Murex

Murex Sensitivities API

Greek and sensitivity calculations

Documentation GitHub OpenAPI

Operations 2

GET /sensitivities Murex Get risk sensitivities #

GET /sensitivities/pv01 Murex Get PV01 sensitivities #

Specifications

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OpenAPI

https://raw.githubusercontent.com/api-evangelist/murex/refs/heads/main/openapi/murex-sensitivities-api-openapi.yml

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OpenAPI Specification

openapi: 3.2.0
info:
  title: Murex MX.3 Market Data Accounting Sensitivities API
  description: Real-time and historical market data API providing quotes, yield curves, volatility surfaces, and reference data for pricing and valuation on the Murex MX.3 platform.
  version: '1.0'
  contact:
    name: Murex Support
    url: https://www.murex.com/en/support
  termsOfService: https://www.murex.com/en/legal/terms
servers:
- url: https://api.murex.com/v1/marketdata
  description: Murex MX.3 Market Data API
security:
- bearerAuth: []
tags:
- name: Sensitivities
  description: Greek and sensitivity calculations
paths:
  /sensitivities:
    get:
      operationId: getSensitivities
      summary: Murex Get risk sensitivities
      description: Retrieve Greek calculations and risk sensitivities for portfolios including delta, gamma, vega, theta, and rho.
      tags:
      - Sensitivities
      parameters:
      - $ref: '#/components/parameters/portfolioId'
      - $ref: '#/components/parameters/deskId'
      - name: assetClass
        in: query
        description: Filter by asset class
        schema:
          type: string
          enum:
          - FX
          - IRD
          - Equity
          - Credit
          - Commodity
          - FixedIncome
      - name: greeks
        in: query
        description: Comma-separated list of Greeks to compute
        schema:
          type: string
          example: delta,gamma,vega,theta,rho
      - name: asOfDate
        in: query
        description: Calculation date
        schema:
          type: string
          format: date
      responses:
        '200':
          description: Sensitivity calculations
          content:
            application/json:
              schema:
                $ref: '#/components/schemas/SensitivityResult'
        '401':
          description: Unauthorized
  /sensitivities/pv01:
    get:
      operationId: getPV01
      summary: Murex Get PV01 sensitivities
      description: Retrieve PV01 (price value of a basis point) sensitivities by currency and tenor bucket.
      tags:
      - Sensitivities
      parameters:
      - $ref: '#/components/parameters/portfolioId'
      - $ref: '#/components/parameters/deskId'
      - name: currency
        in: query
        description: Filter by currency
        schema:
          type: string
      - name: asOfDate
        in: query
        description: Calculation date
        schema:
          type: string
          format: date
      responses:
        '200':
          description: PV01 sensitivity results
          content:
            application/json:
              schema:
                $ref: '#/components/schemas/PV01Result'
        '401':
          description: Unauthorized
components:
  parameters:
    portfolioId:
      name: portfolioId
      in: query
      description: Portfolio or book identifier
      schema:
        type: string
    deskId:
      name: deskId
      in: query
      description: Trading desk identifier
      schema:
        type: string
  schemas:
    PV01Result:
      type: object
      properties:
        portfolioId:
          type: string
        asOfDate:
          type: string
          format: date
        totalPV01:
          type: number
          description: Total PV01 across all tenors
        byCurrency:
          type: array
          items:
            type: object
            properties:
              currency:
                type: string
              totalPV01:
                type: number
              tenorBuckets:
                type: array
                items:
                  type: object
                  properties:
                    tenor:
                      type: string
                      description: Tenor bucket (e.g., 1M, 3M, 1Y, 5Y, 10Y)
                    pv01:
                      type: number
    SensitivityResult:
      type: object
      properties:
        portfolioId:
          type: string
        asOfDate:
          type: string
          format: date
        greeks:
          type: object
          properties:
            delta:
              type: number
              description: First-order price sensitivity
            gamma:
              type: number
              description: Second-order price sensitivity
            vega:
              type: number
              description: Sensitivity to volatility
            theta:
              type: number
              description: Time decay
            rho:
              type: number
              description: Sensitivity to interest rates
        byAssetClass:
          type: array
          items:
            type: object
            properties:
              assetClass:
                type: string
              delta:
                type: number
              gamma:
                type: number
              vega:
                type: number
  securitySchemes:
    bearerAuth:
      type: http
      scheme: bearer
      bearerFormat: JWT
      description: OAuth 2.0 bearer token for MX.3 API access
externalDocs:
  description: Murex MX.3 Market Data API Documentation
  url: https://docs.murex.com/mx3/marketdata-api