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maturity_gap

Maturity Gap (Repricing) Model for IRRBB.

Classes:

MaturityGapModel

Computes the maturity gap for banking book positions across 19 Basel IRRBB buckets.

Methods:

  • compute –

    Classify banking book positions into buckets and compute gap/ΔNII.

compute 

compute(
    bank: Bank, date: date, valuation_store: ValuationStore
) -> MaturityGapResult

Classify banking book positions into buckets and compute gap/ΔNII.

MaturityGapResult dataclass 

MaturityGapResult(
    buckets: tuple[
        TimeBucket, ...
    ] = lambda: IRRBB_BUCKETS(),
    rsa: list[float] = lambda: [0.0] * len(IRRBB_BUCKETS)(),
    rsl: list[float] = lambda: [0.0] * len(IRRBB_BUCKETS)(),
    gap: list[float] = lambda: [0.0] * len(IRRBB_BUCKETS)(),
    cumulative_gap: list[float] = lambda: [0.0]
    * len(IRRBB_BUCKETS)(),
    delta_nii_up: list[float] = lambda: [0.0]
    * len(IRRBB_BUCKETS)(),
    delta_nii_down: list[float] = lambda: [0.0]
    * len(IRRBB_BUCKETS)(),
    total_rsa: float = 0.0,
    total_rsl: float = 0.0,
    total_gap: float = 0.0,
    total_delta_nii_up: float = 0.0,
    total_delta_nii_down: float = 0.0,
)

Output of the maturity gap model.