [ 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 76.761, 0.000] + + 30Y => Wengert{0} => [ 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 108.525] + + + |-----------------------------------------------------------------| + | Copyright (C) 2011-2019 (DRIP, DROP) + |-----------------------------------------------------------------| + | Build Version => 3.98.0 multi mode + | Build JVM (TM) => 1.8.0_112 + | Build Snap => Thu Jan 03 12:59:38 EST 2018 + | Start Time => Thu Jan 03 22:25:08 EST 2019 + | Setup Time => Thu Jan 03 22:25:08 EST 2019 + | Finish Time => Thu Jan 03 22:25:13 EST 2019 + | Setup Duration => 472 ms + | Run Duration => 4 s 687 ms + |-----------------------------------------------------------------| + diff --git a/drop/org/drip/sample/dual/JPY3M6MUSD3M6M.drop b/drop/org/drip/sample/dual/JPY3M6MUSD3M6M.drop new file mode 100644 index 000000000000..4e518ffbd419 --- /dev/null +++ b/drop/org/drip/sample/dual/JPY3M6MUSD3M6M.drop @@ -0,0 +1,152 @@ + + |-----------------------------------------------------------------| + | Copyright (C) 2011-2019 (DRIP, DROP) + |-----------------------------------------------------------------| + | Build Version => 3.98.0 multi mode + | Build JVM (TM) => 1.8.0_112 + | Build Snap => Thu Jan 03 12:59:38 EST 2018 + | Start Time => Thu Jan 03 22:25:36 EST 2019 + | Setup Time => Thu Jan 03 22:25:37 EST 2019 + | Setup Duration => 483 ms + |-----------------------------------------------------------------| + + ---------------------------------------------------------------- + RECOVERY OF THE CCBS REFERENCE COMPONENT DERIVED BASIS + ---------------------------------------------------------------- + [11-DEC-2012 - 11-DEC-2013] = -3.500 | -3.500 | 0.3728% + [11-DEC-2012 - 11-DEC-2014] = -3.500 | -3.500 | 0.3593% + [11-DEC-2012 - 11-DEC-2015] = -3.250 | -3.250 | 0.7868% + [11-DEC-2012 - 11-DEC-2016] = -3.250 | -3.250 | 1.1563% + [11-DEC-2012 - 11-DEC-2017] = -3.500 | -3.500 | 1.7027% + [11-DEC-2012 - 11-DEC-2019] = -4.000 | -4.000 | 2.2728% + [11-DEC-2012 - 11-DEC-2022] = -6.000 | -6.000 | 2.9980% + [11-DEC-2012 - 11-DEC-2027] = -12.000 | -12.000 | 2.8986% + [11-DEC-2012 - 11-DEC-2032] = -16.750 | -16.750 | 2.5907% + [11-DEC-2012 - 11-DEC-2042] = -24.750 | -24.750 | 2.2612% + + ---------------------------------------------------------------- + ---- CCBS DERIVED QUOTE FORWARD CURVE SENSITIVITY --- + ---------------------------------------------------------------- + 11-DEC-2013 | 1Y: Wengert{0} => [ 0.190, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000] + + 11-DEC-2014 | 2Y: Wengert{0} => [ 0.000, 0.328, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000] + + 11-DEC-2015 | 3Y: Wengert{0} => [ 0.000, 0.000, 0.462, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000] + + 11-DEC-2017 | 5Y: Wengert{0} => [ 0.000, 0.000, 0.000, 0.000, 0.707, 0.000, 0.000, 0.000, 0.000, 0.000] + + 11-DEC-2019 | 7Y: Wengert{0} => [ 0.000, 0.000, 0.000, 0.000, 0.000, 0.577, 0.000, 0.000, 0.000, 0.000] + + ---------------------------------------------------------------- + RECOVERY OF THE CCBS REFERENCE COMPONENT REFERENCE BASIS + ---------------------------------------------------------------- + [11-DEC-2012 - 11-DEC-2013] = -3.500 | -3.500 | 0.3728% + [11-DEC-2012 - 11-DEC-2014] = -3.500 | -3.500 | 0.3593% + [11-DEC-2012 - 11-DEC-2015] = -3.250 | -3.250 | 0.7868% + [11-DEC-2012 - 11-DEC-2016] = -3.250 | -3.250 | 1.1563% + [11-DEC-2012 - 11-DEC-2017] = -3.500 | -3.500 | 1.7028% + [11-DEC-2012 - 11-DEC-2019] = -4.000 | -4.000 | 2.2728% + [11-DEC-2012 - 11-DEC-2022] = -6.000 | -6.000 | 2.9980% + [11-DEC-2012 - 11-DEC-2027] = -12.000 | -12.000 | 2.8987% + [11-DEC-2012 - 11-DEC-2032] = -16.750 | -16.750 | 2.5907% + [11-DEC-2012 - 11-DEC-2042] = -24.750 | -24.750 | 2.2613% + + ---------------------------------------------------------------- + ---- CCBS DERIVED QUOTE FORWARD CURVE SENSITIVITY --- + ---------------------------------------------------------------- + 11-DEC-2013 | 1Y: Wengert{0} => [ 0.190, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000] + + 11-DEC-2014 | 2Y: Wengert{0} => [ 0.000, 0.328, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000] + + 11-DEC-2015 | 3Y: Wengert{0} => [ 0.000, 0.000, 0.462, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000] + + 11-DEC-2017 | 5Y: Wengert{0} => [ 0.000, 0.000, 0.000, 0.000, 0.707, 0.000, 0.000, 0.000, 0.000, 0.000] + + 11-DEC-2019 | 7Y: Wengert{0} => [ 0.000, 0.000, 0.000, 0.000, 0.000, 0.577, 0.000, 0.000, 0.000, 0.000] + + ---------------------------------------------------------------- + IRS INSTRUMENTS QUOTE REVISION FROM CCBS DERIVED BASIS INPUTS + ---------------------------------------------------------------- + [13-DEC-2012 - 13-DEC-2013] = 0.504% | 0.325% | -18 | 0.9949 + [13-DEC-2012 - 13-DEC-2014] = 0.497% | 0.325% | -17 | 0.9901 + [13-DEC-2012 - 13-DEC-2015] = 0.535% | 0.350% | -19 | 0.9841 + [13-DEC-2012 - 13-DEC-2016] = 0.548% | 0.350% | -20 | 0.9783 + [13-DEC-2012 - 13-DEC-2017] = 0.556% | 0.350% | -21 | 0.9725 + [13-DEC-2012 - 13-DEC-2019] = 0.608% | 0.400% | -21 | 0.9583 + [13-DEC-2012 - 13-DEC-2022] = 0.811% | 0.600% | -21 | 0.9215 + [13-DEC-2012 - 13-DEC-2027] = 1.437% | 1.200% | -24 | 0.7992 + [13-DEC-2012 - 13-DEC-2032] = 1.935% | 1.675% | -26 | 0.6595 + [13-DEC-2012 - 13-DEC-2042] = 2.807% | 2.475% | -33 | 0.3642 + ---------------------------------------------------------------------- + CCBS DERIVED BASIS TENOR JACOBIAN + ---------------------------------------------------------------------- + 1Y => Wengert{0} => [ 4.994, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000] + + 2Y => Wengert{0} => [ 0.000, 9.985, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000] + + 3Y => Wengert{0} => [ 0.000, 0.000, 13.978, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000] + + 4Y => Wengert{0} => [ 0.000, 0.000, 0.000, 17.972, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000] + + 5Y => Wengert{0} => [ 0.000, 0.000, 0.000, 0.000, 21.967, 0.000, 0.000, 0.000, 0.000, 0.000] + + 7Y => Wengert{0} => [ 0.000, 0.000, 0.000, 0.000, 0.000, 29.921, 0.000, 0.000, 0.000, 0.000] + + 10Y => Wengert{0} => [ 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 41.764, 0.000, 0.000, 0.000] + + 15Y => Wengert{0} => [ 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 60.927, 0.000, 0.000] + + 20Y => Wengert{0} => [ 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 80.016, 0.000] + + 30Y => Wengert{0} => [ 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 114.275] + + ---------------------------------------------------------------- + IRS INSTRUMENTS QUOTE REVISION FROM CCBS REFERENCE BASIS INPUTS + ---------------------------------------------------------------- + [13-DEC-2012 - 13-DEC-2013] = 0.217% | 0.325% | 11 | 0.9978 + [13-DEC-2012 - 13-DEC-2014] = 0.225% | 0.325% | 10 | 0.9955 + [13-DEC-2012 - 13-DEC-2015] = 0.232% | 0.350% | 12 | 0.9931 + [13-DEC-2012 - 13-DEC-2016] = 0.220% | 0.350% | 13 | 0.9912 + [13-DEC-2012 - 13-DEC-2017] = 0.216% | 0.350% | 13 | 0.9892 + [13-DEC-2012 - 13-DEC-2019] = 0.275% | 0.400% | 13 | 0.9809 + [13-DEC-2012 - 13-DEC-2022] = 0.511% | 0.600% | 09 | 0.9497 + [13-DEC-2012 - 13-DEC-2027] = 1.201% | 1.200% | -00 | 0.8284 + [13-DEC-2012 - 13-DEC-2032] = 1.745% | 1.675% | -07 | 0.6853 + [13-DEC-2012 - 13-DEC-2042] = 2.650% | 2.475% | -17 | 0.3822 + ---------------------------------------------------------------------- + CCBS REFERENCE BASIS TENOR JACOBIAN + ---------------------------------------------------------------------- + 1Y => Wengert{0} => [ 4.991, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000] + + 2Y => Wengert{0} => [ 0.000, 9.980, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000] + + 3Y => Wengert{0} => [ 0.000, 0.000, 13.969, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000] + + 4Y => Wengert{0} => [ 0.000, 0.000, 0.000, 17.959, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000] + + 5Y => Wengert{0} => [ 0.000, 0.000, 0.000, 0.000, 21.950, 0.000, 0.000, 0.000, 0.000, 0.000] + + 7Y => Wengert{0} => [ 0.000, 0.000, 0.000, 0.000, 0.000, 29.898, 0.000, 0.000, 0.000, 0.000] + + 10Y => Wengert{0} => [ 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 41.735, 0.000, 0.000, 0.000] + + 15Y => Wengert{0} => [ 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 60.894, 0.000, 0.000] + + 20Y => Wengert{0} => [ 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 79.984, 0.000] + + 30Y => Wengert{0} => [ 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 114.243] + + + |-----------------------------------------------------------------| + | Copyright (C) 2011-2019 (DRIP, DROP) + |-----------------------------------------------------------------| + | Build Version => 3.98.0 multi mode + | Build JVM (TM) => 1.8.0_112 + | Build Snap => Thu Jan 03 12:59:38 EST 2018 + | Start Time => Thu Jan 03 22:25:36 EST 2019 + | Setup Time => Thu Jan 03 22:25:37 EST 2019 + | Finish Time => Thu Jan 03 22:25:42 EST 2019 + | Setup Duration => 483 ms + | Run Duration => 4 s 927 ms + |-----------------------------------------------------------------| + diff --git a/drop/org/drip/sample/dual/NOK3M6MUSD3M6M.drop b/drop/org/drip/sample/dual/NOK3M6MUSD3M6M.drop new file mode 100644 index 000000000000..059b7b4ab0fb --- /dev/null +++ b/drop/org/drip/sample/dual/NOK3M6MUSD3M6M.drop @@ -0,0 +1,144 @@ + + |-----------------------------------------------------------------| + | Copyright (C) 2011-2019 (DRIP, DROP) + |-----------------------------------------------------------------| + | Build Version => 3.98.0 multi mode + | Build JVM (TM) => 1.8.0_112 + | Build Snap => Thu Jan 03 12:59:38 EST 2018 + | Start Time => Thu Jan 03 22:25:58 EST 2019 + | Setup Time => Thu Jan 03 22:25:58 EST 2019 + | Setup Duration => 490 ms + |-----------------------------------------------------------------| + + ---------------------------------------------------------------- + RECOVERY OF THE CCBS REFERENCE COMPONENT DERIVED BASIS + ---------------------------------------------------------------- + [11-DEC-2012 - 11-DEC-2013] = -6.000 | -6.000 | -0.0013% + [11-DEC-2012 - 11-DEC-2014] = -6.000 | -6.000 | 0.0209% + [11-DEC-2012 - 11-DEC-2015] = -6.000 | -6.000 | 0.0027% + [11-DEC-2012 - 11-DEC-2016] = -5.750 | -5.750 | 0.0162% + [11-DEC-2012 - 11-DEC-2017] = -5.750 | -5.750 | 0.0044% + [11-DEC-2012 - 11-DEC-2019] = -5.750 | -5.750 | 0.0213% + [11-DEC-2012 - 11-DEC-2022] = -5.750 | -5.750 | -0.0017% + [11-DEC-2012 - 11-DEC-2027] = -6.000 | -6.000 | 0.0352% + [11-DEC-2012 - 11-DEC-2032] = -6.000 | -6.000 | -0.0201% + + ---------------------------------------------------------------- + ---- CCBS DERIVED QUOTE FORWARD CURVE SENSITIVITY --- + ---------------------------------------------------------------- + 11-DEC-2013 | 1Y: Wengert{0} => [ 3.384, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000] + + 11-DEC-2014 | 2Y: Wengert{0} => [ 0.000, 5.922, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000] + + 11-DEC-2015 | 3Y: Wengert{0} => [ 0.000, 0.000, 8.461, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000] + + 11-DEC-2017 | 5Y: Wengert{0} => [ 0.000, 0.000, 0.000, 0.000, 13.543, 0.000, 0.000, 0.000, 0.000] + + 11-DEC-2019 | 7Y: Wengert{0} => [ 0.000, 0.000, 0.000, 0.000, 0.000, 11.503, 0.000, 0.000, 0.000] + + ---------------------------------------------------------------- + RECOVERY OF THE CCBS REFERENCE COMPONENT REFERENCE BASIS + ---------------------------------------------------------------- + [11-DEC-2012 - 11-DEC-2013] = -6.000 | -6.000 | 0.0033% + [11-DEC-2012 - 11-DEC-2014] = -6.000 | -6.000 | 0.0235% + [11-DEC-2012 - 11-DEC-2015] = -6.000 | -6.000 | 0.0066% + [11-DEC-2012 - 11-DEC-2016] = -5.750 | -5.750 | 0.0184% + [11-DEC-2012 - 11-DEC-2017] = -5.750 | -5.750 | 0.0086% + [11-DEC-2012 - 11-DEC-2019] = -5.750 | -5.750 | 0.0231% + [11-DEC-2012 - 11-DEC-2022] = -5.750 | -5.750 | 0.0038% + [11-DEC-2012 - 11-DEC-2027] = -6.000 | -6.000 | 0.0360% + [11-DEC-2012 - 11-DEC-2032] = -6.000 | -6.000 | -0.0121% + + ---------------------------------------------------------------- + ---- CCBS DERIVED QUOTE FORWARD CURVE SENSITIVITY --- + ---------------------------------------------------------------- + 11-DEC-2013 | 1Y: Wengert{0} => [ 3.384, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000] + + 11-DEC-2014 | 2Y: Wengert{0} => [ 0.000, 5.922, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000] + + 11-DEC-2015 | 3Y: Wengert{0} => [ 0.000, 0.000, 8.461, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000] + + 11-DEC-2017 | 5Y: Wengert{0} => [ 0.000, 0.000, 0.000, 0.000, 13.542, 0.000, 0.000, 0.000, 0.000] + + 11-DEC-2019 | 7Y: Wengert{0} => [ 0.000, 0.000, 0.000, 0.000, 0.000, 11.503, 0.000, 0.000, 0.000] + + ---------------------------------------------------------------- + IRS INSTRUMENTS QUOTE REVISION FROM CCBS DERIVED BASIS INPUTS + ---------------------------------------------------------------- + [13-DEC-2012 - 13-DEC-2013] = 5.966% | 5.750% | -22 | 0.9434 + [13-DEC-2012 - 13-DEC-2014] = 5.964% | 5.750% | -21 | 0.8903 + [13-DEC-2012 - 13-DEC-2015] = 5.987% | 5.750% | -24 | 0.8396 + [13-DEC-2012 - 13-DEC-2016] = 6.005% | 5.750% | -25 | 0.7916 + [13-DEC-2012 - 13-DEC-2017] = 6.269% | 6.000% | -27 | 0.7363 + [13-DEC-2012 - 13-DEC-2019] = 6.280% | 6.000% | -28 | 0.6516 + [13-DEC-2012 - 13-DEC-2022] = 6.278% | 6.000% | -28 | 0.5428 + [13-DEC-2012 - 13-DEC-2027] = 6.259% | 6.000% | -26 | 0.4020 + [13-DEC-2012 - 13-DEC-2032] = 6.241% | 6.000% | -24 | 0.2983 + ---------------------------------------------------------------------- + CCBS DERIVED BASIS TENOR JACOBIAN + ---------------------------------------------------------------------- + 1Y => Wengert{0} => [ 3.784, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000] + + 2Y => Wengert{0} => [ 0.000, 7.569, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000] + + 3Y => Wengert{0} => [ 0.000, 0.000, 10.408, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000] + + 4Y => Wengert{0} => [ 0.000, 0.000, 0.000, 13.247, 0.000, 0.000, 0.000, 0.000, 0.000] + + 5Y => Wengert{0} => [ 0.000, 0.000, 0.000, 0.000, 16.048, 0.000, 0.000, 0.000, 0.000] + + 7Y => Wengert{0} => [ 0.000, 0.000, 0.000, 0.000, 0.000, 21.560, 0.000, 0.000, 0.000] + + 10Y => Wengert{0} => [ 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 29.647, 0.000, 0.000] + + 15Y => Wengert{0} => [ 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 42.440, 0.000] + + 20Y => Wengert{0} => [ 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 55.983] + + ---------------------------------------------------------------- + IRS INSTRUMENTS QUOTE REVISION FROM CCBS REFERENCE BASIS INPUTS + ---------------------------------------------------------------- + [13-DEC-2012 - 13-DEC-2013] = 5.663% | 5.750% | 09 | 0.9461 + [13-DEC-2012 - 13-DEC-2014] = 5.669% | 5.750% | 08 | 0.8953 + [13-DEC-2012 - 13-DEC-2015] = 5.650% | 5.750% | 10 | 0.8478 + [13-DEC-2012 - 13-DEC-2016] = 5.631% | 5.750% | 12 | 0.8031 + [13-DEC-2012 - 13-DEC-2017] = 5.870% | 6.000% | 13 | 0.7506 + [13-DEC-2012 - 13-DEC-2019] = 5.867% | 6.000% | 13 | 0.6700 + [13-DEC-2012 - 13-DEC-2022] = 5.879% | 6.000% | 12 | 0.5638 + [13-DEC-2012 - 13-DEC-2027] = 5.917% | 6.000% | 08 | 0.4206 + [13-DEC-2012 - 13-DEC-2032] = 5.947% | 6.000% | 05 | 0.3124 + ---------------------------------------------------------------------- + CCBS REFERENCE BASIS TENOR JACOBIAN + ---------------------------------------------------------------------- + 1Y => Wengert{0} => [ 3.782, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000] + + 2Y => Wengert{0} => [ 0.000, 7.564, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000] + + 3Y => Wengert{0} => [ 0.000, 0.000, 10.399, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000] + + 4Y => Wengert{0} => [ 0.000, 0.000, 0.000, 13.235, 0.000, 0.000, 0.000, 0.000, 0.000] + + 5Y => Wengert{0} => [ 0.000, 0.000, 0.000, 0.000, 16.033, 0.000, 0.000, 0.000, 0.000] + + 7Y => Wengert{0} => [ 0.000, 0.000, 0.000, 0.000, 0.000, 21.539, 0.000, 0.000, 0.000] + + 10Y => Wengert{0} => [ 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 29.620, 0.000, 0.000] + + 15Y => Wengert{0} => [ 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 42.410, 0.000] + + 20Y => Wengert{0} => [ 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 55.953] + + + |-----------------------------------------------------------------| + | Copyright (C) 2011-2019 (DRIP, DROP) + |-----------------------------------------------------------------| + | Build Version => 3.98.0 multi mode + | Build JVM (TM) => 1.8.0_112 + | Build Snap => Thu Jan 03 12:59:38 EST 2018 + | Start Time => Thu Jan 03 22:25:58 EST 2019 + | Setup Time => Thu Jan 03 22:25:58 EST 2019 + | Finish Time => Thu Jan 03 22:26:01 EST 2019 + | Setup Duration => 490 ms + | Run Duration => 2 s 926 ms + |-----------------------------------------------------------------| + diff --git a/drop/org/drip/sample/dual/PLN3M6MUSD3M6M.drop b/drop/org/drip/sample/dual/PLN3M6MUSD3M6M.drop new file mode 100644 index 000000000000..32b9ac35b4f8 --- /dev/null +++ b/drop/org/drip/sample/dual/PLN3M6MUSD3M6M.drop @@ -0,0 +1,128 @@ + + |-----------------------------------------------------------------| + | Copyright (C) 2011-2019 (DRIP, DROP) + |-----------------------------------------------------------------| + | Build Version => 3.98.0 multi mode + | Build JVM (TM) => 1.8.0_112 + | Build Snap => Thu Jan 03 12:59:38 EST 2018 + | Start Time => Thu Jan 03 22:26:21 EST 2019 + | Setup Time => Thu Jan 03 22:26:22 EST 2019 + | Setup Duration => 584 ms + |-----------------------------------------------------------------| + + ---------------------------------------------------------------- + RECOVERY OF THE CCBS REFERENCE COMPONENT DERIVED BASIS + ---------------------------------------------------------------- + [11-DEC-2012 - 11-DEC-2013] = -3.500 | -3.500 | 0.3465% + [11-DEC-2012 - 11-DEC-2014] = -3.500 | -3.500 | 0.3477% + [11-DEC-2012 - 11-DEC-2015] = -3.500 | -3.500 | 0.7686% + [11-DEC-2012 - 11-DEC-2016] = -3.500 | -3.500 | 1.1386% + [11-DEC-2012 - 11-DEC-2017] = -3.500 | -3.500 | 1.6813% + [11-DEC-2012 - 11-DEC-2019] = -3.500 | -3.500 | 2.2267% + [11-DEC-2012 - 11-DEC-2022] = -3.500 | -3.500 | 2.9636% + + ---------------------------------------------------------------- + ---- CCBS DERIVED QUOTE FORWARD CURVE SENSITIVITY --- + ---------------------------------------------------------------- + 11-DEC-2013 | 1Y: Wengert{0} => [ 6.751, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000] + + 11-DEC-2014 | 2Y: Wengert{0} => [ 0.000, 11.811, 0.000, 0.000, 0.000, 0.000, 0.000] + + 11-DEC-2015 | 3Y: Wengert{0} => [ 0.000, 0.000, 16.868, 0.000, 0.000, 0.000, 0.000] + + 11-DEC-2017 | 5Y: Wengert{0} => [ 0.000, 0.000, 0.000, 0.000, 26.953, 0.000, 0.000] + + 11-DEC-2019 | 7Y: Wengert{0} => [ 0.000, 0.000, 0.000, 0.000, 0.000, 22.850, 0.000] + + ---------------------------------------------------------------- + RECOVERY OF THE CCBS REFERENCE COMPONENT REFERENCE BASIS + ---------------------------------------------------------------- + [11-DEC-2012 - 11-DEC-2013] = -3.500 | -3.500 | 0.3571% + [11-DEC-2012 - 11-DEC-2014] = -3.500 | -3.500 | 0.3535% + [11-DEC-2012 - 11-DEC-2015] = -3.500 | -3.500 | 0.7779% + [11-DEC-2012 - 11-DEC-2016] = -3.500 | -3.500 | 1.1451% + [11-DEC-2012 - 11-DEC-2017] = -3.500 | -3.500 | 1.6901% + [11-DEC-2012 - 11-DEC-2019] = -3.500 | -3.500 | 2.2324% + [11-DEC-2012 - 11-DEC-2022] = -3.500 | -3.500 | 2.9756% + + ---------------------------------------------------------------- + ---- CCBS DERIVED QUOTE FORWARD CURVE SENSITIVITY --- + ---------------------------------------------------------------- + 11-DEC-2013 | 1Y: Wengert{0} => [ 6.751, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000] + + 11-DEC-2014 | 2Y: Wengert{0} => [ 0.000, 11.811, 0.000, 0.000, 0.000, 0.000, 0.000] + + 11-DEC-2015 | 3Y: Wengert{0} => [ 0.000, 0.000, 16.867, 0.000, 0.000, 0.000, 0.000] + + 11-DEC-2017 | 5Y: Wengert{0} => [ 0.000, 0.000, 0.000, 0.000, 26.952, 0.000, 0.000] + + 11-DEC-2019 | 7Y: Wengert{0} => [ 0.000, 0.000, 0.000, 0.000, 0.000, 22.850, 0.000] + + ---------------------------------------------------------------- + IRS INSTRUMENTS QUOTE REVISION FROM CCBS DERIVED BASIS INPUTS + ---------------------------------------------------------------- + [13-DEC-2012 - 13-DEC-2013] = 3.686% | 3.500% | -19 | 0.9644 + [13-DEC-2012 - 13-DEC-2014] = 3.681% | 3.500% | -18 | 0.9303 + [13-DEC-2012 - 13-DEC-2015] = 3.701% | 3.500% | -20 | 0.8968 + [13-DEC-2012 - 13-DEC-2016] = 3.717% | 3.500% | -22 | 0.8643 + [13-DEC-2012 - 13-DEC-2017] = 3.727% | 3.500% | -23 | 0.8330 + [13-DEC-2012 - 13-DEC-2019] = 3.730% | 3.500% | -23 | 0.7742 + [13-DEC-2012 - 13-DEC-2022] = 3.719% | 3.500% | -22 | 0.6946 + ---------------------------------------------------------------------- + CCBS DERIVED BASIS TENOR JACOBIAN + ---------------------------------------------------------------------- + 1Y => Wengert{0} => [ 3.867, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000] + + 2Y => Wengert{0} => [ 0.000, 7.733, 0.000, 0.000, 0.000, 0.000, 0.000] + + 3Y => Wengert{0} => [ 0.000, 0.000, 10.634, 0.000, 0.000, 0.000, 0.000] + + 4Y => Wengert{0} => [ 0.000, 0.000, 0.000, 13.535, 0.000, 0.000, 0.000] + + 5Y => Wengert{0} => [ 0.000, 0.000, 0.000, 0.000, 16.437, 0.000, 0.000] + + 7Y => Wengert{0} => [ 0.000, 0.000, 0.000, 0.000, 0.000, 22.144, 0.000] + + 10Y => Wengert{0} => [ 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 30.594] + + ---------------------------------------------------------------- + IRS INSTRUMENTS QUOTE REVISION FROM CCBS REFERENCE BASIS INPUTS + ---------------------------------------------------------------- + [13-DEC-2012 - 13-DEC-2013] = 3.388% | 3.500% | 11 | 0.9671 + [13-DEC-2012 - 13-DEC-2014] = 3.394% | 3.500% | 11 | 0.9354 + [13-DEC-2012 - 13-DEC-2015] = 3.376% | 3.500% | 12 | 0.9053 + [13-DEC-2012 - 13-DEC-2016] = 3.362% | 3.500% | 14 | 0.8763 + [13-DEC-2012 - 13-DEC-2017] = 3.353% | 3.500% | 15 | 0.8483 + [13-DEC-2012 - 13-DEC-2019] = 3.352% | 3.500% | 15 | 0.7943 + [13-DEC-2012 - 13-DEC-2022] = 3.366% | 3.500% | 13 | 0.7186 + ---------------------------------------------------------------------- + CCBS REFERENCE BASIS TENOR JACOBIAN + ---------------------------------------------------------------------- + 1Y => Wengert{0} => [ 3.864, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000] + + 2Y => Wengert{0} => [ 0.000, 7.728, 0.000, 0.000, 0.000, 0.000, 0.000] + + 3Y => Wengert{0} => [ 0.000, 0.000, 10.626, 0.000, 0.000, 0.000, 0.000] + + 4Y => Wengert{0} => [ 0.000, 0.000, 0.000, 13.523, 0.000, 0.000, 0.000] + + 5Y => Wengert{0} => [ 0.000, 0.000, 0.000, 0.000, 16.420, 0.000, 0.000] + + 7Y => Wengert{0} => [ 0.000, 0.000, 0.000, 0.000, 0.000, 22.122, 0.000] + + 10Y => Wengert{0} => [ 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 30.566] + + + |-----------------------------------------------------------------| + | Copyright (C) 2011-2019 (DRIP, DROP) + |-----------------------------------------------------------------| + | Build Version => 3.98.0 multi mode + | Build JVM (TM) => 1.8.0_112 + | Build Snap => Thu Jan 03 12:59:38 EST 2018 + | Start Time => Thu Jan 03 22:26:21 EST 2019 + | Setup Time => Thu Jan 03 22:26:22 EST 2019 + | Finish Time => Thu Jan 03 22:26:25 EST 2019 + | Setup Duration => 584 ms + | Run Duration => 3 s 302 ms + |-----------------------------------------------------------------| + diff --git a/drop/org/drip/sample/dual/README.md b/drop/org/drip/sample/dual/README.md new file mode 100644 index 000000000000..e3be2483c7d8 --- /dev/null +++ b/drop/org/drip/sample/dual/README.md @@ -0,0 +1,47 @@ +# DROP Sample Dual Package + +

+ +DROP Dual illustrates Pricing/Valuation Analytics for G7 Standard OTC Cross Currency Swap. + + +## Class Components + + | Sample | Source | Output | + |-------------------|--------|--------| + | CAD3M6MUSD3M6M | [Java](https://github.com/lakshmiDRIP/DROP/tree/master/src/main/java/org/drip/sample/dual/CAD3M6MUSD3M6M.java) | [DROP](https://github.com/lakshmiDRIP/DROP/blob/master/drop/org/drip/sample/dual/CAD3M6MUSD3M6M.drop) | + | CCBSDiscountCurve | [Java](https://github.com/lakshmiDRIP/DROP/tree/master/src/main/java/org/drip/sample/dual/CCBSDiscountCurve.java) | [DROP](https://github.com/lakshmiDRIP/DROP/blob/master/drop/org/drip/sample/dual/CCBSDiscountCurve.drop) | + | CCBSForwardCurve | [Java](https://github.com/lakshmiDRIP/DROP/tree/master/src/main/java/org/drip/sample/dual/CCBSForwardCurve.java) | [DROP](https://github.com/lakshmiDRIP/DROP/blob/master/drop/org/drip/sample/dual/CCBSForwardCurve.drop) | + | CHF3M6MUSD3M6M | [Java](https://github.com/lakshmiDRIP/DROP/tree/master/src/main/java/org/drip/sample/dual/CHF3M6MUSD3M6M.java) | [DROP](https://github.com/lakshmiDRIP/DROP/blob/master/drop/org/drip/sample/dual/CHF3M6MUSD3M6M.drop) | + | DKK3M6MUSD3M6M | [Java](https://github.com/lakshmiDRIP/DROP/tree/master/src/main/java/org/drip/sample/dual/DKK3M6MUSD3M6M.java) | [DROP](https://github.com/lakshmiDRIP/DROP/blob/master/drop/org/drip/sample/dual/DKK3M6MUSD3M6M.drop) | + | EUR3M6MUSD3M6M | [Java](https://github.com/lakshmiDRIP/DROP/tree/master/src/main/java/org/drip/sample/dual/EUR3M6MUSD3M6M.java) | [DROP](https://github.com/lakshmiDRIP/DROP/blob/master/drop/org/drip/sample/dual/EUR3M6MUSD3M6M.drop) | + | GBP3M6MUSD3M6M | [Java](https://github.com/lakshmiDRIP/DROP/tree/master/src/main/java/org/drip/sample/dual/GBP3M6MUSD3M6M.java) | [DROP](https://github.com/lakshmiDRIP/DROP/blob/master/drop/org/drip/sample/dual/GBP3M6MUSD3M6M.drop) | + | JPY3M6MUSD3M6M | [Java](https://github.com/lakshmiDRIP/DROP/tree/master/src/main/java/org/drip/sample/dual/JPY3M6MUSD3M6M.java) | [DROP](https://github.com/lakshmiDRIP/DROP/blob/master/drop/org/drip/sample/dual/JPY3M6MUSD3M6M.drop) | + | NOK3M6MUSD3M6M | [Java](https://github.com/lakshmiDRIP/DROP/tree/master/src/main/java/org/drip/sample/dual/NOK3M6MUSD3M6M.java) | [DROP](https://github.com/lakshmiDRIP/DROP/blob/master/drop/org/drip/sample/dual/NOK3M6MUSD3M6M.drop) | + | PLN3M6MUSD3M6M | [Java](https://github.com/lakshmiDRIP/DROP/tree/master/src/main/java/org/drip/sample/dual/PLN3M6MUSD3M6M.java) | [DROP](https://github.com/lakshmiDRIP/DROP/blob/master/drop/org/drip/sample/dual/PLN3M6MUSD3M6M.drop) | + | SEK3M6MUSD3M6M | [Java](https://github.com/lakshmiDRIP/DROP/tree/master/src/main/java/org/drip/sample/dual/SEK3M6MUSD3M6M.java) | [DROP](https://github.com/lakshmiDRIP/DROP/blob/master/drop/org/drip/sample/dual/SEK3M6MUSD3M6M.drop) | + + +## Hierarchy + + + + +## DROP Specifications + + * 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 diff --git a/drop/org/drip/sample/dual/SEK3M6MUSD3M6M.drop b/drop/org/drip/sample/dual/SEK3M6MUSD3M6M.drop new file mode 100644 index 000000000000..39ae27a2bf03 --- /dev/null +++ b/drop/org/drip/sample/dual/SEK3M6MUSD3M6M.drop @@ -0,0 +1,144 @@ + + |-----------------------------------------------------------------| + | Copyright (C) 2011-2019 (DRIP, DROP) + |-----------------------------------------------------------------| + | Build Version => 3.98.0 multi mode + | Build JVM (TM) => 1.8.0_112 + | Build Snap => Thu Jan 03 12:59:38 EST 2018 + | Start Time => Thu Jan 03 22:26:42 EST 2019 + | Setup Time => Thu Jan 03 22:26:42 EST 2019 + | Setup Duration => 490 ms + |-----------------------------------------------------------------| + + ---------------------------------------------------------------- + RECOVERY OF THE CCBS REFERENCE COMPONENT DERIVED BASIS + ---------------------------------------------------------------- + [11-DEC-2012 - 11-DEC-2013] = -5.250 | -5.250 | 0.3671% + [11-DEC-2012 - 11-DEC-2014] = -4.000 | -4.000 | 0.3571% + [11-DEC-2012 - 11-DEC-2015] = -2.500 | -2.500 | 0.7804% + [11-DEC-2012 - 11-DEC-2016] = -1.750 | -1.750 | 1.1492% + [11-DEC-2012 - 11-DEC-2017] = -1.500 | -1.500 | 1.6943% + [11-DEC-2012 - 11-DEC-2019] = -1.250 | -1.250 | 2.2611% + [11-DEC-2012 - 11-DEC-2022] = -1.250 | -1.250 | 2.9792% + [11-DEC-2012 - 11-DEC-2027] = 0.000 | -0.000 | 2.8836% + [11-DEC-2012 - 11-DEC-2032] = -0.000 | -0.000 | 2.5640% + + ---------------------------------------------------------------- + ---- CCBS DERIVED QUOTE FORWARD CURVE SENSITIVITY --- + ---------------------------------------------------------------- + 11-DEC-2013 | 1Y: Wengert{0} => [ 3.013, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000] + + 11-DEC-2014 | 2Y: Wengert{0} => [ 0.000, 5.272, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000] + + 11-DEC-2015 | 3Y: Wengert{0} => [ 0.000, 0.000, 7.543, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000] + + 11-DEC-2017 | 5Y: Wengert{0} => [ 0.000, 0.000, 0.000, 0.000, 12.246, 0.000, 0.000, 0.000, 0.000] + + 11-DEC-2019 | 7Y: Wengert{0} => [ 0.000, 0.000, 0.000, 0.000, 0.000, 10.687, 0.000, 0.000, 0.000] + + ---------------------------------------------------------------- + RECOVERY OF THE CCBS REFERENCE COMPONENT REFERENCE BASIS + ---------------------------------------------------------------- + [11-DEC-2012 - 11-DEC-2013] = -5.250 | -5.250 | 0.3702% + [11-DEC-2012 - 11-DEC-2014] = -4.000 | -4.000 | 0.3571% + [11-DEC-2012 - 11-DEC-2015] = -2.500 | -2.500 | 0.7803% + [11-DEC-2012 - 11-DEC-2016] = -1.750 | -1.750 | 1.1488% + [11-DEC-2012 - 11-DEC-2017] = -1.500 | -1.500 | 1.6949% + [11-DEC-2012 - 11-DEC-2019] = -1.250 | -1.250 | 2.2608% + [11-DEC-2012 - 11-DEC-2022] = -1.250 | -1.250 | 2.9807% + [11-DEC-2012 - 11-DEC-2027] = -0.000 | -0.000 | 2.8796% + [11-DEC-2012 - 11-DEC-2032] = 0.000 | -0.000 | 2.5704% + + ---------------------------------------------------------------- + ---- CCBS DERIVED QUOTE FORWARD CURVE SENSITIVITY --- + ---------------------------------------------------------------- + 11-DEC-2013 | 1Y: Wengert{0} => [ 3.013, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000] + + 11-DEC-2014 | 2Y: Wengert{0} => [ 0.000, 5.272, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000] + + 11-DEC-2015 | 3Y: Wengert{0} => [ 0.000, 0.000, 7.543, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000] + + 11-DEC-2017 | 5Y: Wengert{0} => [ 0.000, 0.000, 0.000, 0.000, 12.246, 0.000, 0.000, 0.000, 0.000] + + 11-DEC-2019 | 7Y: Wengert{0} => [ 0.000, 0.000, 0.000, 0.000, 0.000, 10.687, 0.000, 0.000, 0.000] + + ---------------------------------------------------------------- + IRS INSTRUMENTS QUOTE REVISION FROM CCBS DERIVED BASIS INPUTS + ---------------------------------------------------------------- + [13-DEC-2012 - 13-DEC-2013] = 1.199% | 1.000% | -20 | 0.9881 + [13-DEC-2012 - 13-DEC-2014] = 1.179% | 1.000% | -18 | 0.9768 + [13-DEC-2012 - 13-DEC-2015] = 1.431% | 1.250% | -18 | 0.9581 + [13-DEC-2012 - 13-DEC-2016] = 1.436% | 1.250% | -19 | 0.9444 + [13-DEC-2012 - 13-DEC-2017] = 1.691% | 1.500% | -19 | 0.9190 + [13-DEC-2012 - 13-DEC-2019] = 1.939% | 1.750% | -19 | 0.8729 + [13-DEC-2012 - 13-DEC-2022] = 2.676% | 2.500% | -18 | 0.7601 + [13-DEC-2012 - 13-DEC-2027] = 4.137% | 4.000% | -14 | 0.5034 + [13-DEC-2012 - 13-DEC-2032] = 5.370% | 5.250% | -12 | 0.2599 + ---------------------------------------------------------------------- + CCBS DERIVED BASIS TENOR JACOBIAN + ---------------------------------------------------------------------- + 1Y => Wengert{0} => [ 3.962, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000] + + 2Y => Wengert{0} => [ 0.000, 7.924, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000] + + 3Y => Wengert{0} => [ 0.000, 0.000, 10.869, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000] + + 4Y => Wengert{0} => [ 0.000, 0.000, 0.000, 13.834, 0.000, 0.000, 0.000, 0.000, 0.000] + + 5Y => Wengert{0} => [ 0.000, 0.000, 0.000, 0.000, 16.758, 0.000, 0.000, 0.000, 0.000] + + 7Y => Wengert{0} => [ 0.000, 0.000, 0.000, 0.000, 0.000, 22.568, 0.000, 0.000, 0.000] + + 10Y => Wengert{0} => [ 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 30.983, 0.000, 0.000] + + 15Y => Wengert{0} => [ 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 43.858, 0.000] + + 20Y => Wengert{0} => [ 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 56.664] + + ---------------------------------------------------------------- + IRS INSTRUMENTS QUOTE REVISION FROM CCBS REFERENCE BASIS INPUTS + ---------------------------------------------------------------- + [13-DEC-2012 - 13-DEC-2013] = 0.909% | 1.000% | 09 | 0.9909 + [13-DEC-2012 - 13-DEC-2014] = 0.904% | 1.000% | 10 | 0.9821 + [13-DEC-2012 - 13-DEC-2015] = 1.122% | 1.250% | 13 | 0.9670 + [13-DEC-2012 - 13-DEC-2016] = 1.101% | 1.250% | 15 | 0.9570 + [13-DEC-2012 - 13-DEC-2017] = 1.342% | 1.500% | 16 | 0.9351 + [13-DEC-2012 - 13-DEC-2019] = 1.590% | 1.750% | 16 | 0.8943 + [13-DEC-2012 - 13-DEC-2022] = 2.353% | 2.500% | 15 | 0.7853 + [13-DEC-2012 - 13-DEC-2027] = 3.866% | 4.000% | 13 | 0.5251 + [13-DEC-2012 - 13-DEC-2032] = 5.133% | 5.250% | 12 | 0.2739 + ---------------------------------------------------------------------- + CCBS REFERENCE BASIS TENOR JACOBIAN + ---------------------------------------------------------------------- + 1Y => Wengert{0} => [ 3.960, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000] + + 2Y => Wengert{0} => [ 0.000, 7.919, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000] + + 3Y => Wengert{0} => [ 0.000, 0.000, 10.860, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000] + + 4Y => Wengert{0} => [ 0.000, 0.000, 0.000, 13.821, 0.000, 0.000, 0.000, 0.000, 0.000] + + 5Y => Wengert{0} => [ 0.000, 0.000, 0.000, 0.000, 16.741, 0.000, 0.000, 0.000, 0.000] + + 7Y => Wengert{0} => [ 0.000, 0.000, 0.000, 0.000, 0.000, 22.546, 0.000, 0.000, 0.000] + + 10Y => Wengert{0} => [ 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 30.954, 0.000, 0.000] + + 15Y => Wengert{0} => [ 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 43.827, 0.000] + + 20Y => Wengert{0} => [ 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 0.000, 56.634] + + + |-----------------------------------------------------------------| + | Copyright (C) 2011-2019 (DRIP, DROP) + |-----------------------------------------------------------------| + | Build Version => 3.98.0 multi mode + | Build JVM (TM) => 1.8.0_112 + | Build Snap => Thu Jan 03 12:59:38 EST 2018 + | Start Time => Thu Jan 03 22:26:42 EST 2019 + | Setup Time => Thu Jan 03 22:26:42 EST 2019 + | Finish Time => Thu Jan 03 22:26:47 EST 2019 + | Setup Duration => 490 ms + | Run Duration => 4 s 549 ms + |-----------------------------------------------------------------| + diff --git a/drop/org/drip/sample/efficientfrontier/BoundedMarkovitzBullet.drop b/drop/org/drip/sample/efficientfrontier/BoundedMarkovitzBullet.drop new file mode 100644 index 000000000000..1a6d0779f626 --- /dev/null +++ b/drop/org/drip/sample/efficientfrontier/BoundedMarkovitzBullet.drop @@ -0,0 +1,105 @@ + + |-----------------------------------------------------------------| + | Copyright (C) 2011-2019 (DRIP, DROP) + |-----------------------------------------------------------------| + | Build Version => 3.98.0 multi mode + | Build JVM (TM) => 1.8.0_112 + | Build Snap => Thu Jan 03 12:59:38 EST 2018 + | Start Time => Thu Jan 03 22:48:56 EST 2019 + | Setup Time => Thu Jan 03 22:48:57 EST 2019 + | Setup Duration => 457 ms + |-----------------------------------------------------------------| + + + + |------------------------------------------------------------------------------------------------|| + | CROSS ASSET COVARIANCE MATRIX || + |------------------------------------------------------------------------------------------------|| + | | TOK | EWJ | HYG | LQD | EMD | GSG | BWX || + |------------------------------------------------------------------------------------------------|| + | TOK | 0.00273300 | 0.00208300 | 0.00159300 | 0.00048800 | 0.00117200 | 0.00231200 | 0.00071000 || + | EWJ | 0.00208300 | 0.00276800 | 0.00130200 | 0.00045700 | 0.00110500 | 0.00164700 | 0.00056300 || + | HYG | 0.00159300 | 0.00130200 | 0.00146300 | 0.00063900 | 0.00105000 | 0.00111000 | 0.00051900 || + | LQD | 0.00048800 | 0.00045700 | 0.00063900 | 0.00060800 | 0.00066300 | 0.00004200 | 0.00037000 || + | EMD | 0.00117200 | 0.00110500 | 0.00105000 | 0.00066300 | 0.00138900 | 0.00082500 | 0.00066100 || + | GSG | 0.00231200 | 0.00164700 | 0.00111000 | 0.00004200 | 0.00082500 | 0.00521100 | 0.00074900 || + | BWX | 0.00071000 | 0.00056300 | 0.00051900 | 0.00037000 | 0.00066100 | 0.00074900 | 0.00070300 || + |------------------------------------------------------------------------------------------------|| + + + |-------------------|| + | ASSET BOUNDS || + |-------------------|| + | TOK | 05% | 40% || + | EWJ | 05% | 40% || + | HYG | 05% | 30% || + | LQD | 10% | 60% || + | EMD | 05% | 35% || + | GSG | 05% | 15% || + | BWX | 03% | 50% || + |-------------------|| + + + |--------------------------------------------|| + | INTERIOR POINT METHOD BARRIER PARAMETERS || + |--------------------------------------------|| + | Barrier Decay Velocity : 2.0 + | Barrier Decay Steps : 70 + | Initial Barrier Strength : 10000.0 + | Barrier Convergence Tolerance : 0.05 + |--------------------------------------------|| + + + + + |-----------------------------------------------------------------------------------------------|| + | GLOBAL MINIMUM VARIANCE AND MAXIMUM RETURNS PORTFOLIOS || + |-----------------------------------------------------------------------------------------------|| + | RETURNS | RISK % | TOK | EWJ | HYG | LQD | EMD | GSG | BWX || + |-----------------------------------------------------------------------------------------------|| + | 0.3384% | 2.4242 | 005.00% | 005.00% | 005.00% | 051.73% | 005.00% | 005.00% | 023.27% || + | 0.7612% | 4.7699 | 040.00% | 040.00% | 015.00% | 005.00% | 000.00% | 000.00% | 000.00% || + |-----------------------------------------------------------------------------------------------|| + + + + |-----------------------------------------------------------------------------------------------|| + | EFFICIENT FRONTIER: PORTFOLIO RISK & RETURNS + CORRESPONDING ASSET ALLOCATION || + |-----------------------------------------------------------------------------------------------|| + | RETURNS | RISK % | TOK | EWJ | HYG | LQD | EMD | GSG | BWX || + |-----------------------------------------------------------------------------------------------|| + | 0.3384% | 2.4242 | 005.00% | 005.00% | 005.00% | 051.73% | 005.00% | 005.00% | 023.27% || + | 0.3596% | 2.4610 | 005.00% | 005.06% | 005.00% | 060.00% | 005.00% | 007.60% | 012.34% || + | 0.3807% | 2.5191 | 005.00% | 006.91% | 006.46% | 060.00% | 005.00% | 008.34% | 008.28% || + | 0.4019% | 2.5838 | 005.78% | 007.38% | 008.88% | 060.00% | 005.00% | 008.68% | 004.28% || + | 0.4230% | 2.6557 | 008.19% | 007.37% | 010.88% | 057.32% | 005.00% | 008.24% | 003.00% || + | 0.4441% | 2.7348 | 009.22% | 007.59% | 015.00% | 052.41% | 005.00% | 007.78% | 003.00% || + | 0.4653% | 2.8196 | 010.25% | 007.81% | 019.11% | 047.50% | 005.00% | 007.32% | 003.00% || + | 0.4864% | 2.9095 | 011.29% | 008.04% | 023.23% | 042.59% | 005.00% | 006.86% | 003.00% || + | 0.5076% | 3.0041 | 012.32% | 008.26% | 027.34% | 037.68% | 005.00% | 006.40% | 003.00% || + | 0.5287% | 3.1031 | 014.33% | 008.54% | 030.00% | 033.27% | 005.00% | 005.86% | 003.00% || + | 0.5498% | 3.2076 | 018.12% | 008.93% | 030.00% | 029.77% | 005.00% | 005.18% | 003.00% || + | 0.5710% | 3.3176 | 021.53% | 009.33% | 030.00% | 026.14% | 005.00% | 005.00% | 003.00% || + | 0.5921% | 3.4330 | 024.80% | 009.75% | 030.00% | 022.45% | 005.00% | 005.00% | 003.00% || + | 0.6133% | 3.5532 | 028.07% | 010.16% | 030.00% | 018.77% | 005.00% | 005.00% | 003.00% || + | 0.6344% | 3.6778 | 031.35% | 010.57% | 030.00% | 015.08% | 005.00% | 005.00% | 003.00% || + | 0.6555% | 3.8063 | 034.62% | 010.99% | 030.00% | 011.39% | 005.00% | 005.00% | 003.00% || + | 0.6767% | 3.9823 | 040.00% | 017.47% | 019.53% | 010.00% | 005.00% | 005.00% | 003.00% || + | 0.7612% | 4.7699 | 040.00% | 040.00% | 015.00% | 005.00% | 000.00% | 000.00% | 000.00% || + |-----------------------------------------------------------------------------------------------|| + + + + |-----------------------------------------------------------------| + | Copyright (C) 2011-2019 (DRIP, DROP) + |-----------------------------------------------------------------| + | Build Version => 3.98.0 multi mode + | Build JVM (TM) => 1.8.0_112 + | Build Snap => Thu Jan 03 12:59:38 EST 2018 + | Start Time => Thu Jan 03 22:48:56 EST 2019 + | Setup Time => Thu Jan 03 22:48:57 EST 2019 + | Finish Time => Thu Jan 03 22:48:57 EST 2019 + | Setup Duration => 457 ms + | Run Duration => 234 ms + |-----------------------------------------------------------------| + diff --git a/drop/org/drip/sample/efficientfrontier/LongOnlyMarkovitzBullet.drop b/drop/org/drip/sample/efficientfrontier/LongOnlyMarkovitzBullet.drop new file mode 100644 index 000000000000..b2ed1a3e7f64 --- /dev/null +++ b/drop/org/drip/sample/efficientfrontier/LongOnlyMarkovitzBullet.drop @@ -0,0 +1,109 @@ + + |-----------------------------------------------------------------| + | Copyright (C) 2011-2019 (DRIP, DROP) + |-----------------------------------------------------------------| + | Build Version => 3.98.0 multi mode + | Build JVM (TM) => 1.8.0_112 + | Build Snap => Thu Jan 03 12:59:38 EST 2018 + | Start Time => Thu Jan 03 22:49:22 EST 2019 + | Setup Time => Thu Jan 03 22:49:23 EST 2019 + | Setup Duration => 517 ms + |-----------------------------------------------------------------| + + + + |------------------------------------------------------------------------------------------------|| + | CROSS ASSET COVARIANCE MATRIX || + |------------------------------------------------------------------------------------------------|| + | | TOK | EWJ | HYG | LQD | EMD | GSG | BWX || + |------------------------------------------------------------------------------------------------|| + | TOK | 0.00273300 | 0.00208300 | 0.00159300 | 0.00048800 | 0.00117200 | 0.00231200 | 0.00071000 || + | EWJ | 0.00208300 | 0.00276800 | 0.00130200 | 0.00045700 | 0.00110500 | 0.00164700 | 0.00056300 || + | HYG | 0.00159300 | 0.00130200 | 0.00146300 | 0.00063900 | 0.00105000 | 0.00111000 | 0.00051900 || + | LQD | 0.00048800 | 0.00045700 | 0.00063900 | 0.00060800 | 0.00066300 | 0.00004200 | 0.00037000 || + | EMD | 0.00117200 | 0.00110500 | 0.00105000 | 0.00066300 | 0.00138900 | 0.00082500 | 0.00066100 || + | GSG | 0.00231200 | 0.00164700 | 0.00111000 | 0.00004200 | 0.00082500 | 0.00521100 | 0.00074900 || + | BWX | 0.00071000 | 0.00056300 | 0.00051900 | 0.00037000 | 0.00066100 | 0.00074900 | 0.00070300 || + |------------------------------------------------------------------------------------------------|| + + + |-------------------|| + | ASSET BOUNDS || + |-------------------|| + | TOK | 00% | 100% || + | EWJ | 00% | 100% || + | HYG | 00% | 100% || + | LQD | 00% | 100% || + | EMD | 00% | 100% || + | GSG | 00% | 100% || + | BWX | 00% | 100% || + |-------------------|| + + + |--------------------------------------------|| + | INTERIOR POINT METHOD BARRIER PARAMETERS || + |--------------------------------------------|| + | Barrier Decay Velocity : 2.0 + | Barrier Decay Steps : 70 + | Initial Barrier Strength : 10000.0 + | Barrier Convergence Tolerance : 0.05 + |--------------------------------------------|| + + + + + |-----------------------------------------------------------------------------------------------|| + | GLOBAL MINIMUM VARIANCE AND MAXIMUM RETURNS PORTFOLIOS || + |-----------------------------------------------------------------------------------------------|| + | RETURNS | RISK % | TOK | EWJ | HYG | LQD | EMD | GSG | BWX || + |-----------------------------------------------------------------------------------------------|| + | 0.2426% | 2.2399 | 000.00% | 000.00% | 000.00% | 061.02% | 000.00% | 004.13% | 034.85% || + | 0.8430% | 5.2278 | 100.00% | 000.00% | 000.00% | 000.00% | 000.00% | 000.00% | 000.00% || + |-----------------------------------------------------------------------------------------------|| + + + + |-----------------------------------------------------------------------------------------------|| + | EFFICIENT FRONTIER: PORTFOLIO RISK & RETURNS + CORRESPONDING ASSET ALLOCATION || + |-----------------------------------------------------------------------------------------------|| + | RETURNS | RISK % | TOK | EWJ | HYG | LQD | EMD | GSG | BWX || + |-----------------------------------------------------------------------------------------------|| + | 0.0000% | 0.0000 | 000.00% | 000.00% | 000.00% | 000.00% | 000.00% | 000.00% | 000.00% || + | 0.2426% | 2.2399 | 000.00% | 000.00% | 000.00% | 061.02% | 000.00% | 004.13% | 034.85% || + | 0.2727% | 2.2577 | 000.00% | 002.24% | 000.00% | 065.53% | 000.00% | 006.75% | 025.48% || + | 0.3027% | 2.3012 | 000.00% | 005.74% | 000.00% | 068.11% | 000.00% | 008.34% | 017.80% || + | 0.3327% | 2.3658 | 002.79% | 006.97% | 000.00% | 069.70% | 000.00% | 008.90% | 011.63% || + | 0.3627% | 2.4444 | 005.13% | 007.29% | 002.61% | 069.00% | 000.00% | 009.02% | 006.96% || + | 0.3927% | 2.5345 | 007.04% | 007.58% | 005.98% | 067.73% | 000.00% | 009.13% | 002.56% || + | 0.4227% | 2.6351 | 008.76% | 007.88% | 010.39% | 064.06% | 000.00% | 008.91% | 000.00% || + | 0.4528% | 2.7478 | 010.22% | 008.20% | 016.23% | 057.09% | 000.00% | 008.26% | 000.00% || + | 0.4828% | 2.8716 | 011.69% | 008.51% | 022.07% | 050.12% | 000.00% | 007.60% | 000.00% || + | 0.5128% | 3.0052 | 013.16% | 008.83% | 027.91% | 043.15% | 000.00% | 006.95% | 000.00% || + | 0.5428% | 3.1473 | 014.63% | 009.15% | 033.75% | 036.18% | 000.00% | 006.29% | 000.00% || + | 0.5728% | 3.2968 | 016.10% | 009.47% | 039.59% | 029.21% | 000.00% | 005.64% | 000.00% || + | 0.6029% | 3.4529 | 017.56% | 009.78% | 045.44% | 022.23% | 000.00% | 004.98% | 000.00% || + | 0.6329% | 3.6145 | 019.03% | 010.10% | 051.28% | 015.26% | 000.00% | 004.33% | 000.00% || + | 0.6629% | 3.7810 | 020.50% | 010.42% | 057.12% | 008.29% | 000.00% | 003.68% | 000.00% || + | 0.6929% | 3.9519 | 021.97% | 010.73% | 062.96% | 001.32% | 000.00% | 003.02% | 000.00% || + | 0.7229% | 4.1373 | 035.82% | 008.79% | 055.01% | 000.00% | 000.00% | 000.37% | 000.00% || + | 0.7529% | 4.3596 | 052.22% | 005.84% | 041.94% | 000.00% | 000.00% | 000.00% | 000.00% || + | 0.7830% | 4.6190 | 068.57% | 002.82% | 028.61% | 000.00% | 000.00% | 000.00% | 000.00% || + | 0.8130% | 4.9097 | 084.84% | 000.00% | 015.16% | 000.00% | 000.00% | 000.00% | 000.00% || + | 0.8430% | 5.2278 | 100.00% | 000.00% | 000.00% | 000.00% | 000.00% | 000.00% | 000.00% || + |-----------------------------------------------------------------------------------------------|| + + + + |-----------------------------------------------------------------| + | Copyright (C) 2011-2019 (DRIP, DROP) + |-----------------------------------------------------------------| + | Build Version => 3.98.0 multi mode + | Build JVM (TM) => 1.8.0_112 + | Build Snap => Thu Jan 03 12:59:38 EST 2018 + | Start Time => Thu Jan 03 22:49:22 EST 2019 + | Setup Time => Thu Jan 03 22:49:23 EST 2019 + | Finish Time => Thu Jan 03 22:49:23 EST 2019 + | Setup Duration => 517 ms + | Run Duration => 283 ms + |-----------------------------------------------------------------| + diff --git a/drop/org/drip/sample/efficientfrontier/README.md b/drop/org/drip/sample/efficientfrontier/README.md new file mode 100644 index 000000000000..eb9b8bb4cb26 --- /dev/null +++ b/drop/org/drip/sample/efficientfrontier/README.md @@ -0,0 +1,40 @@ +# DROP Sample Efficient Frontier Package + +

+ +DROP Efficient Frontier illustrates Efficient Frontier Markovitz Bullet Variants. + + +## Class Components + + | Sample | Source | Output | + |-------------------------------------|--------|--------| + | Bounded Markovitz Bullet | [Java](https://github.com/lakshmiDRIP/DROP/tree/master/src/main/java/org/drip/sample/efficientfrontier/BoundedMarkovitzBullet.java) | [DROP](https://github.com/lakshmiDRIP/DROP/blob/master/drop/org/drip/sample/efficientfrontier/BoundedMarkovitzBullet.drop) | + | Long Only Markovitz Bullet | [Java](https://github.com/lakshmiDRIP/DROP/tree/master/src/main/java/org/drip/sample/efficientfrontier/LongOnlyMarkovitzBullet.java) | [DROP](https://github.com/lakshmiDRIP/DROP/blob/master/drop/org/drip/sample/efficientfrontier/LongOnlyMarkovitzBullet.drop) | + | Unbounded Markovitz Bullet | [Java](https://github.com/lakshmiDRIP/DROP/tree/master/src/main/java/org/drip/sample/efficientfrontier/UnboundedMarkovitzBullet.java) | [DROP](https://github.com/lakshmiDRIP/DROP/blob/master/drop/org/drip/sample/efficientfrontier/UnboundedMarkovitzBullet.drop) | + | Unbounded Markovitz Bullet Explicit | [Java](https://github.com/lakshmiDRIP/DROP/tree/master/src/main/java/org/drip/sample/efficientfrontier/UnboundedMarkovitzBulletExplicit.java) | [DROP](https://github.com/lakshmiDRIP/DROP/blob/master/drop/org/drip/sample/efficientfrontier/UnboundedMarkovitzBulletExplicit.drop) | + + +## Hierarchy + + + + +## DROP Specifications + + * 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 diff --git a/drop/org/drip/sample/efficientfrontier/UnboundedMarkovitzBullet.drop b/drop/org/drip/sample/efficientfrontier/UnboundedMarkovitzBullet.drop new file mode 100644 index 000000000000..ff73463a685d --- /dev/null +++ b/drop/org/drip/sample/efficientfrontier/UnboundedMarkovitzBullet.drop @@ -0,0 +1,69 @@ + + |-----------------------------------------------------------------| + | Copyright (C) 2011-2019 (DRIP, DROP) + |-----------------------------------------------------------------| + | Build Version => 3.98.0 multi mode + | Build JVM (TM) => 1.8.0_112 + | Build Snap => Thu Jan 03 12:59:38 EST 2018 + | Start Time => Thu Jan 03 22:50:16 EST 2019 + | Setup Time => Thu Jan 03 22:50:16 EST 2019 + | Setup Duration => 469 ms + |-----------------------------------------------------------------| + + + + |-----------------------------------------------------------------------------------------------|| + | GLOBAL MINIMUM VARIANCE AND MAXIMUM RETURNS PORTFOLIOS || + |-----------------------------------------------------------------------------------------------|| + | RETURNS | RISK % | TOK | EWJ | HYG | LQD | EMD | GSG | BWX || + |-----------------------------------------------------------------------------------------------|| + | 0.2819% | 2.0830 | -006.10% | 008.59% | -008.15% | 085.14% | -029.26% | 008.09% | 041.69% || + | 0.4526% | 2.4521 | 000.00% | 000.00% | 000.00% | 100.00% | 000.00% | 000.00% | 000.00% || + |-----------------------------------------------------------------------------------------------|| + + + + |-----------------------------------------------------------------------------------------------|| + | EFFICIENT FRONTIER: PORTFOLIO RISK & RETURNS + CORRESPONDING ASSET ALLOCATION || + |-----------------------------------------------------------------------------------------------|| + | RETURNS | RISK % | TOK | EWJ | HYG | LQD | EMD | GSG | BWX || + |-----------------------------------------------------------------------------------------------|| + | 0.2819% | 2.0830 | -006.10% | 008.59% | -008.15% | 085.14% | -029.26% | 008.09% | 041.69% || + | 0.2905% | 2.0832 | -005.46% | 008.38% | -008.10% | 085.56% | -029.77% | 007.68% | 041.70% || + | 0.2990% | 2.0837 | -004.82% | 008.17% | -008.04% | 085.99% | -030.27% | 007.27% | 041.70% || + | 0.3075% | 2.0847 | -004.18% | 007.95% | -007.99% | 086.42% | -030.77% | 006.87% | 041.70% || + | 0.3161% | 2.0860 | -003.54% | 007.74% | -007.93% | 086.84% | -031.27% | 006.46% | 041.71% || + | 0.3246% | 2.0877 | -002.90% | 007.52% | -007.87% | 087.27% | -031.78% | 006.05% | 041.71% || + | 0.3331% | 2.0898 | -002.26% | 007.31% | -007.82% | 087.69% | -032.28% | 005.64% | 041.71% || + | 0.3416% | 2.0922 | -001.62% | 007.09% | -007.76% | 088.12% | -032.78% | 005.24% | 041.72% || + | 0.3502% | 2.0950 | -000.98% | 006.88% | -007.70% | 088.55% | -033.28% | 004.83% | 041.72% || + | 0.3587% | 2.0982 | -000.34% | 006.66% | -007.65% | 088.97% | -033.79% | 004.42% | 041.72% || + | 0.3672% | 2.1018 | 000.30% | 006.45% | -007.59% | 089.40% | -034.29% | 004.02% | 041.73% || + | 0.3758% | 2.1057 | 000.93% | 006.23% | -007.54% | 089.82% | -034.79% | 003.61% | 041.73% || + | 0.3843% | 2.1100 | 001.57% | 006.02% | -007.48% | 090.25% | -035.29% | 003.20% | 041.73% || + | 0.3928% | 2.1147 | 002.21% | 005.80% | -007.42% | 090.67% | -035.80% | 002.79% | 041.74% || + | 0.4014% | 2.1197 | 002.85% | 005.59% | -007.37% | 091.10% | -036.30% | 002.39% | 041.74% || + | 0.4099% | 2.1251 | 003.49% | 005.37% | -007.31% | 091.53% | -036.80% | 001.98% | 041.74% || + | 0.4184% | 2.1308 | 004.13% | 005.16% | -007.25% | 091.95% | -037.30% | 001.57% | 041.75% || + | 0.4270% | 2.1369 | 004.77% | 004.94% | -007.20% | 092.38% | -037.81% | 001.16% | 041.75% || + | 0.4355% | 2.1434 | 005.41% | 004.73% | -007.14% | 092.80% | -038.31% | 000.76% | 041.75% || + | 0.4440% | 2.1502 | 006.05% | 004.51% | -007.08% | 093.23% | -038.81% | 000.35% | 041.76% || + | 0.4526% | 2.1573 | 006.69% | 004.30% | -007.03% | 093.65% | -039.32% | -000.06% | 041.76% || + | 0.4526% | 2.4521 | 000.00% | 000.00% | 000.00% | 100.00% | 000.00% | 000.00% | 000.00% || + |-----------------------------------------------------------------------------------------------|| + + + + |-----------------------------------------------------------------| + | Copyright (C) 2011-2019 (DRIP, DROP) + |-----------------------------------------------------------------| + | Build Version => 3.98.0 multi mode + | Build JVM (TM) => 1.8.0_112 + | Build Snap => Thu Jan 03 12:59:38 EST 2018 + | Start Time => Thu Jan 03 22:50:16 EST 2019 + | Setup Time => Thu Jan 03 22:50:16 EST 2019 + | Finish Time => Thu Jan 03 22:50:16 EST 2019 + | Setup Duration => 469 ms + | Run Duration => 84 ms + |-----------------------------------------------------------------| + diff --git a/drop/org/drip/sample/efficientfrontier/UnboundedMarkovitzBulletExplicit.drop b/drop/org/drip/sample/efficientfrontier/UnboundedMarkovitzBulletExplicit.drop new file mode 100644 index 000000000000..92a9597d0889 --- /dev/null +++ b/drop/org/drip/sample/efficientfrontier/UnboundedMarkovitzBulletExplicit.drop @@ -0,0 +1,88 @@ + + |-----------------------------------------------------------------| + | Copyright (C) 2011-2019 (DRIP, DROP) + |-----------------------------------------------------------------| + | Build Version => 3.98.0 multi mode + | Build JVM (TM) => 1.8.0_112 + | Build Snap => Thu Jan 03 12:59:38 EST 2018 + | Start Time => Thu Jan 03 22:50:34 EST 2019 + | Setup Time => Thu Jan 03 22:50:34 EST 2019 + | Setup Duration => 446 ms + |-----------------------------------------------------------------| + + + + |-----------------------------------------------------------------------------------------------|| + | GLOBAL MINIMUM VARIANCE AND MAXIMUM RETURNS PORTFOLIOS || + |-----------------------------------------------------------------------------------------------|| + | RETURNS | RISK % | TOK | EWJ | HYG | LQD | EMD | GSG | BWX || + |-----------------------------------------------------------------------------------------------|| + | 0.2819% | 2.0830 | -006.10% | 008.59% | -008.15% | 085.14% | -029.26% | 008.09% | 041.69% || + | 0.4526% | 2.4521 | 000.00% | 000.00% | 000.00% | 100.00% | 000.00% | 000.00% | 000.00% || + |-----------------------------------------------------------------------------------------------|| + + + + |-----------------------------------------------------------------------------------------------|| + | EFFICIENT FRONTIER: PORTFOLIO RISK & RETURNS + CORRESPONDING ASSET ALLOCATION || + |-----------------------------------------------------------------------------------------------|| + | RETURNS | RISK % | TOK | EWJ | HYG | LQD | EMD | GSG | BWX || + |-----------------------------------------------------------------------------------------------|| + | 0.2819% | 2.0830 | -006.10% | 008.59% | -008.15% | 085.14% | -029.26% | 008.09% | 041.69% || + | 0.2862% | 2.0830 | -005.78% | 008.49% | -008.13% | 085.35% | -029.51% | 007.88% | 041.69% || + | 0.2905% | 2.0832 | -005.46% | 008.38% | -008.10% | 085.56% | -029.77% | 007.68% | 041.70% || + | 0.2947% | 2.0834 | -005.14% | 008.27% | -008.07% | 085.78% | -030.02% | 007.48% | 041.70% || + | 0.2990% | 2.0837 | -004.82% | 008.17% | -008.04% | 085.99% | -030.27% | 007.27% | 041.70% || + | 0.3033% | 2.0841 | -004.50% | 008.06% | -008.01% | 086.20% | -030.52% | 007.07% | 041.70% || + | 0.3075% | 2.0847 | -004.18% | 007.95% | -007.99% | 086.42% | -030.77% | 006.87% | 041.70% || + | 0.3118% | 2.0853 | -003.86% | 007.84% | -007.96% | 086.63% | -031.02% | 006.66% | 041.70% || + | 0.3161% | 2.0860 | -003.54% | 007.74% | -007.93% | 086.84% | -031.27% | 006.46% | 041.71% || + | 0.3203% | 2.0868 | -003.22% | 007.63% | -007.90% | 087.06% | -031.53% | 006.26% | 041.71% || + | 0.3246% | 2.0877 | -002.90% | 007.52% | -007.87% | 087.27% | -031.78% | 006.05% | 041.71% || + | 0.3289% | 2.0887 | -002.58% | 007.41% | -007.84% | 087.48% | -032.03% | 005.85% | 041.71% || + | 0.3331% | 2.0898 | -002.26% | 007.31% | -007.82% | 087.69% | -032.28% | 005.64% | 041.71% || + | 0.3374% | 2.0909 | -001.94% | 007.20% | -007.79% | 087.91% | -032.53% | 005.44% | 041.71% || + | 0.3416% | 2.0922 | -001.62% | 007.09% | -007.76% | 088.12% | -032.78% | 005.24% | 041.72% || + | 0.3459% | 2.0936 | -001.30% | 006.98% | -007.73% | 088.33% | -033.03% | 005.03% | 041.72% || + | 0.3502% | 2.0950 | -000.98% | 006.88% | -007.70% | 088.55% | -033.28% | 004.83% | 041.72% || + | 0.3544% | 2.0966 | -000.66% | 006.77% | -007.68% | 088.76% | -033.54% | 004.63% | 041.72% || + | 0.3587% | 2.0982 | -000.34% | 006.66% | -007.65% | 088.97% | -033.79% | 004.42% | 041.72% || + | 0.3630% | 2.1000 | -000.02% | 006.55% | -007.62% | 089.18% | -034.04% | 004.22% | 041.72% || + | 0.3672% | 2.1018 | 000.30% | 006.45% | -007.59% | 089.40% | -034.29% | 004.02% | 041.73% || + | 0.3715% | 2.1037 | 000.62% | 006.34% | -007.56% | 089.61% | -034.54% | 003.81% | 041.73% || + | 0.3758% | 2.1057 | 000.93% | 006.23% | -007.54% | 089.82% | -034.79% | 003.61% | 041.73% || + | 0.3800% | 2.1078 | 001.25% | 006.12% | -007.51% | 090.04% | -035.04% | 003.40% | 041.73% || + | 0.3843% | 2.1100 | 001.57% | 006.02% | -007.48% | 090.25% | -035.29% | 003.20% | 041.73% || + | 0.3886% | 2.1123 | 001.89% | 005.91% | -007.45% | 090.46% | -035.55% | 003.00% | 041.73% || + | 0.3928% | 2.1147 | 002.21% | 005.80% | -007.42% | 090.67% | -035.80% | 002.79% | 041.74% || + | 0.3971% | 2.1172 | 002.53% | 005.70% | -007.39% | 090.89% | -036.05% | 002.59% | 041.74% || + | 0.4014% | 2.1197 | 002.85% | 005.59% | -007.37% | 091.10% | -036.30% | 002.39% | 041.74% || + | 0.4056% | 2.1224 | 003.17% | 005.48% | -007.34% | 091.31% | -036.55% | 002.18% | 041.74% || + | 0.4099% | 2.1251 | 003.49% | 005.37% | -007.31% | 091.53% | -036.80% | 001.98% | 041.74% || + | 0.4142% | 2.1279 | 003.81% | 005.27% | -007.28% | 091.74% | -037.05% | 001.78% | 041.75% || + | 0.4184% | 2.1308 | 004.13% | 005.16% | -007.25% | 091.95% | -037.30% | 001.57% | 041.75% || + | 0.4227% | 2.1339 | 004.45% | 005.05% | -007.23% | 092.16% | -037.56% | 001.37% | 041.75% || + | 0.4270% | 2.1369 | 004.77% | 004.94% | -007.20% | 092.38% | -037.81% | 001.16% | 041.75% || + | 0.4312% | 2.1401 | 005.09% | 004.84% | -007.17% | 092.59% | -038.06% | 000.96% | 041.75% || + | 0.4355% | 2.1434 | 005.41% | 004.73% | -007.14% | 092.80% | -038.31% | 000.76% | 041.75% || + | 0.4398% | 2.1467 | 005.73% | 004.62% | -007.11% | 093.02% | -038.56% | 000.55% | 041.76% || + | 0.4440% | 2.1502 | 006.05% | 004.51% | -007.08% | 093.23% | -038.81% | 000.35% | 041.76% || + | 0.4483% | 2.1537 | 006.37% | 004.41% | -007.06% | 093.44% | -039.06% | 000.15% | 041.76% || + | 0.4526% | 2.1573 | 006.69% | 004.30% | -007.03% | 093.65% | -039.32% | -000.06% | 041.76% || + |-----------------------------------------------------------------------------------------------|| + + + + |-----------------------------------------------------------------| + | Copyright (C) 2011-2019 (DRIP, DROP) + |-----------------------------------------------------------------| + | Build Version => 3.98.0 multi mode + | Build JVM (TM) => 1.8.0_112 + | Build Snap => Thu Jan 03 12:59:38 EST 2018 + | Start Time => Thu Jan 03 22:50:34 EST 2019 + | Setup Time => Thu Jan 03 22:50:34 EST 2019 + | Finish Time => Thu Jan 03 22:50:34 EST 2019 + | Setup Duration => 446 ms + | Run Duration => 96 ms + |-----------------------------------------------------------------| + diff --git a/src/main/java/org/drip/bcbs/core/BalanceSheet.java b/src/main/java/org/drip/bcbs/core/BalanceSheet.java index 197636d09008..0b729394ff05 100644 --- a/src/main/java/org/drip/bcbs/core/BalanceSheet.java +++ b/src/main/java/org/drip/bcbs/core/BalanceSheet.java @@ -199,6 +199,17 @@ public double cet1Ratio() return _balanceSheetCapital.cet1Ratio(); } + /** + * Retrieve the Tier 1 Ratio + * + * @return The Tier 1 Ratio + */ + + public double tier1Ratio() + { + return _balanceSheetCapital.tier1Ratio(); + } + /** * Retrieve the Total Capital Ratio * @@ -263,7 +274,7 @@ public org.drip.bcbs.core.CapitalMetrics capitalMetrics() /** * Generate the Balance Sheet Liquidity Metrics * - * @param hqlaSettings THe HQLA Settings + * @param hqlaSettings The HQLA Settings * * @return The Balance Sheet Liquidity Metrics */ diff --git a/src/main/java/org/drip/bcbs/core/BalanceSheetCapital.java b/src/main/java/org/drip/bcbs/core/BalanceSheetCapital.java index 0a2592ebc4d7..34e3b2f5e204 100644 --- a/src/main/java/org/drip/bcbs/core/BalanceSheetCapital.java +++ b/src/main/java/org/drip/bcbs/core/BalanceSheetCapital.java @@ -231,6 +231,17 @@ public double cet1Ratio() return _cet1 / _rwa; } + /** + * Retrieve the Tier 1 Ratio + * + * @return The Tier 1 Ratio + */ + + public double tier1Ratio() + { + return (_cet1 + _at1) / _rwa; + } + /** * Retrieve the Total Capital Ratio * diff --git a/src/main/java/org/drip/bcbs/core/BalanceSheetFunding.java b/src/main/java/org/drip/bcbs/core/BalanceSheetFunding.java index c079973d2ee4..f8f8840c957e 100644 --- a/src/main/java/org/drip/bcbs/core/BalanceSheetFunding.java +++ b/src/main/java/org/drip/bcbs/core/BalanceSheetFunding.java @@ -109,6 +109,36 @@ public class BalanceSheetFunding private double _stableFundingAmount = java.lang.Double.NaN; private double _extendedStressFundingAmount = java.lang.Double.NaN; + /** + * Construct the Basel III Version of BalanceSheetFunding + * + * @param stableFundingAmount Stable Funding Amount + * @param extendedStressFundingAmount Funding Amount Required Over the Specified Period of Extended + * Stress + * + * @return The Basel III Version of BalanceSheetFunding + */ + + public static final BalanceSheetFunding Basel_III ( + final double stableFundingAmount, + final double extendedStressFundingAmount) + { + try + { + return new BalanceSheetFunding ( + stableFundingAmount, + extendedStressFundingAmount, + "1Y" + ); + } + catch (java.lang.Exception e) + { + e.printStackTrace(); + } + + return null; + } + /** * BalanceSheetFunding Constructor * diff --git a/src/main/java/org/drip/bcbs/core/BalanceSheetLiquidity.java b/src/main/java/org/drip/bcbs/core/BalanceSheetLiquidity.java index 60a4f456f74c..7275451a1f70 100644 --- a/src/main/java/org/drip/bcbs/core/BalanceSheetLiquidity.java +++ b/src/main/java/org/drip/bcbs/core/BalanceSheetLiquidity.java @@ -151,7 +151,7 @@ public static final BalanceSheetLiquidity Basel_III ( * @return Basel III Standard Version of Balance Sheet Liquidity for Large BHC's */ - public static final BalanceSheetLiquidity Large_BHC ( + public static final BalanceSheetLiquidity LargeBHC ( final org.drip.bcbs.core.HighQualityLiquidAsset highQualityLiquidAsset, final double netCashOutflowAmount) { @@ -171,7 +171,7 @@ public static final BalanceSheetLiquidity Large_BHC ( * @return Basel III Standard Version of Balance Sheet Liquidity for Regional BHC's */ - public static final BalanceSheetLiquidity Regional_BHC ( + public static final BalanceSheetLiquidity RegionalBHC ( final org.drip.bcbs.core.HighQualityLiquidAsset highQualityLiquidAsset, final double netCashOutflowAmount) { diff --git a/src/main/java/org/drip/sample/bcbs/Basel32013Compliance.java b/src/main/java/org/drip/sample/bcbs/Basel32013Compliance.java new file mode 100644 index 000000000000..61d529a3d3d9 --- /dev/null +++ b/src/main/java/org/drip/sample/bcbs/Basel32013Compliance.java @@ -0,0 +1,270 @@ + +package org.drip.sample.bcbs; + +import org.drip.bcbs.core.BalanceSheet; +import org.drip.bcbs.core.BalanceSheetCapital; +import org.drip.bcbs.core.BalanceSheetFunding; +import org.drip.bcbs.core.BalanceSheetLiquidity; +import org.drip.bcbs.core.CapitalMetricsStandard; +import org.drip.bcbs.core.HighQualityLiquidAsset; +import org.drip.bcbs.core.HighQualityLiquidAssetSettings; +import org.drip.bcbs.core.LiquidityMetrics; +import org.drip.quant.common.FormatUtil; +import org.drip.service.env.EnvManager; + +/* + * -*- mode: java; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- + */ + +/*! + * Copyright (C) 2019 Lakshmi Krishnamurthy + * + * This file is part of DROP, an open-source library targeting risk, transaction costs, exposure, margin + * calculations, valuation adjustment, and portfolio construction within and across fixed income, + * credit, commodity, equity, FX, and structured products. + * + * https://lakshmidrip.github.io/DROP/ + * + * DROP is composed of three modules: + * + * - DROP Analytics Core - https://lakshmidrip.github.io/DROP-Analytics-Core/ + * - DROP Portfolio Core - https://lakshmidrip.github.io/DROP-Portfolio-Core/ + * - DROP Numerical Core - https://lakshmidrip.github.io/DROP-Numerical-Core/ + * + * DROP Analytics Core implements libraries for the following: + * - Fixed Income Analytics + * - Asset Backed Analytics + * - XVA Analytics + * - Exposure and Margin Analytics + * + * DROP Portfolio Core implements libraries for the following: + * - Asset Allocation Analytics + * - Transaction Cost Analytics + * + * DROP Numerical Core implements libraries for the following: + * - Statistical Learning + * - Numerical Optimizer + * - Spline Builder + * - Algorithm Support + * + * 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. + */ + +/** + * Basel32013Compliance illustrates the Basel III 2013 Capital Metrics Compliance Checks along with + * Liquidity Compliance Checks for several Liquidity Metrics Standards. Liquidity Criteria correspond to + * Large BHC's. The References are: + * + *

+ * + * + *

+ * + * + * @author Lakshmi Krishnamurthy + */ + +public class Basel32013Compliance +{ + + 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_2013(); + + 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 2013 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(); + } +} diff --git a/src/main/java/org/drip/sample/bcbs/Basel32014Compliance.java b/src/main/java/org/drip/sample/bcbs/Basel32014Compliance.java new file mode 100644 index 000000000000..cde107547eb3 --- /dev/null +++ b/src/main/java/org/drip/sample/bcbs/Basel32014Compliance.java @@ -0,0 +1,270 @@ + +package org.drip.sample.bcbs; + +import org.drip.bcbs.core.BalanceSheet; +import org.drip.bcbs.core.BalanceSheetCapital; +import org.drip.bcbs.core.BalanceSheetFunding; +import org.drip.bcbs.core.BalanceSheetLiquidity; +import org.drip.bcbs.core.CapitalMetricsStandard; +import org.drip.bcbs.core.HighQualityLiquidAsset; +import org.drip.bcbs.core.HighQualityLiquidAssetSettings; +import org.drip.bcbs.core.LiquidityMetrics; +import org.drip.quant.common.FormatUtil; +import org.drip.service.env.EnvManager; + +/* + * -*- mode: java; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- + */ + +/*! + * Copyright (C) 2019 Lakshmi Krishnamurthy + * + * This file is part of DROP, an open-source library targeting risk, transaction costs, exposure, margin + * calculations, valuation adjustment, and portfolio construction within and across fixed income, + * credit, commodity, equity, FX, and structured products. + * + * https://lakshmidrip.github.io/DROP/ + * + * DROP is composed of three modules: + * + * - DROP Analytics Core - https://lakshmidrip.github.io/DROP-Analytics-Core/ + * - DROP Portfolio Core - https://lakshmidrip.github.io/DROP-Portfolio-Core/ + * - DROP Numerical Core - https://lakshmidrip.github.io/DROP-Numerical-Core/ + * + * DROP Analytics Core implements libraries for the following: + * - Fixed Income Analytics + * - Asset Backed Analytics + * - XVA Analytics + * - Exposure and Margin Analytics + * + * DROP Portfolio Core implements libraries for the following: + * - Asset Allocation Analytics + * - Transaction Cost Analytics + * + * DROP Numerical Core implements libraries for the following: + * - Statistical Learning + * - Numerical Optimizer + * - Spline Builder + * - Algorithm Support + * + * 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. + */ + +/** + * Basel32014Compliance illustrates the Basel III 2014 Capital Metrics Compliance Checks along with + * Liquidity Compliance Checks for several Liquidity Metrics Standards. Liquidity Criteria correspond to + * Large BHC's. The References are: + * + *

+ * + * + *

+ * + * + * @author Lakshmi Krishnamurthy + */ + +public class Basel32014Compliance +{ + + 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_2014(); + + 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 2014 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(); + } +} diff --git a/src/main/java/org/drip/sample/bcbs/Basel32015Compliance.java b/src/main/java/org/drip/sample/bcbs/Basel32015Compliance.java new file mode 100644 index 000000000000..1105b8e920c4 --- /dev/null +++ b/src/main/java/org/drip/sample/bcbs/Basel32015Compliance.java @@ -0,0 +1,270 @@ + +package org.drip.sample.bcbs; + +import org.drip.bcbs.core.BalanceSheet; +import org.drip.bcbs.core.BalanceSheetCapital; +import org.drip.bcbs.core.BalanceSheetFunding; +import org.drip.bcbs.core.BalanceSheetLiquidity; +import org.drip.bcbs.core.CapitalMetricsStandard; +import org.drip.bcbs.core.HighQualityLiquidAsset; +import org.drip.bcbs.core.HighQualityLiquidAssetSettings; +import org.drip.bcbs.core.LiquidityMetrics; +import org.drip.quant.common.FormatUtil; +import org.drip.service.env.EnvManager; + +/* + * -*- mode: java; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- + */ + +/*! + * Copyright (C) 2019 Lakshmi Krishnamurthy + * + * This file is part of DROP, an open-source library targeting risk, transaction costs, exposure, margin + * calculations, valuation adjustment, and portfolio construction within and across fixed income, + * credit, commodity, equity, FX, and structured products. + * + * https://lakshmidrip.github.io/DROP/ + * + * DROP is composed of three modules: + * + * - DROP Analytics Core - https://lakshmidrip.github.io/DROP-Analytics-Core/ + * - DROP Portfolio Core - https://lakshmidrip.github.io/DROP-Portfolio-Core/ + * - DROP Numerical Core - https://lakshmidrip.github.io/DROP-Numerical-Core/ + * + * DROP Analytics Core implements libraries for the following: + * - Fixed Income Analytics + * - Asset Backed Analytics + * - XVA Analytics + * - Exposure and Margin Analytics + * + * DROP Portfolio Core implements libraries for the following: + * - Asset Allocation Analytics + * - Transaction Cost Analytics + * + * DROP Numerical Core implements libraries for the following: + * - Statistical Learning + * - Numerical Optimizer + * - Spline Builder + * - Algorithm Support + * + * 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. + */ + +/** + * Basel32015Compliance illustrates the Basel III 2015 Capital Metrics Compliance Checks along with + * Liquidity Compliance Checks for several Liquidity Metrics Standards. Liquidity Criteria correspond to + * Large BHC's. The References are: + * + *

+ * + * + *

+ * + * + * @author Lakshmi Krishnamurthy + */ + +public class Basel32015Compliance +{ + + 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_2015(); + + 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 2015 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(); + } +} diff --git a/src/main/java/org/drip/sample/bcbs/Basel32016Compliance.java b/src/main/java/org/drip/sample/bcbs/Basel32016Compliance.java new file mode 100644 index 000000000000..42e8ecce9b78 --- /dev/null +++ b/src/main/java/org/drip/sample/bcbs/Basel32016Compliance.java @@ -0,0 +1,270 @@ + +package org.drip.sample.bcbs; + +import org.drip.bcbs.core.BalanceSheet; +import org.drip.bcbs.core.BalanceSheetCapital; +import org.drip.bcbs.core.BalanceSheetFunding; +import org.drip.bcbs.core.BalanceSheetLiquidity; +import org.drip.bcbs.core.CapitalMetricsStandard; +import org.drip.bcbs.core.HighQualityLiquidAsset; +import org.drip.bcbs.core.HighQualityLiquidAssetSettings; +import org.drip.bcbs.core.LiquidityMetrics; +import org.drip.quant.common.FormatUtil; +import org.drip.service.env.EnvManager; + +/* + * -*- mode: java; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- + */ + +/*! + * Copyright (C) 2019 Lakshmi Krishnamurthy + * + * This file is part of DROP, an open-source library targeting risk, transaction costs, exposure, margin + * calculations, valuation adjustment, and portfolio construction within and across fixed income, + * credit, commodity, equity, FX, and structured products. + * + * https://lakshmidrip.github.io/DROP/ + * + * DROP is composed of three modules: + * + * - DROP Analytics Core - https://lakshmidrip.github.io/DROP-Analytics-Core/ + * - DROP Portfolio Core - https://lakshmidrip.github.io/DROP-Portfolio-Core/ + * - DROP Numerical Core - https://lakshmidrip.github.io/DROP-Numerical-Core/ + * + * DROP Analytics Core implements libraries for the following: + * - Fixed Income Analytics + * - Asset Backed Analytics + * - XVA Analytics + * - Exposure and Margin Analytics + * + * DROP Portfolio Core implements libraries for the following: + * - Asset Allocation Analytics + * - Transaction Cost Analytics + * + * DROP Numerical Core implements libraries for the following: + * - Statistical Learning + * - Numerical Optimizer + * - Spline Builder + * - Algorithm Support + * + * 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. + */ + +/** + * Basel32016Compliance illustrates the Basel III 2016 Capital Metrics Compliance Checks along with + * Liquidity Compliance Checks for several Liquidity Metrics Standards. Liquidity Criteria correspond to + * Large BHC's. The References are: + * + *

+ * + * + *

+ * + * + * @author Lakshmi Krishnamurthy + */ + +public class Basel32016Compliance +{ + + 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_2016(); + + 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 2016 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(); + } +} diff --git a/src/main/java/org/drip/sample/bcbs/Basel32017Compliance.java b/src/main/java/org/drip/sample/bcbs/Basel32017Compliance.java new file mode 100644 index 000000000000..c3a70683af40 --- /dev/null +++ b/src/main/java/org/drip/sample/bcbs/Basel32017Compliance.java @@ -0,0 +1,270 @@ + +package org.drip.sample.bcbs; + +import org.drip.bcbs.core.BalanceSheet; +import org.drip.bcbs.core.BalanceSheetCapital; +import org.drip.bcbs.core.BalanceSheetFunding; +import org.drip.bcbs.core.BalanceSheetLiquidity; +import org.drip.bcbs.core.CapitalMetricsStandard; +import org.drip.bcbs.core.HighQualityLiquidAsset; +import org.drip.bcbs.core.HighQualityLiquidAssetSettings; +import org.drip.bcbs.core.LiquidityMetrics; +import org.drip.quant.common.FormatUtil; +import org.drip.service.env.EnvManager; + +/* + * -*- mode: java; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- + */ + +/*! + * Copyright (C) 2019 Lakshmi Krishnamurthy + * + * This file is part of DROP, an open-source library targeting risk, transaction costs, exposure, margin + * calculations, valuation adjustment, and portfolio construction within and across fixed income, + * credit, commodity, equity, FX, and structured products. + * + * https://lakshmidrip.github.io/DROP/ + * + * DROP is composed of three modules: + * + * - DROP Analytics Core - https://lakshmidrip.github.io/DROP-Analytics-Core/ + * - DROP Portfolio Core - https://lakshmidrip.github.io/DROP-Portfolio-Core/ + * - DROP Numerical Core - https://lakshmidrip.github.io/DROP-Numerical-Core/ + * + * DROP Analytics Core implements libraries for the following: + * - Fixed Income Analytics + * - Asset Backed Analytics + * - XVA Analytics + * - Exposure and Margin Analytics + * + * DROP Portfolio Core implements libraries for the following: + * - Asset Allocation Analytics + * - Transaction Cost Analytics + * + * DROP Numerical Core implements libraries for the following: + * - Statistical Learning + * - Numerical Optimizer + * - Spline Builder + * - Algorithm Support + * + * 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. + */ + +/** + * Basel32017Compliance illustrates the Basel III 2017 Capital Metrics Compliance Checks along with + * Liquidity Compliance Checks for several Liquidity Metrics Standards. Liquidity Criteria correspond to + * Large BHC's. The References are: + * + *

+ * + * + *

+ * + * + * @author Lakshmi Krishnamurthy + */ + +public class Basel32017Compliance +{ + + 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_2017(); + + 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 2017 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(); + } +} diff --git a/src/main/java/org/drip/sample/bcbs/Basel32018Compliance.java b/src/main/java/org/drip/sample/bcbs/Basel32018Compliance.java new file mode 100644 index 000000000000..d16ce8f45182 --- /dev/null +++ b/src/main/java/org/drip/sample/bcbs/Basel32018Compliance.java @@ -0,0 +1,270 @@ + +package org.drip.sample.bcbs; + +import org.drip.bcbs.core.BalanceSheet; +import org.drip.bcbs.core.BalanceSheetCapital; +import org.drip.bcbs.core.BalanceSheetFunding; +import org.drip.bcbs.core.BalanceSheetLiquidity; +import org.drip.bcbs.core.CapitalMetricsStandard; +import org.drip.bcbs.core.HighQualityLiquidAsset; +import org.drip.bcbs.core.HighQualityLiquidAssetSettings; +import org.drip.bcbs.core.LiquidityMetrics; +import org.drip.quant.common.FormatUtil; +import org.drip.service.env.EnvManager; + +/* + * -*- mode: java; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- + */ + +/*! + * Copyright (C) 2019 Lakshmi Krishnamurthy + * + * This file is part of DROP, an open-source library targeting risk, transaction costs, exposure, margin + * calculations, valuation adjustment, and portfolio construction within and across fixed income, + * credit, commodity, equity, FX, and structured products. + * + * https://lakshmidrip.github.io/DROP/ + * + * DROP is composed of three modules: + * + * - DROP Analytics Core - https://lakshmidrip.github.io/DROP-Analytics-Core/ + * - DROP Portfolio Core - https://lakshmidrip.github.io/DROP-Portfolio-Core/ + * - DROP Numerical Core - https://lakshmidrip.github.io/DROP-Numerical-Core/ + * + * DROP Analytics Core implements libraries for the following: + * - Fixed Income Analytics + * - Asset Backed Analytics + * - XVA Analytics + * - Exposure and Margin Analytics + * + * DROP Portfolio Core implements libraries for the following: + * - Asset Allocation Analytics + * - Transaction Cost Analytics + * + * DROP Numerical Core implements libraries for the following: + * - Statistical Learning + * - Numerical Optimizer + * - Spline Builder + * - Algorithm Support + * + * 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. + */ + +/** + * Basel32018Compliance illustrates the Basel III 2018 Capital Metrics Compliance Checks along with + * Liquidity Compliance Checks for several Liquidity Metrics Standards. Liquidity Criteria correspond to + * Large BHC's. The References are: + * + *

+ * + * + *

+ * + * + * @author Lakshmi Krishnamurthy + */ + +public class Basel32018Compliance +{ + + 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_2018(); + + 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 2018 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(); + } +} diff --git a/src/main/java/org/drip/sample/bcbs/Basel32019Compliance.java b/src/main/java/org/drip/sample/bcbs/Basel32019Compliance.java new file mode 100644 index 000000000000..9bd58c19b0ab --- /dev/null +++ b/src/main/java/org/drip/sample/bcbs/Basel32019Compliance.java @@ -0,0 +1,270 @@ + +package org.drip.sample.bcbs; + +import org.drip.bcbs.core.BalanceSheet; +import org.drip.bcbs.core.BalanceSheetCapital; +import org.drip.bcbs.core.BalanceSheetFunding; +import org.drip.bcbs.core.BalanceSheetLiquidity; +import org.drip.bcbs.core.CapitalMetricsStandard; +import org.drip.bcbs.core.HighQualityLiquidAsset; +import org.drip.bcbs.core.HighQualityLiquidAssetSettings; +import org.drip.bcbs.core.LiquidityMetrics; +import org.drip.quant.common.FormatUtil; +import org.drip.service.env.EnvManager; + +/* + * -*- mode: java; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- + */ + +/*! + * Copyright (C) 2019 Lakshmi Krishnamurthy + * + * This file is part of DROP, an open-source library targeting risk, transaction costs, exposure, margin + * calculations, valuation adjustment, and portfolio construction within and across fixed income, + * credit, commodity, equity, FX, and structured products. + * + * https://lakshmidrip.github.io/DROP/ + * + * DROP is composed of three modules: + * + * - DROP Analytics Core - https://lakshmidrip.github.io/DROP-Analytics-Core/ + * - DROP Portfolio Core - https://lakshmidrip.github.io/DROP-Portfolio-Core/ + * - DROP Numerical Core - https://lakshmidrip.github.io/DROP-Numerical-Core/ + * + * DROP Analytics Core implements libraries for the following: + * - Fixed Income Analytics + * - Asset Backed Analytics + * - XVA Analytics + * - Exposure and Margin Analytics + * + * DROP Portfolio Core implements libraries for the following: + * - Asset Allocation Analytics + * - Transaction Cost Analytics + * + * DROP Numerical Core implements libraries for the following: + * - Statistical Learning + * - Numerical Optimizer + * - Spline Builder + * - Algorithm Support + * + * 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. + */ + +/** + * Basel32019Compliance 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: + * + *

+ * + * + *

+ * + * + * @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(); + } +} diff --git a/src/main/java/org/drip/sample/bcbs/BaselPhaseInArrangements.java b/src/main/java/org/drip/sample/bcbs/BaselPhaseInArrangements.java index c82eb7dd52bb..e49f6ff21433 100644 --- a/src/main/java/org/drip/sample/bcbs/BaselPhaseInArrangements.java +++ b/src/main/java/org/drip/sample/bcbs/BaselPhaseInArrangements.java @@ -101,8 +101,8 @@ * * * @author Lakshmi Krishnamurthy diff --git a/src/main/java/org/drip/sample/bcbs/HighQualityLiquidAssetCompliance.java b/src/main/java/org/drip/sample/bcbs/HighQualityLiquidAssetCompliance.java index 1ac1a01f060a..d20eb798b423 100644 --- a/src/main/java/org/drip/sample/bcbs/HighQualityLiquidAssetCompliance.java +++ b/src/main/java/org/drip/sample/bcbs/HighQualityLiquidAssetCompliance.java @@ -102,8 +102,8 @@ * * * @author Lakshmi Krishnamurthy diff --git a/src/main/java/org/drip/sample/bcbs/USSIFIBHCCompliance.java b/src/main/java/org/drip/sample/bcbs/USSIFIBHCCompliance.java new file mode 100644 index 000000000000..bc0201aac6b1 --- /dev/null +++ b/src/main/java/org/drip/sample/bcbs/USSIFIBHCCompliance.java @@ -0,0 +1,270 @@ + +package org.drip.sample.bcbs; + +import org.drip.bcbs.core.BalanceSheet; +import org.drip.bcbs.core.BalanceSheetCapital; +import org.drip.bcbs.core.BalanceSheetFunding; +import org.drip.bcbs.core.BalanceSheetLiquidity; +import org.drip.bcbs.core.CapitalMetricsStandard; +import org.drip.bcbs.core.HighQualityLiquidAsset; +import org.drip.bcbs.core.HighQualityLiquidAssetSettings; +import org.drip.bcbs.core.LiquidityMetrics; +import org.drip.quant.common.FormatUtil; +import org.drip.service.env.EnvManager; + +/* + * -*- mode: java; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- + */ + +/*! + * Copyright (C) 2019 Lakshmi Krishnamurthy + * + * This file is part of DROP, an open-source library targeting risk, transaction costs, exposure, margin + * calculations, valuation adjustment, and portfolio construction within and across fixed income, + * credit, commodity, equity, FX, and structured products. + * + * https://lakshmidrip.github.io/DROP/ + * + * DROP is composed of three modules: + * + * - DROP Analytics Core - https://lakshmidrip.github.io/DROP-Analytics-Core/ + * - DROP Portfolio Core - https://lakshmidrip.github.io/DROP-Portfolio-Core/ + * - DROP Numerical Core - https://lakshmidrip.github.io/DROP-Numerical-Core/ + * + * DROP Analytics Core implements libraries for the following: + * - Fixed Income Analytics + * - Asset Backed Analytics + * - XVA Analytics + * - Exposure and Margin Analytics + * + * DROP Portfolio Core implements libraries for the following: + * - Asset Allocation Analytics + * - Transaction Cost Analytics + * + * DROP Numerical Core implements libraries for the following: + * - Statistical Learning + * - Numerical Optimizer + * - Spline Builder + * - Algorithm Support + * + * 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. + */ + +/** + * USSIFIBHCCompliance illustrates the US SIFI BHC Capital Metrics Compliance Checks along with + * Liquidity Compliance Checks for several Liquidity Metrics Standards. Liquidity Criteria correspond to + * Large BHC's. The References are: + * + *

+ * + * + *

+ * + * + * @author Lakshmi Krishnamurthy + */ + +public class USSIFIBHCCompliance +{ + + 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.US_SIFI_BHC(); + + 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| US SIFI BHC 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(); + } +} diff --git a/src/main/java/org/drip/sample/bcbs/USSIFICompliance.java b/src/main/java/org/drip/sample/bcbs/USSIFICompliance.java index a40b2f7d1582..8288ffad668b 100644 --- a/src/main/java/org/drip/sample/bcbs/USSIFICompliance.java +++ b/src/main/java/org/drip/sample/bcbs/USSIFICompliance.java @@ -1,9 +1,15 @@ package org.drip.sample.bcbs; +import org.drip.bcbs.core.BalanceSheet; +import org.drip.bcbs.core.BalanceSheetCapital; +import org.drip.bcbs.core.BalanceSheetFunding; +import org.drip.bcbs.core.BalanceSheetLiquidity; +import org.drip.bcbs.core.CapitalMetricsStandard; import org.drip.bcbs.core.HighQualityLiquidAsset; import org.drip.bcbs.core.HighQualityLiquidAssetSettings; -import org.drip.bcbs.core.HighQualityLiquidAssetStandard; +import org.drip.bcbs.core.LiquidityMetrics; +import org.drip.quant.common.FormatUtil; import org.drip.service.env.EnvManager; /* @@ -71,7 +77,8 @@ /** * USSIFICompliance illustrates the US SIFI Capital Metrics Compliance Checks along with Liquidity - * Compliance Checks for several Liquidity Metrics Standards. The References are: + * Compliance Checks for several Liquidity Metrics Standards. Liquidity Criteria correspond to Large BHC's. + * The References are: * *

*