Murex

Murex VaR API

Value at Risk calculations and reports

Documentation GitHub OpenAPI

Operations 2

GET /var Murex Get VaR calculations #

GET /var/history Murex Get VaR history #

Specifications

⚙

OpenAPI

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

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OpenAPI Specification

openapi: 3.2.0
info:
  title: Murex MX.3 Market Data Accounting Va R 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: VaR
  description: Value at Risk calculations and reports
paths:
  /var:
    get:
      operationId: getVaR
      summary: Murex Get VaR calculations
      description: Retrieve Value at Risk calculations for specified portfolios, desks, or entity levels.
      tags:
      - VaR
      parameters:
      - $ref: '#/components/parameters/portfolioId'
      - $ref: '#/components/parameters/deskId'
      - name: method
        in: query
        description: VaR calculation methodology
        schema:
          type: string
          enum:
          - Historical
          - MonteCarlo
          - Parametric
      - name: confidenceLevel
        in: query
        description: Confidence level as a percentage
        schema:
          type: number
          default: 99
      - name: holdingPeriod
        in: query
        description: Holding period in days
        schema:
          type: integer
          default: 1
      - name: asOfDate
        in: query
        description: Calculation date
        schema:
          type: string
          format: date
      responses:
        '200':
          description: VaR calculation results
          content:
            application/json:
              schema:
                $ref: '#/components/schemas/VaRResult'
        '401':
          description: Unauthorized
        '404':
          description: Portfolio or desk not found
  /var/history:
    get:
      operationId: getVaRHistory
      summary: Murex Get VaR history
      description: Retrieve historical VaR values over a date range for trend analysis and backtesting.
      tags:
      - VaR
      parameters:
      - $ref: '#/components/parameters/portfolioId'
      - $ref: '#/components/parameters/deskId'
      - name: fromDate
        in: query
        required: true
        description: Start date for history
        schema:
          type: string
          format: date
      - name: toDate
        in: query
        required: true
        description: End date for history
        schema:
          type: string
          format: date
      - name: method
        in: query
        description: VaR calculation methodology
        schema:
          type: string
          enum:
          - Historical
          - MonteCarlo
          - Parametric
      responses:
        '200':
          description: Historical VaR values
          content:
            application/json:
              schema:
                type: object
                properties:
                  items:
                    type: array
                    items:
                      $ref: '#/components/schemas/VaRHistoryEntry'
        '401':
          description: Unauthorized
components:
  schemas:
    VaRHistoryEntry:
      type: object
      properties:
        date:
          type: string
          format: date
        varAmount:
          type: number
        pnl:
          type: number
          description: Actual P&L for the day
        breach:
          type: boolean
          description: Whether VaR was breached
    VaRResult:
      type: object
      properties:
        portfolioId:
          type: string
          description: Portfolio identifier
        asOfDate:
          type: string
          format: date
          description: Calculation date
        method:
          type: string
          description: VaR methodology used
        confidenceLevel:
          type: number
          description: Confidence level percentage
        holdingPeriod:
          type: integer
          description: Holding period in days
        varAmount:
          type: number
          description: VaR amount in base currency
        currency:
          type: string
          description: Base currency for the VaR calculation
        componentVaR:
          type: array
          description: VaR decomposition by risk factor or asset class
          items:
            type: object
            properties:
              category:
                type: string
              varAmount:
                type: number
        calculatedAt:
          type: string
          format: date-time
          description: Calculation timestamp
  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
  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