Calculations¶

The Calculation API provides endpoints to perform portfolio stress tests, risk attribution, exposure and sensitivity calculations. Monte Carlo with full revaluation as well as parametric end points are provided.

Every calculation is a POST to /calculations/<name>, with its parameters in a JSON body.

Group	Endpoint
Risk	`/calculations/risk_attribution`
	`/calculations/parametric_risk_attribution`
	`/calculations/historical_risk_attribution`
	`/calculations/marginal_tracking_error`
	`/calculations/volatility_and_correlation_matrix`
Scenario analysis	`/calculations/stress_test`
	`/calculations/parametric_stress_test`
Portfolio analytics	`/calculations/exposure`
	`/calculations/sensitivity`
	`/calculations/beta`
	`/calculations/properties`
Liquidity & pricing	`/calculations/days_to_unwind`
	`/calculations/bond_pricer`

The portfolio¶

Most calculations run on a portfolio, which you either describe inline or reference by id:

Parameter	Description
`securities` array	The securities in the portfolio, each with a unique id, symbol, quantity and label. See Securities.
`portfolio_id` string	The ID of an existing portfolio. The calculation uses the portfolio's securities, date, base currency and NLV, and `securities` is no longer required.
`date` string date	Portfolio date in the format `YYYYMMDD`. The API uses the market conditions and prices prevailing on that date. Defaults to `null` (today).
`base_currency` string	3-letter ISO 4217 currency code. Changing it automatically incorporates currency risks. Defaults to `USD`.
`nlv` float	The net liquidating value of the portfolio. Defaults to `null`, in which case the API calculates it from all cash securities.

Beyond these, each calculation takes its own parameters. The ones shared by several calculations, like confidence, filter or horizon, are described under Parameters.

The response¶

A calculation returns a JSON object keyed by the calculation name, plus an unmapped_tickers list with any symbols the API could not recognize:

{
  "exposure": {
    ...
  },
  "unmapped_tickers": []
}