Portfolio risk from supplied data or a synthetic example: VaR, ES, stress, credit, FRTB.
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Backtest a VaR (and optional ES) series against realised P&L: Kupiec, Christoffersen, Basel zone and Acerbi-Szekely Z2. Omit the request to run the shipped synthetic example instead. For supplied data, require permission and set rights_confirmed=true; this does not verify a licence.
Pick your client. Values in capitals, like YOUR_TOKEN, are yours to fill in.
Run in a terminal
claude mcp add --transport http riskdesk https://riskdesk.avidquant.com/mcp
Backtest a VaR (and optional ES) series against realised P&L: Kupiec, Christoffersen, Basel zone and Acerbi-Szekely Z2. Omit the request to run the shipped synthetic example instead. For supplied data, require permission and set rights_confirmed=true; this does not verify a licence.
| Argument | Type | Description |
|---|---|---|
| request | any | |
| rights_confirmed | boolean |
{
"type": "object",
"$defs": {
"BacktestRequest": {
"type": "object",
"title": "BacktestRequest",
"required": [
"as_of",
"currency",
"source",
"data_mode",
"pnl",
"var",
"confidence",
"horizon_days"
],
"properties": {
"pnl": {
"type": "array",
"items": {
"type": "number"
},
"title": "Pnl",
"maxItems": 10000,
"minItems": 2
},
"var": {
"type": "array",
"items": {
"type": "number"
},
"title": "Var",
"maxItems": 10000,
"minItems": 2
},
"seed": {
"type": "integer",
"title": "Seed",
"default": 0,
"minimum": 0
},
"as_of": {
"type": "string",
"title": "As Of",
"format": "date"
},
"source": {
"type": "string",
"title": "Source",
"maxLength": 500,
"minLength": 1
},
"es_null": {
"anyOf": [
{
"enum": [
"normal",
"student-t"
],
"type": "string"
},
{
"type": "null"
}
],
"title": "Es Null",
"default": null
},
"currency": {
"type": "string",
"title": "Currency",
"pattern": "^[A-Z]{3}$"
},
"data_mode": {
"enum": [
"synthetic",
"user-licensed"
],
"type": "string",
"title": "Data Mode"
},
"confidence": {
"type": "number",
"title": "Confidence",
"exclusiveMaximum": 1,
"exclusiveMinimum": 0
},
"es_null_dof": {
"anyOf": [
{
"type": "number",
"maximum": 1000,
"exclusiveMinimum": 1
},
{
"type": "null"
}
],
"title": "Es Null Dof",
"default": null
},
"horizon_days": {
"type": "integer",
"title": "Horizon Days",
"maximum": 3650,
"exclusiveMinimum": 0
},
"expected_shortfall": {
"anyOf": [
{
"type": "array",
"items": {
"type": "number"
},
"maxItems": 10000,
"minItems": 2
},
{
"type": "null"
}
],
"title": "Expected Shortfall",
"default": null
}
},
"additionalProperties": false
}
},
"title": "risk_backtestArguments",
"properties": {
"request": {
"anyOf": [
{
"$ref": "#/$defs/BacktestRequest"
},
{
"type": "null"
}
],
"default": null
},
"rights_confirmed": {
"type": "boolean",
"title": "Rights Confirmed",
"default": false
}
}
}Sample, EWMA or Ledoit-Wolf covariance, volatility and correlation of a supplied return history. Omit the request to run the shipped synthetic example instead. For supplied data, require permission and set rights_confirmed=true; this does not verify a licence.
| Argument | Type | Description |
|---|---|---|
| request | any | |
| rights_confirmed | boolean |
{
"type": "object",
"$defs": {
"CovarianceRequest": {
"type": "object",
"title": "CovarianceRequest",
"required": [
"as_of",
"currency",
"source",
"data_mode",
"assets",
"returns",
"horizon_days",
"method"
],
"properties": {
"as_of": {
"type": "string",
"title": "As Of",
"format": "date"
},
"decay": {
"anyOf": [
{
"type": "number",
"exclusiveMaximum": 1,
"exclusiveMinimum": 0
},
{
"type": "null"
}
],
"title": "Decay",
"default": null
},
"assets": {
"type": "array",
"items": {
"type": "string"
},
"title": "Assets",
"maxItems": 1000,
"minItems": 1
},
"method": {
"enum": [
"sample",
"ewma",
"ledoit_wolf"
],
"type": "string",
"title": "Method"
},
"source": {
"type": "string",
"title": "Source",
"maxLength": 500,
"minLength": 1
},
"returns": {
"type": "array",
"items": {
"type": "array",
"items": {
"type": "number"
}
},
"title": "Returns",
"maxItems": 100000,
"minItems": 2
},
"currency": {
"type": "string",
"title": "Currency",
"pattern": "^[A-Z]{3}$"
},
"data_mode": {
"enum": [
"synthetic",
"user-licensed"
],
"type": "string",
"title": "Data Mode"
},
"horizon_days": {
"type": "integer",
"title": "Horizon Days",
"maximum": 3650,
"exclusiveMinimum": 0
}
},
"additionalProperties": false
}
},
"title": "risk_covarianceArguments",
"properties": {
"request": {
"anyOf": [
{
"$ref": "#/$defs/CovarianceRequest"
},
{
"type": "null"
}
],
"default": null
},
"rights_confirmed": {
"type": "boolean",
"title": "Rights Confirmed",
"default": false
}
}
}Vasicek asymptotic single risk factor credit VaR, expected and unexpected loss. Omit the request to run the shipped synthetic example instead. For supplied data, require permission and set rights_confirmed=true; this does not verify a licence.
| Argument | Type | Description |
|---|---|---|
| request | any | |
| rights_confirmed | boolean |
{
"type": "object",
"$defs": {
"AsrfObligor": {
"type": "object",
"title": "AsrfObligor",
"required": [
"id",
"exposure",
"pd",
"lgd",
"correlation"
],
"properties": {
"id": {
"type": "string",
"title": "Id",
"minLength": 1
},
"pd": {
"type": "number",
"title": "Pd",
"exclusiveMaximum": 1,
"exclusiveMinimum": 0
},
"lgd": {
"type": "number",
"title": "Lgd",
"maximum": 1,
"minimum": 0
},
"exposure": {
"type": "number",
"title": "Exposure",
"exclusiveMinimum": 0
},
"correlation": {
"type": "number",
"title": "Correlation",
"exclusiveMaximum": 1,
"exclusiveMinimum": 0
}
},
"additionalProperties": false
},
"AsrfRequest": {
"type": "object",
"title": "AsrfRequest",
"required": [
"as_of",
"currency",
"source",
"data_mode",
"confidence",
"horizon_days",
"obligors"
],
"properties": {
"as_of": {
"type": "string",
"title": "As Of",
"format": "date"
},
"source": {
"type": "string",
"title": "Source",
"maxLength": 500,
"minLength": 1
},
"currency": {
"type": "string",
"title": "Currency",
"pattern": "^[A-Z]{3}$"
},
"obligors": {
"type": "array",
"items": {
"$ref": "#/$defs/AsrfObligor"
},
"title": "Obligors",
"maxItems": 1000000,
"minItems": 1
},
"data_mode": {
"enum": [
"synthetic",
"user-licensed"
],
"type": "string",
"title": "Data Mode"
},
"confidence": {
"type": "number",
"title": "Confidence",
"exclusiveMaximum": 1,
"exclusiveMinimum": 0
},
"horizon_days": {
"type": "integer",
"title": "Horizon Days",
"maximum": 3650,
"exclusiveMinimum": 0
}
},
"additionalProperties": false
}
},
"title": "risk_credit_asrfArguments",
"properties": {
"request": {
"anyOf": [
{
"$ref": "#/$defs/AsrfRequest"
},
{
"type": "null"
}
],
"default": null
},
"rights_confirmed": {
"type": "boolean",
"title": "Rights Confirmed",
"default": false
}
}
}Seeded one-factor Gaussian copula Monte Carlo credit VaR and ES for a finite portfolio. Omit the request to run the shipped synthetic example instead. For supplied data, require permission and set rights_confirmed=true; this does not verify a licence.
| Argument | Type | Description |
|---|---|---|
| request | any | |
| rights_confirmed | boolean |
{
"type": "object",
"$defs": {
"CopulaObligor": {
"type": "object",
"title": "CopulaObligor",
"required": [
"id",
"exposure",
"pd",
"lgd",
"factor_loading"
],
"properties": {
"id": {
"type": "string",
"title": "Id",
"minLength": 1
},
"pd": {
"type": "number",
"title": "Pd",
"exclusiveMaximum": 1,
"exclusiveMinimum": 0
},
"lgd": {
"type": "number",
"title": "Lgd",
"maximum": 1,
"minimum": 0
},
"exposure": {
"type": "number",
"title": "Exposure",
"exclusiveMinimum": 0
},
"factor_loading": {
"type": "number",
"title": "Factor Loading",
"exclusiveMaximum": 1,
"exclusiveMinimum": -1
}
},
"additionalProperties": false
},
"CopulaRequest": {
"type": "object",
"title": "CopulaRequest",
"required": [
"as_of",
"currency",
"source",
"data_mode",
"confidence",
"horizon_days",
"obligors",
"scenarios",
"seed"
],
"properties": {
"seed": {
"type": "integer",
"title": "Seed",
"minimum": 0
},
"as_of": {
"type": "string",
"title": "As Of",
"format": "date"
},
"source": {
"type": "string",
"title": "Source",
"maxLength": 500,
"minLength": 1
},
"currency": {
"type": "string",
"title": "Currency",
"pattern": "^[A-Z]{3}$"
},
"obligors": {
"type": "array",
"items": {
"$ref": "#/$defs/CopulaObligor"
},
"title": "Obligors",
"maxItems": 100000,
"minItems": 1
},
"data_mode": {
"enum": [
"synthetic",
"user-licensed"
],
"type": "string",
"title": "Data Mode"
},
"scenarios": {
"type": "integer",
"title": "Scenarios",
"maximum": 1000000,
"minimum": 1000
},
"confidence": {
"type": "number",
"title": "Confidence",
"exclusiveMaximum": 1,
"exclusiveMinimum": 0
},
"horizon_days": {
"type": "integer",
"title": "Horizon Days",
"maximum": 3650,
"exclusiveMinimum": 0
}
},
"additionalProperties": false
}
},
"title": "risk_credit_copulaArguments",
"properties": {
"request": {
"anyOf": [
{
"$ref": "#/$defs/CopulaRequest"
},
{
"type": "null"
}
],
"default": null
},
"rights_confirmed": {
"type": "boolean",
"title": "Rights Confirmed",
"default": false
}
}
}Cash delta, gamma, vega, theta and rho of a book of linear positions and European options. Omit the request to run the shipped synthetic example instead. For supplied data, require permission and set rights_confirmed=true; this does not verify a licence.
| Argument | Type | Description |
|---|---|---|
| request | any | |
| rights_confirmed | boolean |
{
"type": "object",
"$defs": {
"Underlying": {
"type": "object",
"title": "Underlying",
"required": [
"price",
"price_type"
],
"properties": {
"price": {
"type": "number",
"title": "Price",
"exclusiveMinimum": 0
},
"price_type": {
"enum": [
"spot",
"future"
],
"type": "string",
"title": "Price Type"
}
},
"additionalProperties": false
},
"BookPosition": {
"type": "object",
"title": "BookPosition",
"required": [
"id",
"underlying",
"instrument_type",
"quantity",
"multiplier"
],
"properties": {
"id": {
"type": "string",
"title": "Id",
"minLength": 1
},
"kind": {
"anyOf": [
{
"enum": [
"call",
"put"
],
"type": "string"
},
{
"type": "null"
}
],
"title": "Kind",
"default": null
},
"rate": {
"anyOf": [
{
"type": "number"
},
{
"type": "null"
}
],
"title": "Rate",
"default": null
},
"expiry": {
"anyOf": [
{
"type": "string",
"format": "date"
},
{
"type": "null"
}
],
"title": "Expiry",
"default": null
},
"strike": {
"anyOf": [
{
"type": "number",
"exclusiveMinimum": 0
},
{
"type": "null"
}
],
"title": "Strike",
"default": null
},
"quantity": {
"type": "number",
"title": "Quantity"
},
"multiplier": {
"type": "number",
"title": "Multiplier",
"exclusiveMinimum": 0
},
"underlying": {
"type": "string",
"title": "Underlying",
"minLength": 1
},
"carry_yield": {
"anyOf": [
{
"type": "number"
},
{
"type": "null"
}
],
"title": "Carry Yield",
"default": null
},
"implied_vol": {
"anyOf": [
{
"type": "number",
"exclusiveMinimum": 0
},
{
"type": "null"
}
],
"title": "Implied Vol",
"default": null
},
"year_fraction": {
"anyOf": [
{
"type": "number",
"exclusiveMinimum": 0
},
{
"type": "null"
}
],
"title": "Year Fraction",
"default": null
},
"instrument_type": {
"enum": [
"linear",
"option"
],
"type": "string",
"title": "Instrument Type"
}
},
"additionalProperties": false
},
"DerivativesBookRequest": {
"type": "object",
"title": "DerivativesBookRequest",
"required": [
"as_of",
"currency",
"source",
"data_mode",
"underlyings",
"positions"
],
"properties": {
"as_of": {
"type": "string",
"title": "As Of",
"format": "date"
},
"source": {
"type": "string",
"title": "Source",
"maxLength": 500,
"minLength": 1
},
"currency": {
"type": "string",
"title": "Currency",
"pattern": "^[A-Z]{3}$"
},
"data_mode": {
"enum": [
"synthetic",
"user-licensed"
],
"type": "string",
"title": "Data Mode"
},
"positions": {
"type": "array",
"items": {
"$ref": "#/$defs/BookPosition"
},
"title": "Positions",
"maxItems": 10000,
"minItems": 1
},
"underlyings": {
"type": "object",
"title": "Underlyings",
"minProperties": 1,
"additionalProperties": {
"$ref": "#/$defs/Underlying"
}
}
},
"additionalProperties": false
}
},
"title": "risk_derivatives_greeksArguments",
"properties": {
"request": {
"anyOf": [
{
"$ref": "#/$defs/DerivativesBookRequest"
},
{
"type": "null"
}
],
"default": null
},
"rights_confirmed": {
"type": "boolean",
"title": "Rights Confirmed",
"default": false
}
}
}Full revaluation of an options book over a spot and vol shock grid, against delta-gamma-vega. Omit the request to run the shipped synthetic example instead. For supplied data, require permission and set rights_confirmed=true; this does not verify a licence.
| Argument | Type | Description |
|---|---|---|
| request | any | |
| rights_confirmed | boolean |
{
"type": "object",
"$defs": {
"Underlying": {
"type": "object",
"title": "Underlying",
"required": [
"price",
"price_type"
],
"properties": {
"price": {
"type": "number",
"title": "Price",
"exclusiveMinimum": 0
},
"price_type": {
"enum": [
"spot",
"future"
],
"type": "string",
"title": "Price Type"
}
},
"additionalProperties": false
},
"BookPosition": {
"type": "object",
"title": "BookPosition",
"required": [
"id",
"underlying",
"instrument_type",
"quantity",
"multiplier"
],
"properties": {
"id": {
"type": "string",
"title": "Id",
"minLength": 1
},
"kind": {
"anyOf": [
{
"enum": [
"call",
"put"
],
"type": "string"
},
{
"type": "null"
}
],
"title": "Kind",
"default": null
},
"rate": {
"anyOf": [
{
"type": "number"
},
{
"type": "null"
}
],
"title": "Rate",
"default": null
},
"expiry": {
"anyOf": [
{
"type": "string",
"format": "date"
},
{
"type": "null"
}
],
"title": "Expiry",
"default": null
},
"strike": {
"anyOf": [
{
"type": "number",
"exclusiveMinimum": 0
},
{
"type": "null"
}
],
"title": "Strike",
"default": null
},
"quantity": {
"type": "number",
"title": "Quantity"
},
"multiplier": {
"type": "number",
"title": "Multiplier",
"exclusiveMinimum": 0
},
"underlying": {
"type": "string",
"title": "Underlying",
"minLength": 1
},
"carry_yield": {
"anyOf": [
{
"type": "number"
},
{
"type": "null"
}
],
"title": "Carry Yield",
"default": null
},
"implied_vol": {
"anyOf": [
{
"type": "number",
"exclusiveMinimum": 0
},
{
"type": "null"
}
],
"title": "Implied Vol",
"default": null
},
"year_fraction": {
"anyOf": [
{
"type": "number",
"exclusiveMinimum": 0
},
{
"type": "null"
}
],
"title": "Year Fraction",
"default": null
},
"instrument_type": {
"enum": [
"linear",
"option"
],
"type": "string",
"title": "Instrument Type"
}
},
"additionalProperties": false
},
"ScenarioGridRequest": {
"type": "object",
"title": "ScenarioGridRequest",
"required": [
"as_of",
"currency",
"source",
"data_mode",
"underlyings",
"positions",
"spot_shocks",
"vol_shocks"
],
"properties": {
"as_of": {
"type": "string",
"title": "As Of",
"format": "date"
},
"source": {
"type": "string",
"title": "Source",
"maxLength": 500,
"minLength": 1
},
"currency": {
"type": "string",
"title": "Currency",
"pattern": "^[A-Z]{3}$"
},
"data_mode": {
"enum": [
"synthetic",
"user-licensed"
],
"type": "string",
"title": "Data Mode"
},
"positions": {
"type": "array",
"items": {
"$ref": "#/$defs/BookPosition"
},
"title": "Positions",
"maxItems": 10000,
"minItems": 1
},
"vol_shocks": {
"type": "array",
"items": {
"type": "number"
},
"title": "Vol Shocks",
"maxItems": 101,
"minItems": 1
},
"spot_shocks": {
"type": "array",
"items": {
"type": "number"
},
"title": "Spot Shocks",
"maxItems": 101,
"minItems": 1
},
"underlyings": {
"type": "object",
"title": "Underlyings",
"minProperties": 1,
"additionalProperties": {
"$ref": "#/$defs/Underlying"
}
}
},
"additionalProperties": false
}
},
"title": "risk_derivatives_gridArguments",
"properties": {
"request": {
"anyOf": [
{
"$ref": "#/$defs/ScenarioGridRequest"
},
{
"type": "null"
}
],
"default": null
},
"rights_confirmed": {
"type": "boolean",
"title": "Rights Confirmed",
"default": false
}
}
}Historical full-revaluation P&L, VaR and ES of an options book under supplied spot and vol moves. Omit the request to run the shipped synthetic example instead. For supplied data, require permission and set rights_confirmed=true; this does not verify a licence.
| Argument | Type | Description |
|---|---|---|
| request | any | |
| rights_confirmed | boolean |
{
"type": "object",
"$defs": {
"Underlying": {
"type": "object",
"title": "Underlying",
"required": [
"price",
"price_type"
],
"properties": {
"price": {
"type": "number",
"title": "Price",
"exclusiveMinimum": 0
},
"price_type": {
"enum": [
"spot",
"future"
],
"type": "string",
"title": "Price Type"
}
},
"additionalProperties": false
},
"BookPosition": {
"type": "object",
"title": "BookPosition",
"required": [
"id",
"underlying",
"instrument_type",
"quantity",
"multiplier"
],
"properties": {
"id": {
"type": "string",
"title": "Id",
"minLength": 1
},
"kind": {
"anyOf": [
{
"enum": [
"call",
"put"
],
"type": "string"
},
{
"type": "null"
}
],
"title": "Kind",
"default": null
},
"rate": {
"anyOf": [
{
"type": "number"
},
{
"type": "null"
}
],
"title": "Rate",
"default": null
},
"expiry": {
"anyOf": [
{
"type": "string",
"format": "date"
},
{
"type": "null"
}
],
"title": "Expiry",
"default": null
},
"strike": {
"anyOf": [
{
"type": "number",
"exclusiveMinimum": 0
},
{
"type": "null"
}
],
"title": "Strike",
"default": null
},
"quantity": {
"type": "number",
"title": "Quantity"
},
"multiplier": {
"type": "number",
"title": "Multiplier",
"exclusiveMinimum": 0
},
"underlying": {
"type": "string",
"title": "Underlying",
"minLength": 1
},
"carry_yield": {
"anyOf": [
{
"type": "number"
},
{
"type": "null"
}
],
"title": "Carry Yield",
"default": null
},
"implied_vol": {
"anyOf": [
{
"type": "number",
"exclusiveMinimum": 0
},
{
"type": "null"
}
],
"title": "Implied Vol",
"default": null
},
"year_fraction": {
"anyOf": [
{
"type": "number",
"exclusiveMinimum": 0
},
{
"type": "null"
}
],
"title": "Year Fraction",
"default": null
},
"instrument_type": {
"enum": [
"linear",
"option"
],
"type": "string",
"title": "Instrument Type"
}
},
"additionalProperties": false
},
"HistoricalScenario": {
"type": "object",
"title": "HistoricalScenario",
"required": [
"spot_returns"
],
"properties": {
"vol_changes": {
"anyOf": [
{
"type": "object",
"additionalProperties": {
"type": "number"
}
},
{
"type": "null"
}
],
"title": "Vol Changes",
"default": null
},
"spot_returns": {
"type": "object",
"title": "Spot Returns",
"minProperties": 1,
"additionalProperties": {
"type": "number"
}
}
},
"additionalProperties": false
},
"HistoricalPnlRequest": {
"type": "object",
"title": "HistoricalPnlRequest",
"required": [
"as_of",
"currency",
"source",
"data_mode",
"underlyings",
"positions",
"scenarios",
"horizon_days",
"time_mode",
"confidence",
"portfolio_value"
],
"properties": {
"as_of": {
"type": "string",
"title": "As Of",
"format": "date"
},
"source": {
"type": "string",
"title": "Source",
"maxLength": 500,
"minLength": 1
},
"currency": {
"type": "string",
"title": "Currency",
"pattern": "^[A-Z]{3}$"
},
"data_mode": {
"enum": [
"synthetic",
"user-licensed"
],
"type": "string",
"title": "Data Mode"
},
"positions": {
"type": "array",
"items": {
"$ref": "#/$defs/BookPosition"
},
"title": "Positions",
"maxItems": 10000,
"minItems": 1
},
"scenarios": {
"type": "array",
"items": {
"$ref": "#/$defs/HistoricalScenario"
},
"title": "Scenarios",
"maxItems": 100000,
"minItems": 2
},
"time_mode": {
"enum": [
"fixed",
"decay"
],
"type": "string",
"title": "Time Mode"
},
"confidence": {
"type": "number",
"title": "Confidence",
"exclusiveMaximum": 1,
"exclusiveMinimum": 0
},
"underlyings": {
"type": "object",
"title": "Underlyings",
"minProperties": 1,
"additionalProperties": {
"$ref": "#/$defs/Underlying"
}
},
"horizon_days": {
"type": "integer",
"title": "Horizon Days",
"maximum": 3650,
"exclusiveMinimum": 0
},
"portfolio_value": {
"type": "number",
"title": "Portfolio Value",
"exclusiveMinimum": 0
}
},
"additionalProperties": false
}
},
"title": "risk_derivatives_historicalArguments",
"properties": {
"request": {
"anyOf": [
{
"$ref": "#/$defs/HistoricalPnlRequest"
},
{
"type": "null"
}
],
"default": null
},
"rights_confirmed": {
"type": "boolean",
"title": "Rights Confirmed",
"default": false
}
}
}Check the Risk Desk data mode, the public example, the size limits and the sign convention before requesting any figure. No market data feed, no broker connection and no hosted XVA exist.
No arguments.
{
"type": "object",
"title": "risk_desk_statusArguments",
"properties": {}
}Historical-simulation ES with Euler contributions per position. Omit the request to run the shipped synthetic example instead. For supplied data, require permission and set rights_confirmed=true; this does not verify a licence.
| Argument | Type | Description |
|---|---|---|
| request | any | |
| rights_confirmed | boolean |
{
"type": "object",
"$defs": {
"Position": {
"type": "object",
"title": "Position",
"required": [
"id",
"asset",
"market_value",
"instrument_type"
],
"properties": {
"id": {
"type": "string",
"title": "Id",
"minLength": 1
},
"asset": {
"type": "string",
"title": "Asset",
"minLength": 1
},
"market_value": {
"type": "number",
"title": "Market Value"
},
"instrument_type": {
"type": "string",
"const": "linear",
"title": "Instrument Type"
}
},
"additionalProperties": false
},
"HistoricalRequest": {
"type": "object",
"title": "HistoricalRequest",
"required": [
"as_of",
"currency",
"source",
"data_mode",
"assets",
"returns",
"horizon_days",
"nav",
"positions",
"confidence"
],
"properties": {
"nav": {
"type": "number",
"title": "Nav",
"exclusiveMinimum": 0
},
"as_of": {
"type": "string",
"title": "As Of",
"format": "date"
},
"assets": {
"type": "array",
"items": {
"type": "string"
},
"title": "Assets",
"maxItems": 1000,
"minItems": 1
},
"source": {
"type": "string",
"title": "Source",
"maxLength": 500,
"minLength": 1
},
"returns": {
"type": "array",
"items": {
"type": "array",
"items": {
"type": "number"
}
},
"title": "Returns",
"maxItems": 100000,
"minItems": 2
},
"currency": {
"type": "string",
"title": "Currency",
"pattern": "^[A-Z]{3}$"
},
"data_mode": {
"enum": [
"synthetic",
"user-licensed"
],
"type": "string",
"title": "Data Mode"
},
"positions": {
"type": "array",
"items": {
"$ref": "#/$defs/Position"
},
"title": "Positions",
"maxItems": 100000,
"minItems": 1
},
"confidence": {
"type": "number",
"title": "Confidence",
"exclusiveMaximum": 1,
"exclusiveMinimum": 0
},
"horizon_days": {
"type": "integer",
"title": "Horizon Days",
"maximum": 3650,
"exclusiveMinimum": 0
}
},
"additionalProperties": false
}
},
"title": "risk_es_attributionArguments",
"properties": {
"request": {
"anyOf": [
{
"$ref": "#/$defs/HistoricalRequest"
},
{
"type": "null"
}
],
"default": null
},
"rights_confirmed": {
"type": "boolean",
"title": "Rights Confirmed",
"default": false
}
}
}Gross and net exposure, leverage against NAV and concentration for signed linear positions in one stated base currency. Omit the request to run the public synthetic energy example instead. For supplied data, require permission and set rights_confirmed=true; this does not verify a licence.
| Argument | Type | Description |
|---|---|---|
| request | any | |
| rights_confirmed | boolean |
{
"type": "object",
"$defs": {
"Position": {
"type": "object",
"title": "Position",
"required": [
"id",
"asset",
"market_value",
"instrument_type"
],
"properties": {
"id": {
"type": "string",
"title": "Id",
"minLength": 1
},
"asset": {
"type": "string",
"title": "Asset",
"minLength": 1
},
"market_value": {
"type": "number",
"title": "Market Value"
},
"instrument_type": {
"type": "string",
"const": "linear",
"title": "Instrument Type"
}
},
"additionalProperties": false
},
"PortfolioRequest": {
"type": "object",
"title": "PortfolioRequest",
"required": [
"as_of",
"currency",
"source",
"data_mode",
"nav",
"positions"
],
"properties": {
"nav": {
"type": "number",
"title": "Nav",
"exclusiveMinimum": 0
},
"as_of": {
"type": "string",
"title": "As Of",
"format": "date"
},
"source": {
"type": "string",
"title": "Source",
"maxLength": 500,
"minLength": 1
},
"currency": {
"type": "string",
"title": "Currency",
"pattern": "^[A-Z]{3}$"
},
"data_mode": {
"enum": [
"synthetic",
"user-licensed"
],
"type": "string",
"title": "Data Mode"
},
"positions": {
"type": "array",
"items": {
"$ref": "#/$defs/Position"
},
"title": "Positions",
"maxItems": 100000,
"minItems": 1
}
},
"additionalProperties": false
}
},
"title": "risk_exposureArguments",
"properties": {
"request": {
"anyOf": [
{
"$ref": "#/$defs/PortfolioRequest"
},
{
"type": "null"
}
],
"default": null
},
"rights_confirmed": {
"type": "boolean",
"title": "Rights Confirmed",
"default": false
}
}
}Peak PFE, EPE, Effective EE and Effective EPE from a supplied simulated exposure profile. Omit the request to run the shipped synthetic example instead. For supplied data, require permission and set rights_confirmed=true; this does not verify a licence.
| Argument | Type | Description |
|---|---|---|
| request | any | |
| rights_confirmed | boolean |
{
"type": "object",
"$defs": {
"ExposureRow": {
"type": "object",
"title": "ExposureRow",
"required": [
"Time"
],
"properties": {
"ENE": {
"anyOf": [
{
"type": "number"
},
{
"type": "null"
}
],
"title": "Ene",
"default": null
},
"EPE": {
"anyOf": [
{
"type": "number"
},
{
"type": "null"
}
],
"title": "Epe",
"default": null
},
"PFE": {
"anyOf": [
{
"type": "number"
},
{
"type": "null"
}
],
"title": "Pfe",
"default": null
},
"Date": {
"anyOf": [
{
"type": "string"
},
{
"type": "null"
}
],
"title": "Date",
"default": null
},
"Time": {
"type": "number",
"title": "Time",
"maximum": 200,
"minimum": 0
},
"BaselEE": {
"anyOf": [
{
"type": "number"
},
{
"type": "null"
}
],
"title": "Baselee",
"default": null
},
"BaselEEE": {
"anyOf": [
{
"type": "number"
},
{
"type": "null"
}
],
"title": "Baseleee",
"default": null
},
"NettingSet": {
"anyOf": [
{
"type": "string"
},
{
"type": "null"
}
],
"title": "Nettingset",
"default": null
},
"ExpectedCollateral": {
"anyOf": [
{
"type": "number"
},
{
"type": "null"
}
],
"title": "Expectedcollateral",
"default": null
},
"TimeWeightedBaselEPE": {
"anyOf": [
{
"type": "number"
},
{
"type": "null"
}
],
"title": "Timeweightedbaselepe",
"default": null
},
"TimeWeightedBaselEEPE": {
"anyOf": [
{
"type": "number"
},
{
"type": "null"
}
],
"title": "Timeweightedbaseleepe",
"default": null
}
},
"description": "One row of ORE's netting-set exposure report; field names are ORE's column names.",
"additionalProperties": false
},
"ExposureProfileRequest": {
"type": "object",
"title": "ExposureProfileRequest",
"required": [
"as_of",
"currency",
"source",
"data_mode",
"rows"
],
"properties": {
"rows": {
"type": "array",
"items": {
"$ref": "#/$defs/ExposureRow"
},
"title": "Rows",
"maxItems": 100000,
"minItems": 2
},
"as_of": {
"type": "string",
"title": "As Of",
"format": "date"
},
"source": {
"type": "string",
"title": "Source",
"maxLength": 500,
"minLength": 1
},
"currency": {
"type": "string",
"title": "Currency",
"pattern": "^[A-Z]{3}$"
},
"data_mode": {
"enum": [
"synthetic",
"user-licensed",
"upstream-example"
],
"type": "string",
"title": "Data Mode"
}
},
"additionalProperties": false
}
},
"title": "risk_exposure_profileArguments",
"properties": {
"request": {
"anyOf": [
{
"$ref": "#/$defs/ExposureProfileRequest"
},
{
"type": "null"
}
],
"default": null
},
"rights_confirmed": {
"type": "boolean",
"title": "Rights Confirmed",
"default": false
}
}
}Factor betas and the split of portfolio variance into systematic and idiosyncratic parts. Omit the request to run the shipped synthetic example instead. For supplied data, require permission and set rights_confirmed=true; this does not verify a licence.
| Argument | Type | Description |
|---|---|---|
| request | any | |
| rights_confirmed | boolean |
{
"type": "object",
"$defs": {
"Position": {
"type": "object",
"title": "Position",
"required": [
"id",
"asset",
"market_value",
"instrument_type"
],
"properties": {
"id": {
"type": "string",
"title": "Id",
"minLength": 1
},
"asset": {
"type": "string",
"title": "Asset",
"minLength": 1
},
"market_value": {
"type": "number",
"title": "Market Value"
},
"instrument_type": {
"type": "string",
"const": "linear",
"title": "Instrument Type"
}
},
"additionalProperties": false
},
"FactorRequest": {
"type": "object",
"title": "FactorRequest",
"required": [
"as_of",
"currency",
"source",
"data_mode",
"assets",
"returns",
"horizon_days",
"nav",
"positions",
"factors",
"factor_returns"
],
"properties": {
"nav": {
"type": "number",
"title": "Nav",
"exclusiveMinimum": 0
},
"as_of": {
"type": "string",
"title": "As Of",
"format": "date"
},
"assets": {
"type": "array",
"items": {
"type": "string"
},
"title": "Assets",
"maxItems": 1000,
"minItems": 1
},
"source": {
"type": "string",
"title": "Source",
"maxLength": 500,
"minLength": 1
},
"factors": {
"type": "array",
"items": {
"type": "string"
},
"title": "Factors",
"maxItems": 100,
"minItems": 1
},
"returns": {
"type": "array",
"items": {
"type": "array",
"items": {
"type": "number"
}
},
"title": "Returns",
"maxItems": 100000,
"minItems": 2
},
"currency": {
"type": "string",
"title": "Currency",
"pattern": "^[A-Z]{3}$"
},
"data_mode": {
"enum": [
"synthetic",
"user-licensed"
],
"type": "string",
"title": "Data Mode"
},
"positions": {
"type": "array",
"items": {
"$ref": "#/$defs/Position"
},
"title": "Positions",
"maxItems": 100000,
"minItems": 1
},
"horizon_days": {
"type": "integer",
"title": "Horizon Days",
"maximum": 3650,
"exclusiveMinimum": 0
},
"factor_returns": {
"type": "array",
"items": {
"type": "array",
"items": {
"type": "number"
}
},
"title": "Factor Returns",
"maxItems": 100000,
"minItems": 2
}
},
"additionalProperties": false
}
},
"title": "risk_factor_exposureArguments",
"properties": {
"request": {
"anyOf": [
{
"$ref": "#/$defs/FactorRequest"
},
{
"type": "null"
}
],
"default": null
},
"rights_confirmed": {
"type": "boolean",
"title": "Rights Confirmed",
"default": false
}
}
}FRTB VaR backtesting exception counts at 97.5% and 99%, desk verdict or bank zone (MAR32). Omit the request to run the shipped synthetic example instead. For supplied data, require permission and set rights_confirmed=true; this does not verify a licence.
| Argument | Type | Description |
|---|---|---|
| request | any | |
| rights_confirmed | boolean |
{
"type": "object",
"$defs": {
"BacktestRequest": {
"type": "object",
"title": "BacktestRequest",
"required": [
"as_of",
"currency",
"source",
"data_mode",
"level",
"apl",
"hpl",
"var_99"
],
"properties": {
"apl": {
"type": "array",
"items": {
"anyOf": [
{
"type": "number"
},
{
"type": "null"
}
]
},
"title": "Apl",
"maxItems": 250,
"minItems": 250
},
"hpl": {
"type": "array",
"items": {
"anyOf": [
{
"type": "number"
},
{
"type": "null"
}
]
},
"title": "Hpl",
"maxItems": 250,
"minItems": 250
},
"as_of": {
"type": "string",
"title": "As Of",
"format": "date"
},
"level": {
"enum": [
"desk",
"bank"
],
"type": "string",
"title": "Level"
},
"source": {
"type": "string",
"title": "Source",
"maxLength": 500,
"minLength": 1
},
"var_99": {
"type": "array",
"items": {
"anyOf": [
{
"type": "number"
},
{
"type": "null"
}
]
},
"title": "Var 99",
"maxItems": 250,
"minItems": 250
},
"var_975": {
"anyOf": [
{
"type": "array",
"items": {
"anyOf": [
{
"type": "number"
},
{
"type": "null"
}
]
},
"maxItems": 250,
"minItems": 250
},
{
"type": "null"
}
],
"title": "Var 975",
"default": null
},
"currency": {
"type": "string",
"title": "Currency",
"pattern": "^[A-Z]{3}$"
},
"data_mode": {
"enum": [
"synthetic",
"user-licensed"
],
"type": "string",
"title": "Data Mode"
}
},
"additionalProperties": false
}
},
"title": "risk_frtb_backtestArguments",
"properties": {
"request": {
"anyOf": [
{
"$ref": "#/$defs/BacktestRequest"
},
{
"type": "null"
}
],
"default": null
},
"rights_confirmed": {
"type": "boolean",
"title": "Rights Confirmed",
"default": false
}
}
}FRTB IMA aggregate capital, multiplier, amber-desk surcharge and RWA (MAR33, MAR32.9). Omit the request to run the shipped synthetic example instead. For supplied data, require permission and set rights_confirmed=true; this does not verify a licence.
| Argument | Type | Description |
|---|---|---|
| request | any | |
| rights_confirmed | boolean |
{
"type": "object",
"$defs": {
"DeskStandardised": {
"type": "object",
"title": "DeskStandardised",
"required": [
"desk",
"pla_zone",
"sa"
],
"properties": {
"sa": {
"type": "number",
"title": "Sa",
"minimum": 0
},
"desk": {
"type": "string",
"title": "Desk",
"minLength": 1
},
"pla_zone": {
"enum": [
"green",
"amber"
],
"type": "string",
"title": "Pla Zone"
}
},
"additionalProperties": false
},
"ImaCapitalRequest": {
"type": "object",
"title": "ImaCapitalRequest",
"required": [
"as_of",
"currency",
"source",
"data_mode",
"imcc_latest",
"ses_latest",
"imcc_average_60d",
"ses_average_60d",
"bankwide_backtesting_exceptions",
"qualitative_addon",
"drc_latest",
"drc_average_12w",
"desks",
"sa_green_amber",
"sa_out_of_scope",
"sa_all_desks"
],
"properties": {
"as_of": {
"type": "string",
"title": "As Of",
"format": "date"
},
"desks": {
"type": "array",
"items": {
"$ref": "#/$defs/DeskStandardised"
},
"title": "Desks",
"maxItems": 10000,
"minItems": 1
},
"source": {
"type": "string",
"title": "Source",
"maxLength": 500,
"minLength": 1
},
"currency": {
"type": "string",
"title": "Currency",
"pattern": "^[A-Z]{3}$"
},
"data_mode": {
"enum": [
"synthetic",
"user-licensed"
],
"type": "string",
"title": "Data Mode"
},
"drc_latest": {
"type": "number",
"title": "Drc Latest",
"minimum": 0
},
"ses_latest": {
"type": "number",
"title": "Ses Latest",
"minimum": 0
},
"imcc_latest": {
"type": "number",
"title": "Imcc Latest",
"minimum": 0
},
"sa_all_desks": {
"type": "number",
"title": "Sa All Desks",
"minimum": 0
},
"sa_green_amber": {
"type": "number",
"title": "Sa Green Amber",
"minimum": 0
},
"drc_average_12w": {
"type": "number",
"title": "Drc Average 12W",
"minimum": 0
},
"sa_out_of_scope": {
"type": "number",
"title": "Sa Out Of Scope",
"minimum": 0
},
"ses_average_60d": {
"type": "number",
"title": "Ses Average 60D",
"minimum": 0
},
"imcc_average_60d": {
"type": "number",
"title": "Imcc Average 60D",
"minimum": 0
},
"qualitative_addon": {
"type": "number",
"title": "Qualitative Addon",
"minimum": 0
},
"bankwide_backtesting_exceptions": {
"type": "integer",
"title": "Bankwide Backtesting Exceptions",
"maximum": 250,
"minimum": 0
}
},
"additionalProperties": false
}
},
"title": "risk_frtb_ima_capitalArguments",
"properties": {
"request": {
"anyOf": [
{
"$ref": "#/$defs/ImaCapitalRequest"
},
{
"type": "null"
}
],
"default": null
},
"rights_confirmed": {
"type": "boolean",
"title": "Rights Confirmed",
"default": false
}
}
}FRTB liquidity-adjusted, stress-scaled ES and IMCC from supplied ES figures (MAR33). Omit the request to run the shipped synthetic example instead. For supplied data, require permission and set rights_confirmed=true; this does not verify a licence.
| Argument | Type | Description |
|---|---|---|
| request | any | |
| rights_confirmed | boolean |
{
"type": "object",
"$defs": {
"EsSet": {
"type": "object",
"title": "EsSet",
"required": [
"reduced_stressed",
"full_current",
"reduced_current"
],
"properties": {
"full_current": {
"type": "array",
"items": {
"type": "number",
"minimum": 0
},
"title": "Full Current",
"maxItems": 5,
"minItems": 5
},
"reduced_current": {
"type": "array",
"items": {
"type": "number",
"minimum": 0
},
"title": "Reduced Current",
"maxItems": 5,
"minItems": 5
},
"reduced_stressed": {
"type": "array",
"items": {
"type": "number",
"minimum": 0
},
"title": "Reduced Stressed",
"maxItems": 5,
"minItems": 5
}
},
"description": "Each cascade is ES_T(P, j) for j = 1..5 at the 10-day base horizon;\nelement 0 is ES_T(P) over all risk factors (MAR33.4).",
"additionalProperties": false
},
"ImccRequest": {
"type": "object",
"title": "ImccRequest",
"required": [
"as_of",
"currency",
"source",
"data_mode",
"base_horizon_days",
"portfolio",
"risk_classes"
],
"properties": {
"as_of": {
"type": "string",
"title": "As Of",
"format": "date"
},
"source": {
"type": "string",
"title": "Source",
"maxLength": 500,
"minLength": 1
},
"currency": {
"type": "string",
"title": "Currency",
"pattern": "^[A-Z]{3}$"
},
"data_mode": {
"enum": [
"synthetic",
"user-licensed"
],
"type": "string",
"title": "Data Mode"
},
"portfolio": {
"$ref": "#/$defs/EsSet"
},
"risk_classes": {
"type": "object",
"title": "Risk Classes",
"minProperties": 1,
"propertyNames": {
"enum": [
"interest_rate",
"equity",
"fx",
"commodity",
"credit_spread"
]
},
"additionalProperties": {
"$ref": "#/$defs/EsSet"
}
},
"base_horizon_days": {
"type": "integer",
"const": 10,
"title": "Base Horizon Days"
}
},
"additionalProperties": false
}
},
"title": "risk_frtb_imccArguments",
"properties": {
"request": {
"anyOf": [
{
"$ref": "#/$defs/ImccRequest"
},
{
"type": "null"
}
],
"default": null
},
"rights_confirmed": {
"type": "boolean",
"title": "Rights Confirmed",
"default": false
}
}
}FRTB P&L attribution test: Spearman and Kolmogorov-Smirnov metrics and the desk zone (MAR32). Omit the request to run the shipped synthetic example instead. For supplied data, require permission and set rights_confirmed=true; this does not verify a licence.
| Argument | Type | Description |
|---|---|---|
| request | any | |
| rights_confirmed | boolean |
{
"type": "object",
"$defs": {
"PlaRequest": {
"type": "object",
"title": "PlaRequest",
"required": [
"as_of",
"currency",
"source",
"data_mode",
"desk",
"rtpl",
"hpl"
],
"properties": {
"hpl": {
"type": "array",
"items": {
"type": "number"
},
"title": "Hpl",
"maxItems": 250,
"minItems": 250
},
"desk": {
"type": "string",
"title": "Desk",
"minLength": 1
},
"rtpl": {
"type": "array",
"items": {
"type": "number"
},
"title": "Rtpl",
"maxItems": 250,
"minItems": 250
},
"as_of": {
"type": "string",
"title": "As Of",
"format": "date"
},
"source": {
"type": "string",
"title": "Source",
"maxLength": 500,
"minLength": 1
},
"currency": {
"type": "string",
"title": "Currency",
"pattern": "^[A-Z]{3}$"
},
"data_mode": {
"enum": [
"synthetic",
"user-licensed"
],
"type": "string",
"title": "Data Mode"
}
},
"additionalProperties": false
}
},
"title": "risk_frtb_plaArguments",
"properties": {
"request": {
"anyOf": [
{
"$ref": "#/$defs/PlaRequest"
},
{
"type": "null"
}
],
"default": null
},
"rights_confirmed": {
"type": "boolean",
"title": "Rights Confirmed",
"default": false
}
}
}FRTB standardised sensitivities-based FX delta and vega capital (MAR21). Omit the request to run the shipped synthetic example instead. For supplied data, require permission and set rights_confirmed=true; this does not verify a licence.
| Argument | Type | Description |
|---|---|---|
| request | any | |
| rights_confirmed | boolean |
{
"type": "object",
"$defs": {
"FxVega": {
"type": "object",
"title": "FxVega",
"required": [
"currency",
"option_maturity_years",
"sensitivity"
],
"properties": {
"currency": {
"type": "string",
"title": "Currency",
"pattern": "^[A-Z]{3}$"
},
"sensitivity": {
"type": "number",
"title": "Sensitivity"
},
"option_maturity_years": {
"type": "number",
"title": "Option Maturity Years"
}
},
"additionalProperties": false
},
"FxDelta": {
"type": "object",
"title": "FxDelta",
"required": [
"currency",
"sensitivity"
],
"properties": {
"currency": {
"type": "string",
"title": "Currency",
"pattern": "^[A-Z]{3}$"
},
"sensitivity": {
"type": "number",
"title": "Sensitivity"
}
},
"additionalProperties": false
},
"FxSbmRequest": {
"type": "object",
"title": "FxSbmRequest",
"required": [
"as_of",
"currency",
"source",
"data_mode",
"apply_specified_pair_reduction",
"delta",
"vega"
],
"properties": {
"vega": {
"type": "array",
"items": {
"$ref": "#/$defs/FxVega"
},
"title": "Vega",
"maxItems": 100000
},
"as_of": {
"type": "string",
"title": "As Of",
"format": "date"
},
"delta": {
"type": "array",
"items": {
"$ref": "#/$defs/FxDelta"
},
"title": "Delta",
"maxItems": 100000
},
"source": {
"type": "string",
"title": "Source",
"maxLength": 500,
"minLength": 1
},
"currency": {
"type": "string",
"title": "Currency",
"pattern": "^[A-Z]{3}$"
},
"data_mode": {
"enum": [
"synthetic",
"user-licensed"
],
"type": "string",
"title": "Data Mode"
},
"apply_specified_pair_reduction": {
"type": "boolean",
"title": "Apply Specified Pair Reduction"
}
},
"description": "`currency` is the reporting currency; each bucket is one currency against it (MAR21.86).",
"additionalProperties": false
}
},
"title": "risk_frtb_sbm_fxArguments",
"properties": {
"request": {
"anyOf": [
{
"$ref": "#/$defs/FxSbmRequest"
},
{
"type": "null"
}
],
"default": null
},
"rights_confirmed": {
"type": "boolean",
"title": "Rights Confirmed",
"default": false
}
}
}Grade a limit set against exposure, tail and stress results already returned by Risk Desk. Omit the request to run the shipped synthetic example instead. For supplied data, require permission and set rights_confirmed=true; this does not verify a licence.
| Argument | Type | Description |
|---|---|---|
| request | any | |
| rights_confirmed | boolean |
{
"type": "object",
"$defs": {
"Limit": {
"type": "object",
"title": "Limit",
"required": [
"name",
"metric",
"direction",
"limit"
],
"properties": {
"name": {
"type": "string",
"title": "Name",
"minLength": 1
},
"asset": {
"anyOf": [
{
"type": "string",
"minLength": 1
},
{
"type": "null"
}
],
"title": "Asset",
"default": null
},
"limit": {
"type": "number",
"title": "Limit"
},
"metric": {
"enum": [
"gross_exposure",
"net_exposure",
"gross_leverage",
"net_leverage",
"gross_share",
"var",
"expected_shortfall",
"stress_loss"
],
"type": "string",
"title": "Metric"
},
"warning": {
"anyOf": [
{
"type": "number"
},
{
"type": "null"
}
],
"title": "Warning",
"default": null
},
"scenario": {
"anyOf": [
{
"type": "string",
"minLength": 1
},
{
"type": "null"
}
],
"title": "Scenario",
"default": null
},
"direction": {
"enum": [
"max",
"min"
],
"type": "string",
"title": "Direction"
}
},
"additionalProperties": false
},
"LimitRequest": {
"type": "object",
"title": "LimitRequest",
"required": [
"as_of",
"currency",
"source",
"data_mode",
"limits",
"results"
],
"properties": {
"as_of": {
"type": "string",
"title": "As Of",
"format": "date"
},
"limits": {
"type": "array",
"items": {
"$ref": "#/$defs/Limit"
},
"title": "Limits",
"maxItems": 1000,
"minItems": 1
},
"source": {
"type": "string",
"title": "Source",
"maxLength": 500,
"minLength": 1
},
"results": {
"type": "object",
"title": "Results",
"minProperties": 1,
"propertyNames": {
"enum": [
"exposure",
"tail",
"stress"
]
},
"additionalProperties": {
"type": "object",
"additionalProperties": true
}
},
"currency": {
"type": "string",
"title": "Currency",
"pattern": "^[A-Z]{3}$"
},
"data_mode": {
"enum": [
"synthetic",
"user-licensed"
],
"type": "string",
"title": "Data Mode"
}
},
"additionalProperties": false
}
},
"title": "risk_limitsArguments",
"properties": {
"request": {
"anyOf": [
{
"$ref": "#/$defs/LimitRequest"
},
{
"type": "null"
}
],
"default": null
},
"rights_confirmed": {
"type": "boolean",
"title": "Rights Confirmed",
"default": false
}
}
}Days to liquidate, holdings by day, spread cost and liquidity-adjusted VaR. Omit the request to run the shipped synthetic example instead. For supplied data, require permission and set rights_confirmed=true; this does not verify a licence.
| Argument | Type | Description |
|---|---|---|
| request | any | |
| rights_confirmed | boolean |
{
"type": "object",
"$defs": {
"Position": {
"type": "object",
"title": "Position",
"required": [
"id",
"asset",
"market_value",
"instrument_type"
],
"properties": {
"id": {
"type": "string",
"title": "Id",
"minLength": 1
},
"asset": {
"type": "string",
"title": "Asset",
"minLength": 1
},
"market_value": {
"type": "number",
"title": "Market Value"
},
"instrument_type": {
"type": "string",
"const": "linear",
"title": "Instrument Type"
}
},
"additionalProperties": false
},
"AssetLiquidity": {
"type": "object",
"title": "AssetLiquidity",
"required": [
"average_daily_value",
"mean_relative_spread",
"spread_volatility"
],
"properties": {
"spread_volatility": {
"type": "number",
"title": "Spread Volatility",
"minimum": 0
},
"average_daily_value": {
"type": "number",
"title": "Average Daily Value",
"exclusiveMinimum": 0
},
"mean_relative_spread": {
"type": "number",
"title": "Mean Relative Spread",
"minimum": 0
}
},
"additionalProperties": false
},
"LiquidityRequest": {
"type": "object",
"title": "LiquidityRequest",
"required": [
"as_of",
"currency",
"source",
"data_mode",
"nav",
"positions",
"participation_rate",
"spread_multiplier",
"liquidity"
],
"properties": {
"nav": {
"type": "number",
"title": "Nav",
"exclusiveMinimum": 0
},
"pnl": {
"anyOf": [
{
"type": "array",
"items": {
"type": "number"
},
"maxItems": 1000000,
"minItems": 2
},
{
"type": "null"
}
],
"title": "Pnl",
"default": null
},
"as_of": {
"type": "string",
"title": "As Of",
"format": "date"
},
"source": {
"type": "string",
"title": "Source",
"maxLength": 500,
"minLength": 1
},
"currency": {
"type": "string",
"title": "Currency",
"pattern": "^[A-Z]{3}$"
},
"data_mode": {
"enum": [
"synthetic",
"user-licensed"
],
"type": "string",
"title": "Data Mode"
},
"liquidity": {
"type": "object",
"title": "Liquidity",
"additionalProperties": {
"$ref": "#/$defs/AssetLiquidity"
}
},
"positions": {
"type": "array",
"items": {
"$ref": "#/$defs/Position"
},
"title": "Positions",
"maxItems": 100000,
"minItems": 1
},
"confidence": {
"anyOf": [
{
"type": "number",
"exclusiveMaximum": 1,
"exclusiveMinimum": 0
},
{
"type": "null"
}
],
"title": "Confidence",
"default": null
},
"horizon_days": {
"anyOf": [
{
"type": "integer",
"maximum": 3650,
"exclusiveMinimum": 0
},
{
"type": "null"
}
],
"title": "Horizon Days",
"default": null
},
"spread_multiplier": {
"type": "number",
"title": "Spread Multiplier",
"minimum": 0
},
"participation_rate": {
"type": "number",
"title": "Participation Rate",
"maximum": 1,
"exclusiveMinimum": 0
}
},
"additionalProperties": false
}
},
"title": "risk_liquidityArguments",
"properties": {
"request": {
"anyOf": [
{
"$ref": "#/$defs/LiquidityRequest"
},
{
"type": "null"
}
],
"default": null
},
"rights_confirmed": {
"type": "boolean",
"title": "Rights Confirmed",
"default": false
}
}
}The most plausible shock under a supplied covariance that produces a target loss. Omit the request to run the shipped synthetic example instead. For supplied data, require permission and set rights_confirmed=true; this does not verify a licence.
| Argument | Type | Description |
|---|---|---|
| request | any | |
| rights_confirmed | boolean |
{
"type": "object",
"$defs": {
"Position": {
"type": "object",
"title": "Position",
"required": [
"id",
"asset",
"market_value",
"instrument_type"
],
"properties": {
"id": {
"type": "string",
"title": "Id",
"minLength": 1
},
"asset": {
"type": "string",
"title": "Asset",
"minLength": 1
},
"market_value": {
"type": "number",
"title": "Market Value"
},
"instrument_type": {
"type": "string",
"const": "linear",
"title": "Instrument Type"
}
},
"additionalProperties": false
},
"ReverseStressRequest": {
"type": "object",
"title": "ReverseStressRequest",
"required": [
"as_of",
"currency",
"source",
"data_mode",
"nav",
"positions",
"target_loss",
"horizon_days",
"assets",
"covariance"
],
"properties": {
"nav": {
"type": "number",
"title": "Nav",
"exclusiveMinimum": 0
},
"as_of": {
"type": "string",
"title": "As Of",
"format": "date"
},
"assets": {
"type": "array",
"items": {
"type": "string"
},
"title": "Assets",
"minItems": 1
},
"floors": {
"type": "object",
"title": "Floors",
"default": {},
"additionalProperties": {
"type": "number"
}
},
"source": {
"type": "string",
"title": "Source",
"maxLength": 500,
"minLength": 1
},
"currency": {
"type": "string",
"title": "Currency",
"pattern": "^[A-Z]{3}$"
},
"data_mode": {
"enum": [
"synthetic",
"user-licensed"
],
"type": "string",
"title": "Data Mode"
},
"positions": {
"type": "array",
"items": {
"$ref": "#/$defs/Position"
},
"title": "Positions",
"maxItems": 100000,
"minItems": 1
},
"covariance": {
"type": "array",
"items": {
"type": "array",
"items": {
"type": "number"
}
},
"title": "Covariance"
},
"target_loss": {
"type": "number",
"title": "Target Loss",
"exclusiveMinimum": 0
},
"horizon_days": {
"type": "integer",
"title": "Horizon Days",
"maximum": 3650,
"exclusiveMinimum": 0
}
},
"additionalProperties": false
}
},
"title": "risk_reverse_stressArguments",
"properties": {
"request": {
"anyOf": [
{
"$ref": "#/$defs/ReverseStressRequest"
},
{
"type": "null"
}
],
"default": null
},
"rights_confirmed": {
"type": "boolean",
"title": "Rights Confirmed",
"default": false
}
}
}Basel SA-CCR exposure at default for one netting set (CRE52), with every intermediate figure. Omit the request to run the shipped synthetic example instead. For supplied data, require permission and set rights_confirmed=true; this does not verify a licence.
| Argument | Type | Description |
|---|---|---|
| request | any | |
| rights_confirmed | boolean |
{
"type": "object",
"$defs": {
"SaccrTrade": {
"type": "object",
"title": "SaccrTrade",
"required": [
"id",
"asset_class",
"notional",
"market_value",
"maturity",
"position"
],
"properties": {
"id": {
"type": "string",
"title": "Id",
"minLength": 1
},
"end": {
"anyOf": [
{
"type": "number",
"maximum": 100,
"exclusiveMinimum": 0
},
{
"type": "null"
}
],
"title": "End",
"default": null
},
"index": {
"type": "boolean",
"title": "Index",
"default": false
},
"shift": {
"type": "number",
"title": "Shift",
"default": 0,
"minimum": 0
},
"start": {
"anyOf": [
{
"type": "number",
"maximum": 100,
"minimum": 0
},
{
"type": "null"
}
],
"title": "Start",
"default": null
},
"option": {
"anyOf": [
{
"enum": [
"call",
"put"
],
"type": "string"
},
{
"type": "null"
}
],
"title": "Option",
"default": null
},
"rating": {
"anyOf": [
{
"enum": [
"AAA",
"AA",
"A",
"BBB",
"BB",
"B",
"CCC",
"IG",
"SG"
],
"type": "string"
},
{
"type": "null"
}
],
"title": "Rating",
"default": null
},
"strike": {
"anyOf": [
{
"type": "number"
},
{
"type": "null"
}
],
"title": "Strike",
"default": null
},
"exercise": {
"anyOf": [
{
"type": "number",
"maximum": 100,
"exclusiveMinimum": 0
},
{
"type": "null"
}
],
"title": "Exercise",
"default": null
},
"maturity": {
"type": "number",
"title": "Maturity",
"maximum": 100,
"exclusiveMinimum": 0
},
"notional": {
"type": "number",
"title": "Notional",
"exclusiveMinimum": 0
},
"position": {
"enum": [
"long",
"short"
],
"type": "string",
"title": "Position"
},
"reference": {
"anyOf": [
{
"type": "string"
},
{
"type": "null"
}
],
"title": "Reference",
"default": null
},
"asset_class": {
"enum": [
"interest_rate",
"fx",
"credit",
"equity",
"commodity"
],
"type": "string",
"title": "Asset Class"
},
"electricity": {
"type": "boolean",
"title": "Electricity",
"default": false
},
"hedging_set": {
"anyOf": [
{
"type": "string"
},
{
"type": "null"
}
],
"title": "Hedging Set",
"default": null
},
"market_value": {
"type": "number",
"title": "Market Value"
},
"underlying_price": {
"anyOf": [
{
"type": "number"
},
{
"type": "null"
}
],
"title": "Underlying Price",
"default": null
}
},
"additionalProperties": false
},
"SaccrRequest": {
"type": "object",
"title": "SaccrRequest",
"required": [
"as_of",
"currency",
"source",
"data_mode",
"netting_set",
"trades"
],
"properties": {
"nica": {
"anyOf": [
{
"type": "number"
},
{
"type": "null"
}
],
"title": "Nica",
"default": null
},
"as_of": {
"type": "string",
"title": "As Of",
"format": "date"
},
"source": {
"type": "string",
"title": "Source",
"maxLength": 500,
"minLength": 1
},
"trades": {
"type": "array",
"items": {
"$ref": "#/$defs/SaccrTrade"
},
"title": "Trades",
"maxItems": 100000,
"minItems": 1
},
"currency": {
"type": "string",
"title": "Currency",
"pattern": "^[A-Z]{3}$"
},
"margined": {
"type": "boolean",
"title": "Margined",
"default": false
},
"data_mode": {
"enum": [
"synthetic",
"user-licensed"
],
"type": "string",
"title": "Data Mode"
},
"threshold": {
"anyOf": [
{
"type": "number",
"minimum": 0
},
{
"type": "null"
}
],
"title": "Threshold",
"default": null
},
"collateral": {
"type": "number",
"title": "Collateral",
"default": 0
},
"netting_set": {
"type": "string",
"title": "Netting Set",
"minLength": 1
},
"mpor_business_days": {
"anyOf": [
{
"type": "integer",
"maximum": 250,
"minimum": 1
},
{
"type": "null"
}
],
"title": "Mpor Business Days",
"default": null
},
"minimum_transfer_amount": {
"anyOf": [
{
"type": "number",
"minimum": 0
},
{
"type": "null"
}
],
"title": "Minimum Transfer Amount",
"default": null
},
"remargining_period_business_days": {
"anyOf": [
{
"type": "integer",
"maximum": 250,
"minimum": 1
},
{
"type": "null"
}
],
"title": "Remargining Period Business Days",
"default": null
}
},
"additionalProperties": false
}
},
"title": "risk_saccrArguments",
"properties": {
"request": {
"anyOf": [
{
"$ref": "#/$defs/SaccrRequest"
},
{
"type": "null"
}
],
"default": null
},
"rights_confirmed": {
"type": "boolean",
"title": "Rights Confirmed",
"default": false
}
}
}The dated historical windows Risk Desk knows, with sources. Dates only; no prices are shipped. Replay one with risk_stress_replay and your own price levels.
No arguments.
{
"type": "object",
"title": "risk_scenario_libraryArguments",
"properties": {}
}Scale a scenario so the book loses a target amount. Omit the request to run the shipped synthetic example instead. For supplied data, require permission and set rights_confirmed=true; this does not verify a licence.
| Argument | Type | Description |
|---|---|---|
| request | any | |
| rights_confirmed | boolean |
{
"type": "object",
"$defs": {
"Position": {
"type": "object",
"title": "Position",
"required": [
"id",
"asset",
"market_value",
"instrument_type"
],
"properties": {
"id": {
"type": "string",
"title": "Id",
"minLength": 1
},
"asset": {
"type": "string",
"title": "Asset",
"minLength": 1
},
"market_value": {
"type": "number",
"title": "Market Value"
},
"instrument_type": {
"type": "string",
"const": "linear",
"title": "Instrument Type"
}
},
"additionalProperties": false
},
"Scenario": {
"type": "object",
"title": "Scenario",
"required": [
"name",
"shocks"
],
"properties": {
"name": {
"type": "string",
"title": "Name",
"minLength": 1
},
"shocks": {
"type": "object",
"title": "Shocks",
"minProperties": 1,
"additionalProperties": {
"type": "number"
}
}
},
"additionalProperties": false
},
"ScaleRequest": {
"type": "object",
"title": "ScaleRequest",
"required": [
"as_of",
"currency",
"source",
"data_mode",
"nav",
"positions",
"scenario",
"target_loss"
],
"properties": {
"nav": {
"type": "number",
"title": "Nav",
"exclusiveMinimum": 0
},
"as_of": {
"type": "string",
"title": "As Of",
"format": "date"
},
"source": {
"type": "string",
"title": "Source",
"maxLength": 500,
"minLength": 1
},
"currency": {
"type": "string",
"title": "Currency",
"pattern": "^[A-Z]{3}$"
},
"scenario": {
"$ref": "#/$defs/Scenario"
},
"data_mode": {
"enum": [
"synthetic",
"user-licensed"
],
"type": "string",
"title": "Data Mode"
},
"positions": {
"type": "array",
"items": {
"$ref": "#/$defs/Position"
},
"title": "Positions",
"maxItems": 100000,
"minItems": 1
},
"target_loss": {
"type": "number",
"title": "Target Loss",
"exclusiveMinimum": 0
}
},
"additionalProperties": false
}
},
"title": "risk_scenario_scaleArguments",
"properties": {
"request": {
"anyOf": [
{
"$ref": "#/$defs/ScaleRequest"
},
{
"type": "null"
}
],
"default": null
},
"rights_confirmed": {
"type": "boolean",
"title": "Rights Confirmed",
"default": false
}
}
}Apply explicit asset shocks to all linear positions. No scenario probability is inferred or attached. Omit the request to run the public synthetic energy example instead. For supplied data, require permission and set rights_confirmed=true; this does not verify a licence.
| Argument | Type | Description |
|---|---|---|
| request | any | |
| rights_confirmed | boolean |
{
"type": "object",
"$defs": {
"Position": {
"type": "object",
"title": "Position",
"required": [
"id",
"asset",
"market_value",
"instrument_type"
],
"properties": {
"id": {
"type": "string",
"title": "Id",
"minLength": 1
},
"asset": {
"type": "string",
"title": "Asset",
"minLength": 1
},
"market_value": {
"type": "number",
"title": "Market Value"
},
"instrument_type": {
"type": "string",
"const": "linear",
"title": "Instrument Type"
}
},
"additionalProperties": false
},
"Scenario": {
"type": "object",
"title": "Scenario",
"required": [
"name",
"shocks"
],
"properties": {
"name": {
"type": "string",
"title": "Name",
"minLength": 1
},
"shocks": {
"type": "object",
"title": "Shocks",
"minProperties": 1,
"additionalProperties": {
"type": "number"
}
}
},
"additionalProperties": false
},
"StressRequest": {
"type": "object",
"title": "StressRequest",
"required": [
"as_of",
"currency",
"source",
"data_mode",
"nav",
"positions",
"scenarios"
],
"properties": {
"nav": {
"type": "number",
"title": "Nav",
"exclusiveMinimum": 0
},
"as_of": {
"type": "string",
"title": "As Of",
"format": "date"
},
"source": {
"type": "string",
"title": "Source",
"maxLength": 500,
"minLength": 1
},
"currency": {
"type": "string",
"title": "Currency",
"pattern": "^[A-Z]{3}$"
},
"data_mode": {
"enum": [
"synthetic",
"user-licensed"
],
"type": "string",
"title": "Data Mode"
},
"positions": {
"type": "array",
"items": {
"$ref": "#/$defs/Position"
},
"title": "Positions",
"maxItems": 100000,
"minItems": 1
},
"scenarios": {
"type": "array",
"items": {
"$ref": "#/$defs/Scenario"
},
"title": "Scenarios",
"maxItems": 1000,
"minItems": 1
}
},
"additionalProperties": false
}
},
"title": "risk_stressArguments",
"properties": {
"request": {
"anyOf": [
{
"$ref": "#/$defs/StressRequest"
},
{
"type": "null"
}
],
"default": null
},
"rights_confirmed": {
"type": "boolean",
"title": "Rights Confirmed",
"default": false
}
}
}Replay a dated historical window from the caller's own price levels on linear positions. Omit the request to run the shipped synthetic example instead. For supplied data, require permission and set rights_confirmed=true; this does not verify a licence.
| Argument | Type | Description |
|---|---|---|
| request | any | |
| rights_confirmed | boolean |
{
"type": "object",
"$defs": {
"Position": {
"type": "object",
"title": "Position",
"required": [
"id",
"asset",
"market_value",
"instrument_type"
],
"properties": {
"id": {
"type": "string",
"title": "Id",
"minLength": 1
},
"asset": {
"type": "string",
"title": "Asset",
"minLength": 1
},
"market_value": {
"type": "number",
"title": "Market Value"
},
"instrument_type": {
"type": "string",
"const": "linear",
"title": "Instrument Type"
}
},
"additionalProperties": false
},
"ReplayRequest": {
"type": "object",
"title": "ReplayRequest",
"required": [
"as_of",
"currency",
"source",
"data_mode",
"nav",
"positions",
"scenario_name",
"prices",
"start",
"end"
],
"properties": {
"end": {
"type": "string",
"title": "End",
"format": "date"
},
"nav": {
"type": "number",
"title": "Nav",
"exclusiveMinimum": 0
},
"as_of": {
"type": "string",
"title": "As Of",
"format": "date"
},
"start": {
"type": "string",
"title": "Start",
"format": "date"
},
"prices": {
"type": "object",
"title": "Prices",
"minProperties": 1,
"additionalProperties": {
"type": "object",
"propertyNames": {
"format": "date"
},
"additionalProperties": {
"type": "number",
"exclusiveMinimum": 0
}
}
},
"source": {
"type": "string",
"title": "Source",
"maxLength": 500,
"minLength": 1
},
"measure": {
"enum": [
"end_over_start",
"worst_peak_to_trough"
],
"type": "string",
"title": "Measure",
"default": "end_over_start"
},
"proxies": {
"type": "object",
"title": "Proxies",
"default": {},
"additionalProperties": {
"type": "string"
}
},
"currency": {
"type": "string",
"title": "Currency",
"pattern": "^[A-Z]{3}$"
},
"data_mode": {
"enum": [
"synthetic",
"user-licensed"
],
"type": "string",
"title": "Data Mode"
},
"positions": {
"type": "array",
"items": {
"$ref": "#/$defs/Position"
},
"title": "Positions",
"maxItems": 100000,
"minItems": 1
},
"scenario_name": {
"type": "string",
"title": "Scenario Name",
"minLength": 1
}
},
"additionalProperties": false
}
},
"title": "risk_stress_replayArguments",
"properties": {
"request": {
"anyOf": [
{
"$ref": "#/$defs/ReplayRequest"
},
{
"type": "null"
}
],
"default": null
},
"rights_confirmed": {
"type": "boolean",
"title": "Rights Confirmed",
"default": false
}
}
}Historical VaR and Expected Shortfall over supplied horizon P&L. Report degraded status and the loss sign convention before the numbers. Omit the request to run the public synthetic energy example instead. For supplied data, require permission and set rights_confirmed=true; this does not verify a licence.
| Argument | Type | Description |
|---|---|---|
| request | any | |
| rights_confirmed | boolean |
{
"type": "object",
"$defs": {
"TailRequest": {
"type": "object",
"title": "TailRequest",
"required": [
"as_of",
"currency",
"source",
"data_mode",
"pnl",
"confidence",
"horizon_days",
"portfolio_value"
],
"properties": {
"pnl": {
"type": "array",
"items": {
"type": "number"
},
"title": "Pnl",
"maxItems": 1000000,
"minItems": 2
},
"as_of": {
"type": "string",
"title": "As Of",
"format": "date"
},
"source": {
"type": "string",
"title": "Source",
"maxLength": 500,
"minLength": 1
},
"currency": {
"type": "string",
"title": "Currency",
"pattern": "^[A-Z]{3}$"
},
"data_mode": {
"enum": [
"synthetic",
"user-licensed"
],
"type": "string",
"title": "Data Mode"
},
"confidence": {
"type": "number",
"title": "Confidence",
"exclusiveMaximum": 1,
"exclusiveMinimum": 0
},
"horizon_days": {
"type": "integer",
"title": "Horizon Days",
"maximum": 3650,
"exclusiveMinimum": 0
},
"portfolio_value": {
"type": "number",
"title": "Portfolio Value",
"exclusiveMinimum": 0
}
},
"additionalProperties": false
}
},
"title": "risk_tailArguments",
"properties": {
"request": {
"anyOf": [
{
"$ref": "#/$defs/TailRequest"
},
{
"type": "null"
}
],
"default": null
},
"rights_confirmed": {
"type": "boolean",
"title": "Rights Confirmed",
"default": false
}
}
}VaR and ES side by side: historical, normal, Student-t, EVT, GARCH filtered historical, GARCH-EVT and GARCH-t. Omit the request to run the shipped synthetic example instead. For supplied data, require permission and set rights_confirmed=true; this does not verify a licence.
| Argument | Type | Description |
|---|---|---|
| request | any | |
| rights_confirmed | boolean |
{
"type": "object",
"$defs": {
"TailRequest": {
"type": "object",
"title": "TailRequest",
"required": [
"as_of",
"currency",
"source",
"data_mode",
"pnl",
"confidence",
"horizon_days",
"portfolio_value"
],
"properties": {
"pnl": {
"type": "array",
"items": {
"type": "number"
},
"title": "Pnl",
"maxItems": 1000000,
"minItems": 2
},
"as_of": {
"type": "string",
"title": "As Of",
"format": "date"
},
"source": {
"type": "string",
"title": "Source",
"maxLength": 500,
"minLength": 1
},
"currency": {
"type": "string",
"title": "Currency",
"pattern": "^[A-Z]{3}$"
},
"data_mode": {
"enum": [
"synthetic",
"user-licensed"
],
"type": "string",
"title": "Data Mode"
},
"confidence": {
"type": "number",
"title": "Confidence",
"exclusiveMaximum": 1,
"exclusiveMinimum": 0
},
"horizon_days": {
"type": "integer",
"title": "Horizon Days",
"maximum": 3650,
"exclusiveMinimum": 0
},
"portfolio_value": {
"type": "number",
"title": "Portfolio Value",
"exclusiveMinimum": 0
}
},
"additionalProperties": false
}
},
"title": "risk_tail_modelsArguments",
"properties": {
"request": {
"anyOf": [
{
"$ref": "#/$defs/TailRequest"
},
{
"type": "null"
}
],
"default": null
},
"rights_confirmed": {
"type": "boolean",
"title": "Rights Confirmed",
"default": false
}
}
}Parametric normal VaR and ES with Euler contributions and incremental VaR per position. Omit the request to run the shipped synthetic example instead. For supplied data, require permission and set rights_confirmed=true; this does not verify a licence.
| Argument | Type | Description |
|---|---|---|
| request | any | |
| rights_confirmed | boolean |
{
"type": "object",
"$defs": {
"Position": {
"type": "object",
"title": "Position",
"required": [
"id",
"asset",
"market_value",
"instrument_type"
],
"properties": {
"id": {
"type": "string",
"title": "Id",
"minLength": 1
},
"asset": {
"type": "string",
"title": "Asset",
"minLength": 1
},
"market_value": {
"type": "number",
"title": "Market Value"
},
"instrument_type": {
"type": "string",
"const": "linear",
"title": "Instrument Type"
}
},
"additionalProperties": false
},
"ParametricRequest": {
"type": "object",
"title": "ParametricRequest",
"required": [
"as_of",
"currency",
"source",
"data_mode",
"nav",
"positions",
"assets",
"covariance",
"confidence",
"horizon_days"
],
"properties": {
"nav": {
"type": "number",
"title": "Nav",
"exclusiveMinimum": 0
},
"as_of": {
"type": "string",
"title": "As Of",
"format": "date"
},
"assets": {
"type": "array",
"items": {
"type": "string"
},
"title": "Assets",
"maxItems": 1000,
"minItems": 1
},
"source": {
"type": "string",
"title": "Source",
"maxLength": 500,
"minLength": 1
},
"currency": {
"type": "string",
"title": "Currency",
"pattern": "^[A-Z]{3}$"
},
"data_mode": {
"enum": [
"synthetic",
"user-licensed"
],
"type": "string",
"title": "Data Mode"
},
"positions": {
"type": "array",
"items": {
"$ref": "#/$defs/Position"
},
"title": "Positions",
"maxItems": 100000,
"minItems": 1
},
"confidence": {
"type": "number",
"title": "Confidence",
"exclusiveMaximum": 1,
"exclusiveMinimum": 0.5
},
"covariance": {
"type": "array",
"items": {
"type": "array",
"items": {
"type": "number"
}
},
"title": "Covariance",
"maxItems": 1000,
"minItems": 1
},
"horizon_days": {
"type": "integer",
"title": "Horizon Days",
"maximum": 3650,
"exclusiveMinimum": 0
}
},
"additionalProperties": false
}
},
"title": "risk_var_attributionArguments",
"properties": {
"request": {
"anyOf": [
{
"$ref": "#/$defs/ParametricRequest"
},
{
"type": "null"
}
],
"default": null
},
"rights_confirmed": {
"type": "boolean",
"title": "Rights Confirmed",
"default": false
}
}
}Apply proposed trades to a book, recompute exposure, stress and tail, and grade limits after. Omit the request to run the shipped synthetic example instead. For supplied data, require permission and set rights_confirmed=true; this does not verify a licence.
| Argument | Type | Description |
|---|---|---|
| request | any | |
| rights_confirmed | boolean |
{
"type": "object",
"$defs": {
"Limit": {
"type": "object",
"title": "Limit",
"required": [
"name",
"metric",
"direction",
"limit"
],
"properties": {
"name": {
"type": "string",
"title": "Name",
"minLength": 1
},
"asset": {
"anyOf": [
{
"type": "string",
"minLength": 1
},
{
"type": "null"
}
],
"title": "Asset",
"default": null
},
"limit": {
"type": "number",
"title": "Limit"
},
"metric": {
"enum": [
"gross_exposure",
"net_exposure",
"gross_leverage",
"net_leverage",
"gross_share",
"var",
"expected_shortfall",
"stress_loss"
],
"type": "string",
"title": "Metric"
},
"warning": {
"anyOf": [
{
"type": "number"
},
{
"type": "null"
}
],
"title": "Warning",
"default": null
},
"scenario": {
"anyOf": [
{
"type": "string",
"minLength": 1
},
{
"type": "null"
}
],
"title": "Scenario",
"default": null
},
"direction": {
"enum": [
"max",
"min"
],
"type": "string",
"title": "Direction"
}
},
"additionalProperties": false
},
"Trade": {
"type": "object",
"title": "Trade",
"required": [
"asset",
"market_value_change"
],
"properties": {
"asset": {
"type": "string",
"title": "Asset",
"minLength": 1
},
"position_id": {
"anyOf": [
{
"type": "string",
"minLength": 1
},
{
"type": "null"
}
],
"title": "Position Id",
"default": null
},
"market_value_change": {
"type": "number",
"title": "Market Value Change"
}
},
"additionalProperties": false
},
"Position": {
"type": "object",
"title": "Position",
"required": [
"id",
"asset",
"market_value",
"instrument_type"
],
"properties": {
"id": {
"type": "string",
"title": "Id",
"minLength": 1
},
"asset": {
"type": "string",
"title": "Asset",
"minLength": 1
},
"market_value": {
"type": "number",
"title": "Market Value"
},
"instrument_type": {
"type": "string",
"const": "linear",
"title": "Instrument Type"
}
},
"additionalProperties": false
},
"Scenario": {
"type": "object",
"title": "Scenario",
"required": [
"name",
"shocks"
],
"properties": {
"name": {
"type": "string",
"title": "Name",
"minLength": 1
},
"shocks": {
"type": "object",
"title": "Shocks",
"minProperties": 1,
"additionalProperties": {
"type": "number"
}
}
},
"additionalProperties": false
},
"WhatIfRequest": {
"type": "object",
"title": "WhatIfRequest",
"required": [
"as_of",
"currency",
"source",
"data_mode",
"nav",
"positions",
"trades"
],
"properties": {
"nav": {
"type": "number",
"title": "Nav",
"exclusiveMinimum": 0
},
"as_of": {
"type": "string",
"title": "As Of",
"format": "date"
},
"limits": {
"anyOf": [
{
"type": "array",
"items": {
"$ref": "#/$defs/Limit"
},
"maxItems": 1000,
"minItems": 1
},
{
"type": "null"
}
],
"title": "Limits",
"default": null
},
"source": {
"type": "string",
"title": "Source",
"maxLength": 500,
"minLength": 1
},
"trades": {
"type": "array",
"items": {
"$ref": "#/$defs/Trade"
},
"title": "Trades",
"maxItems": 10000,
"minItems": 1
},
"currency": {
"type": "string",
"title": "Currency",
"pattern": "^[A-Z]{3}$"
},
"data_mode": {
"enum": [
"synthetic",
"user-licensed"
],
"type": "string",
"title": "Data Mode"
},
"positions": {
"type": "array",
"items": {
"$ref": "#/$defs/Position"
},
"title": "Positions",
"maxItems": 100000,
"minItems": 1
},
"scenarios": {
"anyOf": [
{
"type": "array",
"items": {
"$ref": "#/$defs/Scenario"
},
"maxItems": 1000,
"minItems": 1
},
{
"type": "null"
}
],
"title": "Scenarios",
"default": null
},
"confidence": {
"anyOf": [
{
"type": "number",
"exclusiveMaximum": 1,
"exclusiveMinimum": 0
},
{
"type": "null"
}
],
"title": "Confidence",
"default": null
},
"horizon_days": {
"anyOf": [
{
"type": "integer",
"maximum": 3650,
"exclusiveMinimum": 0
},
{
"type": "null"
}
],
"title": "Horizon Days",
"default": null
},
"asset_returns": {
"anyOf": [
{
"type": "object",
"additionalProperties": {
"type": "array",
"items": {
"type": "number"
}
}
},
{
"type": "null"
}
],
"title": "Asset Returns",
"default": null
}
},
"additionalProperties": false
}
},
"title": "risk_what_ifArguments",
"properties": {
"request": {
"anyOf": [
{
"$ref": "#/$defs/WhatIfRequest"
},
{
"type": "null"
}
],
"default": null
},
"rights_confirmed": {
"type": "boolean",
"title": "Rights Confirmed",
"default": false
}
}
}We read every tool's name, description and inputs the way the model will, looking for instructions hidden from you. A clean result means no warning signs, not a guarantee. Scanned Nov 10, 2026.