Portfolio Statistics

{
  "$schema": "https://json-schema.org/draft/2020-12/schema",
  "$id": "https://raw.githubusercontent.com/api-evangelist/moment/main/json-schema/moment-portfolio-stats-schema.json",
  "title": "Portfolio Statistics",
  "description": "Aggregate statistics for a portfolio, including the yield to worst and yield to maturity for the portfolio.",
  "x-generated": "2026-10-14",
  "x-method": "derived",
  "x-generator": "derive-json-schema.py",
  "x-source": "openapi/moment-analytics-api-openapi.yml#/components/schemas/PortfolioStats",
  "type": "object",
  "properties": {
    "yield_to_worst": {
      "type": [
        "object",
        "null"
      ],
      "description": "Yield to worst statistics for the portfolio, when available.",
      "properties": {
        "min": {
          "type": "number"
        },
        "max": {
          "type": "number"
        },
        "avg": {
          "type": "number"
        },
        "avg_with_cash": {
          "type": "number"
        }
      }
    },
    "yield_to_maturity": {
      "type": [
        "object",
        "null"
      ],
      "description": "Yield to maturity statistics for the portfolio, when available.",
      "properties": {
        "min": {
          "type": "number"
        },
        "max": {
          "type": "number"
        },
        "avg": {
          "type": "number"
        },
        "avg_with_cash": {
          "type": "number"
        }
      }
    },
    "sp_rating": {
      "type": [
        "object",
        "null"
      ],
      "description": "The S&P rating statistics for the portfolio, when available.",
      "properties": {
        "min": {
          "type": [
            "string",
            "null"
          ]
        },
        "max": {
          "type": [
            "string",
            "null"
          ]
        },
        "avg": {
          "type": [
            "string",
            "null"
          ]
        }
      }
    },
    "coupon": {
      "type": [
        "object",
        "null"
      ],
      "description": "The coupon statistics for the portfolio, when available.",
      "properties": {
        "min": {
          "type": "number"
        },
        "max": {
          "type": "number"
        },
        "avg": {
          "type": "number"
        }
      }
    },
    "duration": {
      "type": [
        "object",
        "null"
      ],
      "description": "The (modified) duration statistics for the portfolio, when available.",
      "properties": {
        "min": {
          "type": "number"
        },
        "max": {
          "type": "number"
        },
        "avg": {
          "type": "number"
        }
      }
    },
    "maturity_years": {
      "type": [
        "object",
        "null"
      ],
      "description": "The time to maturity statistics (in years) for the portfolio, when available.",
      "properties": {
        "min": {
          "type": "number"
        },
        "max": {
          "type": "number"
        },
        "avg": {
          "type": "number"
        }
      }
    },
    "cashflows": {
      "description": "The cashflows for the portfolio, when available. Split into yearly, monthly and all cashflows, as well as by type (coupon or principal). All cashflow amounts are in USD.",
      "type": "object",
      "properties": {
        "yearly": {
          "type": "array",
          "items": {
            "$ref": "#/$defs/CashFlowEvent"
          }
        },
        "monthly": {
          "type": "array",
          "items": {
            "$ref": "#/$defs/CashFlowEvent"
          }
        },
        "all": {
          "type": "array",
          "items": {
            "$ref": "#/$defs/CashFlowEvent"
          }
        }
      }
    }
  },
  "$defs": {
    "CashFlowEvent": {
      "type": "object",
      "properties": {
        "date": {
          "type": "string",
          "format": "date"
        },
        "amount": {
          "type": "number"
        },
        "type": {
          "type": "string",
          "enum": [
            "coupon",
            "principal"
          ]
        }
      }
    }
  }
}