Fincept Terminal Quantlib Risk API
The quantlib-risk API from Fincept Terminal — 25 operation(s) for quantlib-risk.
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OpenAPI Specification
openapi: 3.2.0
info:
title: Fincept In Quantlib Risk API
version: 3.0.0
description: 'Operations tagged quantlib-risk across 2 of this provider''s published API definitions: fincept-in-openapi.json, fincept-in-openapi.json. Each path carries the servers of the definition it was published in.'
tags:
- name: quantlib-risk
paths:
/quantlib/risk/var/parametric:
post:
tags:
- quantlib-risk
summary: Parametric Var
operationId: parametric_var_quantlib_risk_var_parametric_post
requestBody:
content:
application/json:
schema:
$ref: '#/components/schemas/ParametricVaRRequest'
required: true
responses:
'200':
description: Successful Response
content:
application/json:
schema: {}
'422':
description: Validation Error
content:
application/json:
schema:
$ref: '#/components/schemas/HTTPValidationError'
security:
- APIKeyHeader: []
/quantlib/risk/var/historical:
post:
tags:
- quantlib-risk
summary: Historical Var
operationId: historical_var_quantlib_risk_var_historical_post
requestBody:
content:
application/json:
schema:
$ref: '#/components/schemas/HistoricalVaRRequest'
required: true
responses:
'200':
description: Successful Response
content:
application/json:
schema: {}
'422':
description: Validation Error
content:
application/json:
schema:
$ref: '#/components/schemas/HTTPValidationError'
security:
- APIKeyHeader: []
/quantlib/risk/var/component:
post:
tags:
- quantlib-risk
summary: Component Var
operationId: component_var_quantlib_risk_var_component_post
requestBody:
content:
application/json:
schema:
$ref: '#/components/schemas/ComponentVaRRequest'
required: true
responses:
'200':
description: Successful Response
content:
application/json:
schema: {}
'422':
description: Validation Error
content:
application/json:
schema:
$ref: '#/components/schemas/HTTPValidationError'
security:
- APIKeyHeader: []
/quantlib/risk/var/incremental:
post:
tags:
- quantlib-risk
summary: Incremental Var
operationId: incremental_var_quantlib_risk_var_incremental_post
requestBody:
content:
application/json:
schema:
$ref: '#/components/schemas/quantlib_api__risk__IncrementalVaRRequest'
required: true
responses:
'200':
description: Successful Response
content:
application/json:
schema: {}
'422':
description: Validation Error
content:
application/json:
schema:
$ref: '#/components/schemas/HTTPValidationError'
security:
- APIKeyHeader: []
/quantlib/risk/var/marginal:
post:
tags:
- quantlib-risk
summary: Marginal Var
operationId: marginal_var_quantlib_risk_var_marginal_post
requestBody:
content:
application/json:
schema:
$ref: '#/components/schemas/quantlib_api__risk__IncrementalVaRRequest'
required: true
responses:
'200':
description: Successful Response
content:
application/json:
schema: {}
'422':
description: Validation Error
content:
application/json:
schema:
$ref: '#/components/schemas/HTTPValidationError'
security:
- APIKeyHeader: []
/quantlib/risk/stress/scenario:
post:
tags:
- quantlib-risk
summary: Stress Scenario
operationId: stress_scenario_quantlib_risk_stress_scenario_post
requestBody:
content:
application/json:
schema:
$ref: '#/components/schemas/StressScenarioRequest'
required: true
responses:
'200':
description: Successful Response
content:
application/json:
schema: {}
'422':
description: Validation Error
content:
application/json:
schema:
$ref: '#/components/schemas/HTTPValidationError'
security:
- APIKeyHeader: []
/quantlib/risk/backtest:
post:
tags:
- quantlib-risk
summary: Var Backtest
operationId: var_backtest_quantlib_risk_backtest_post
requestBody:
content:
application/json:
schema:
$ref: '#/components/schemas/BacktestRequest'
required: true
responses:
'200':
description: Successful Response
content:
application/json:
schema: {}
'422':
description: Validation Error
content:
application/json:
schema:
$ref: '#/components/schemas/HTTPValidationError'
security:
- APIKeyHeader: []
/quantlib/risk/copula/sample:
post:
tags:
- quantlib-risk
summary: Copula Sample
operationId: copula_sample_quantlib_risk_copula_sample_post
requestBody:
content:
application/json:
schema:
$ref: '#/components/schemas/CopulaRequest'
required: true
responses:
'200':
description: Successful Response
content:
application/json:
schema: {}
'422':
description: Validation Error
content:
application/json:
schema:
$ref: '#/components/schemas/HTTPValidationError'
security:
- APIKeyHeader: []
/quantlib/risk/evt/gpd:
post:
tags:
- quantlib-risk
summary: Evt Gpd
operationId: evt_gpd_quantlib_risk_evt_gpd_post
requestBody:
content:
application/json:
schema:
$ref: '#/components/schemas/GPDRequest'
required: true
responses:
'200':
description: Successful Response
content:
application/json:
schema: {}
'422':
description: Validation Error
content:
application/json:
schema:
$ref: '#/components/schemas/HTTPValidationError'
security:
- APIKeyHeader: []
/quantlib/risk/evt/gev:
post:
tags:
- quantlib-risk
summary: Evt Gev
operationId: evt_gev_quantlib_risk_evt_gev_post
requestBody:
content:
application/json:
schema:
$ref: '#/components/schemas/GEVRequest'
required: true
responses:
'200':
description: Successful Response
content:
application/json:
schema: {}
'422':
description: Validation Error
content:
application/json:
schema:
$ref: '#/components/schemas/HTTPValidationError'
security:
- APIKeyHeader: []
/quantlib/risk/evt/hill:
post:
tags:
- quantlib-risk
summary: Hill Estimator
operationId: hill_estimator_quantlib_risk_evt_hill_post
requestBody:
content:
application/json:
schema:
$ref: '#/components/schemas/GPDRequest'
required: true
responses:
'200':
description: Successful Response
content:
application/json:
schema: {}
'422':
description: Validation Error
content:
application/json:
schema:
$ref: '#/components/schemas/HTTPValidationError'
security:
- APIKeyHeader: []
/quantlib/risk/tail-risk/comprehensive:
post:
tags:
- quantlib-risk
summary: Tail Risk
operationId: tail_risk_quantlib_risk_tail_risk_comprehensive_post
requestBody:
content:
application/json:
schema:
$ref: '#/components/schemas/TailRiskRequest'
required: true
responses:
'200':
description: Successful Response
content:
application/json:
schema: {}
'422':
description: Validation Error
content:
application/json:
schema:
$ref: '#/components/schemas/HTTPValidationError'
security:
- APIKeyHeader: []
/quantlib/risk/tail-risk/tail-dependence:
post:
tags:
- quantlib-risk
summary: Tail Dependence
operationId: tail_dependence_quantlib_risk_tail_risk_tail_dependence_post
requestBody:
content:
application/json:
schema:
additionalProperties: true
type: object
title: Req
required: true
responses:
'200':
description: Successful Response
content:
application/json:
schema: {}
'422':
description: Validation Error
content:
application/json:
schema:
$ref: '#/components/schemas/HTTPValidationError'
security:
- APIKeyHeader: []
/quantlib/risk/xva/cva:
post:
tags:
- quantlib-risk
summary: Xva Cva
operationId: xva_cva_quantlib_risk_xva_cva_post
requestBody:
content:
application/json:
schema:
$ref: '#/components/schemas/XVARequest'
required: true
responses:
'200':
description: Successful Response
content:
application/json:
schema: {}
'422':
description: Validation Error
content:
application/json:
schema:
$ref: '#/components/schemas/HTTPValidationError'
security:
- APIKeyHeader: []
/quantlib/risk/xva/pfe:
post:
tags:
- quantlib-risk
summary: Xva Pfe
operationId: xva_pfe_quantlib_risk_xva_pfe_post
requestBody:
content:
application/json:
schema:
$ref: '#/components/schemas/XVARequest'
required: true
responses:
'200':
description: Successful Response
content:
application/json:
schema: {}
'422':
description: Validation Error
content:
application/json:
schema:
$ref: '#/components/schemas/HTTPValidationError'
security:
- APIKeyHeader: []
/quantlib/risk/correlation-stress:
post:
tags:
- quantlib-risk
summary: Correlation Stress
operationId: correlation_stress_quantlib_risk_correlation_stress_post
requestBody:
content:
application/json:
schema:
$ref: '#/components/schemas/CorrelationStressRequest'
required: true
responses:
'200':
description: Successful Response
content:
application/json:
schema: {}
'422':
description: Validation Error
content:
application/json:
schema:
$ref: '#/components/schemas/HTTPValidationError'
security:
- APIKeyHeader: []
/quantlib/risk/sensitivities/greeks:
post:
tags:
- quantlib-risk
summary: Full Greeks
description: Full Greeks calculation (delta, gamma, vega, theta, rho, vanna, volga)
operationId: full_greeks_quantlib_risk_sensitivities_greeks_post
requestBody:
content:
application/json:
schema:
$ref: '#/components/schemas/GreeksRequest'
required: true
responses:
'200':
description: Successful Response
content:
application/json:
schema: {}
'422':
description: Validation Error
content:
application/json:
schema:
$ref: '#/components/schemas/HTTPValidationError'
security:
- APIKeyHeader: []
/quantlib/risk/sensitivities/bucket-delta:
post:
tags:
- quantlib-risk
summary: Bucket Delta
description: Bucket delta (sensitivity by tenor)
operationId: bucket_delta_quantlib_risk_sensitivities_bucket_delta_post
requestBody:
content:
application/json:
schema:
$ref: '#/components/schemas/BucketDeltaRequest'
required: true
responses:
'200':
description: Successful Response
content:
application/json:
schema: {}
'422':
description: Validation Error
content:
application/json:
schema:
$ref: '#/components/schemas/HTTPValidationError'
security:
- APIKeyHeader: []
/quantlib/risk/sensitivities/cross-gamma:
post:
tags:
- quantlib-risk
summary: Cross Gamma
description: 'Cross-gamma (mixed second-order sensitivities: spot vs vol)'
operationId: cross_gamma_quantlib_risk_sensitivities_cross_gamma_post
requestBody:
content:
application/json:
schema:
$ref: '#/components/schemas/CrossGammaRequest'
required: true
responses:
'200':
description: Successful Response
content:
application/json:
schema: {}
'422':
description: Validation Error
content:
application/json:
schema:
$ref: '#/components/schemas/HTTPValidationError'
security:
- APIKeyHeader: []
/quantlib/risk/sensitivities/key-rate-duration:
post:
tags:
- quantlib-risk
summary: Key Rate Dur
description: Key rate durations
operationId: key_rate_dur_quantlib_risk_sensitivities_key_rate_duration_post
requestBody:
content:
application/json:
schema:
$ref: '#/components/schemas/KeyRateDurationRequest'
required: true
responses:
'200':
description: Successful Response
content:
application/json:
schema: {}
'422':
description: Validation Error
content:
application/json:
schema:
$ref: '#/components/schemas/HTTPValidationError'
security:
- APIKeyHeader: []
/quantlib/risk/sensitivities/parallel-shift:
post:
tags:
- quantlib-risk
summary: Parallel Shift Sens
description: Parallel shift sensitivity (DV01)
operationId: parallel_shift_sens_quantlib_risk_sensitivities_parallel_shift_post
requestBody:
content:
application/json:
schema:
$ref: '#/components/schemas/ShiftSensitivityRequest'
required: true
responses:
'200':
description: Successful Response
content:
application/json:
schema: {}
'422':
description: Validation Error
content:
application/json:
schema:
$ref: '#/components/schemas/HTTPValidationError'
security:
- APIKeyHeader: []
/quantlib/risk/sensitivities/twist:
post:
tags:
- quantlib-risk
summary: Twist Sens
description: Twist (steepening/flattening) sensitivity
operationId: twist_sens_quantlib_risk_sensitivities_twist_post
requestBody:
content:
application/json:
schema:
$ref: '#/components/schemas/ShiftSensitivityRequest'
required: true
responses:
'200':
description: Successful Response
content:
application/json:
schema: {}
'422':
description: Validation Error
content:
application/json:
schema:
$ref: '#/components/schemas/HTTPValidationError'
security:
- APIKeyHeader: []
/quantlib/risk/portfolio-risk/optimal-hedge:
post:
tags:
- quantlib-risk
summary: Optimal Hedge
description: Optimal hedge ratio (minimum variance)
operationId: optimal_hedge_quantlib_risk_portfolio_risk_optimal_hedge_post
requestBody:
content:
application/json:
schema:
$ref: '#/components/schemas/OptimalHedgeRequest'
required: true
responses:
'200':
description: Successful Response
content:
application/json:
schema: {}
'422':
description: Validation Error
content:
application/json:
schema:
$ref: '#/components/schemas/HTTPValidationError'
security:
- APIKeyHeader: []
/quantlib/risk/portfolio-risk/exposure-profile:
post:
tags:
- quantlib-risk
summary: Exposure Profile
description: Simulate exposure profile (EPE, PFE)
operationId: exposure_profile_quantlib_risk_portfolio_risk_exposure_profile_post
requestBody:
content:
application/json:
schema:
$ref: '#/components/schemas/ExposureProfileRequest'
required: true
responses:
'200':
description: Successful Response
content:
application/json:
schema: {}
'422':
description: Validation Error
content:
application/json:
schema:
$ref: '#/components/schemas/HTTPValidationError'
security:
- APIKeyHeader: []
/quantlib/risk/var/es-optimization:
post:
tags:
- quantlib-risk
summary: Es Optimization
description: Expected shortfall portfolio optimization
operationId: es_optimization_quantlib_risk_var_es_optimization_post
requestBody:
content:
application/json:
schema:
$ref: '#/components/schemas/ESOptRequest'
required: true
responses:
'200':
description: Successful Response
content:
application/json:
schema: {}
'422':
description: Validation Error
content:
application/json:
schema:
$ref: '#/components/schemas/HTTPValidationError'
security:
- APIKeyHeader: []
components:
schemas:
GreeksRequest:
properties:
S:
type: number
title: S
default: 100.0
K:
type: number
title: K
default: 100.0
T:
type: number
title: T
default: 1.0
r:
type: number
title: R
default: 0.05
sigma:
type: number
title: Sigma
default: 0.2
q:
type: number
title: Q
default: 0.0
type: object
title: GreeksRequest
CrossGammaRequest:
properties:
S:
type: number
title: S
default: 100.0
K:
type: number
title: K
default: 100.0
T:
type: number
title: T
default: 1.0
r:
type: number
title: R
default: 0.05
sigma:
type: number
title: Sigma
default: 0.2
bump:
type: number
title: Bump
default: 0.01
type: object
title: CrossGammaRequest
ShiftSensitivityRequest:
properties:
cashflows:
items:
type: number
type: array
title: Cashflows
times:
items:
type: number
type: array
title: Times
curve_rates:
items:
type: number
type: array
title: Curve Rates
bump_size:
type: number
title: Bump Size
default: 0.0001
type: object
required:
- cashflows
- times
- curve_rates
title: ShiftSensitivityRequest
TailRiskRequest:
properties:
returns:
items:
type: number
type: array
title: Returns
confidence:
type: number
title: Confidence
default: 0.99
portfolio_value:
type: number
title: Portfolio Value
default: 1000000.0
type: object
required:
- returns
title: TailRiskRequest
OptimalHedgeRequest:
properties:
portfolio_delta:
type: number
title: Portfolio Delta
hedge_delta:
type: number
title: Hedge Delta
portfolio_gamma:
type: number
title: Portfolio Gamma
default: 0.0
hedge_gamma:
type: number
title: Hedge Gamma
default: 0.0
target_delta:
type: number
title: Target Delta
default: 0.0
target_gamma:
type: number
title: Target Gamma
default: 0.0
type: object
required:
- portfolio_delta
- hedge_delta
title: OptimalHedgeRequest
ValidationError:
properties:
loc:
items:
anyOf:
- type: string
- type: integer
type: array
title: Location
msg:
type: string
title: Message
type:
type: string
title: Error Type
type: object
required:
- loc
- msg
- type
title: ValidationError
StressScenarioRequest:
properties:
name:
type: string
title: Name
description:
type: string
title: Description
default: ''
factor_shocks:
additionalProperties:
type: number
type: object
title: Factor Shocks
type: object
required:
- name
- factor_shocks
title: StressScenarioRequest
ESOptRequest:
properties:
returns:
items:
items:
type: number
type: array
type: array
title: Returns
confidence:
type: number
title: Confidence
default: 0.95
target_return:
anyOf:
- type: number
- type: 'null'
title: Target Return
type: object
required:
- returns
title: ESOptRequest
GPDRequest:
properties:
data:
items:
type: number
type: array
title: Data
threshold:
anyOf:
- type: number
- type: 'null'
title: Threshold
quantile:
type: number
title: Quantile
default: 0.95
fit_method:
type: string
title: Fit Method
default: mle
type: object
required:
- data
title: GPDRequest
ComponentVaRRequest:
properties:
returns_by_factor:
additionalProperties:
items:
type: number
type: array
type: object
title: Returns By Factor
weights:
additionalProperties:
type: number
type: object
title: Weights
confidence:
type: number
title: Confidence
default: 0.99
portfolio_value:
type: number
title: Portfolio Value
default: 1000000.0
type: object
required:
- returns_by_factor
- weights
title: ComponentVaRRequest
XVARequest:
properties:
exposure_paths:
items:
items:
type: number
type: array
type: array
title: Exposure Paths
counterparty_spread:
type: number
title: Counterparty Spread
recovery_rate:
type: number
title: Recovery Rate
default: 0.4
own_spread:
anyOf:
- type: number
- type: 'null'
title: Own Spread
own_recovery:
type: number
title: Own Recovery
default: 0.4
funding_spread:
anyOf:
- type: number
- type: 'null'
title: Funding Spread
time_points:
anyOf:
- items:
type: number
type: array
- type: 'null'
title: Time Points
type: object
required:
- exposure_paths
- counterparty_spread
title: XVARequest
HistoricalVaRRequest:
properties:
returns:
items:
type: number
type: array
title: Returns
confidence:
type: number
title: Confidence
default: 0.99
portfolio_value:
type: number
title: Portfolio Value
default: 1000000.0
type: object
required:
- returns
title: HistoricalVaRRequest
KeyRateDurationRequest:
properties:
cashflows:
items:
type: number
type: array
title: Cashflows
times:
items:
type: number
type: array
title: Times
curve_rates:
items:
type: number
type: array
title: Curve Rates
bump_size:
type: number
title: Bump Size
default: 0.0001
type: object
required:
- cashflows
- times
- curve_rates
title: KeyRateDurationRequest
BucketDeltaRequest:
properties:
positions:
items:
additionalProperties: true
type: object
type: array
title: Positions
bump_size:
type: number
title: Bump Size
default: 0.0001
type: object
required:
- positions
title: BucketDeltaRequest
GEVRequest:
properties:
data:
items:
type: number
type: array
title: Data
fit_method:
type: string
title: Fit Method
default: mle
return_periods:
anyOf:
- items:
type: number
type: array
- type: 'null'
title: Return Periods
type: object
required:
- data
title: GEVRequest
CorrelationStressRequest:
properties:
correlation_matrix:
items:
items:
type: number
type: array
type: array
title: Correlation Matrix
volatilities:
anyOf:
- items:
type: number
type: array
- type: 'null'
title: Volatilities
weights:
anyOf:
- items:
type: number
type: array
- type: 'null'
title: Weights
stress_type:
type: string
title: Stress Type
default: crisis
type: object
required:
- correlation_matrix
title: CorrelationStressRequest
CopulaRequest:
properties:
copula_type:
type: string
title: Copula Type
correlation:
type: number
title: Correlation
default: 0.5
df:
anyOf:
- type: integer
- type: 'null'
title: Df
n_samples:
type: integer
title: N Samples
default: 1000
seed:
anyOf:
- type: integer
- type: 'null'
title: Seed
type: object
required:
- copula_type
title: CopulaRequest
ExposureProfileRequest:
properties:
paths:
items:
items:
type: number
type: array
type: array
title: Paths
confidence:
type: number
title: Confidence
default: 0.95
type: object
required:
- paths
title: ExposureProfileRequest
BacktestRequest:
properties:
actual_returns:
items:
type: number
type: array
title: Actual Returns
var_estimates:
items:
type: number
type: array
title: Var Estimates
confidence:
type: number
title: Confidence
default: 0.99
type: object
required:
- actual_returns
- var_estimates
title: BacktestRequest
HTTPValidationError:
properties:
detail:
items:
$ref: '#/components/schemas/ValidationError'
type: array
title: Detail
type: object
title: HTTPValidationError
ParametricVaRRequest:
properties:
portfolio_value:
type: number
title: Portfolio Value
volatility:
type: number
title: Volatility
confidence:
type: number
title: Confidence
default: 0.99
horizon:
type: integer
title: Horizon
default: 1
type: object
required:
- portfolio_value
- volatility
title: ParametricVaRRequest
quantlib_api__risk__IncrementalVaRRequest:
properties:
portfolio_returns:
items:
type: number
type: array
title: Portfolio Returns
new_position_returns:
items:
type: number
type: array
title: New Position Returns
position_weight:
type: number
title: Position Weight
confidence:
type: number
title: Confidence
default: 0.99
portfolio_value:
type: number
title: Portfolio Value
default: 1000000.0
type: object
required:
- portfolio_returns
- new_position_returns
- position_weight
title: IncrementalVaRRequest
securitySchemes:
APIKeyHeader:
type: apiKey
in: header
name: X-API-Key
x-refined-from:
- fincept-in-openapi.json
- fincept-in-openapi.json
x-provenance:
method: harvested
publisher: Fincept Terminal
source: https://api.fincept.in/openapi.json
note: split by refine-openapis from the provider's own published document, verified by fetch (openapi/_original/*.fetch.json);
stamped by stamp-openapi-provenance.py (roadmap#793)