PortfolioScience RiskAPI Enterprise. Detailed service documentation is located here:
\nhttps://www.portfolioscience.com/enterprise-support-login
\nRiskAPI is a cloud-based risk analysis service delivered as a dynamic, distributed API. Financial services, sell-side, and buy-side entities use RiskAPI to access the PortfolioScience proprietary Risk Analysis Engine in order to rapidly implement and offer robust risk analysis functionality.
\nAccess requires an active RiskAPI Enterprise license and credentials. Credentials (username, password, API Key, plus client certificate) are submitted to the login call to generate a bearer token, used for all subsequent requests.
\nThe bearer-token is submitted as an additional parameter, called token, via the request body.
\nFunctional inputs are submitted as query parameters (documented per API call, below), while content inputs (symbols, quantities, time series, input prices, spreads, etc.) and modal inputs (base currency, period. etc.) are submitted via the request body.
\nThese parameters are passed in as json-formatted values and arrays and represent the primary content and modal inputs to the API.
\n\nThese parameters are used for any calculation requiring a collection of just symbols, symbols and quantities, or two sets of symbols and quantities (such as with correlation, beta, etc.):
\nSymbol - String array of symbols
\nQuantity - Double array of quantities
\nSymbol1 - String array of symbols
\nQuantity1 - Double array of quantities
\nSymbol2 - String array of symbols
\nQuantity2 - Double array of quantities
\n\nThese parameters are used for any calculation requiring a collection of associated underlying prices, implied volatilities, market prices or individualized shocks:
\nSpot - Double array of underlying asset prices
\nVols - Double array of implied volatilities
\nPrices - Double array of market prices
\nStresses - Double array of per-position stress values
\nIndexStresses - Double array of per-index stress values
\nSpreads - Double array of credit spreads
\n\nDates - String array of time series dates (formatted as \"mm/dd/yyyy\")
\nValues - Double array of time series values
\n\nThese parameters are used to control generalized calculation behavior such as base currency, and period:
\nFX - String representing the ISO base currency code of the calculation (default = \"USD\")
\nPeriod - String (D,W,M) representing the periodicity of the historical returns used in a given calculation (default=\"D\")
\nSampleRate - Integer which defines the business-day frequency of return observations used with calculations utilizing historical data (default = 1)
\nSliding - Boolean that determines if price observations are sampled simply by taking price observations every \"samplerate\" days apart, producing n/samplerate observations (sliding = false) or as a sliding window (sliding = true), producing n observations, where n = the number of daily price observations in a given time series. If SampleRate > 1, the system will use time series data with each price observation spaced SampleRate business days apart.
\nBackfill - Boolean which determines if, for a given time series of historical data, missing return observations between a given calculation's start date and the first real historical return observation will be filled in with values of zero (default = true).
\nUnrollSplits - Boolean which determines if splits that occurred after the applicable end date are to be unapplied. If SplitUnroll = true, any equity splits and distributions that took place after the calculation end date will be rolled back. As a result, historical pre-split quantities will work as if the split (or dividend) never took place (currently available for US Equities only).
\n\nStandard REST error codes
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\n","type":"text/plain"},"key":"enddate","value":""},{"description":{"content":"Optional Double value specifying the degree of confidence (default = 0.95)
\n","type":"text/plain"},"key":"confidence","value":"0.95"},{"description":{"content":"Optional Integer value representing VaR model (1=volatility-based, 2=historical simulation 3=parametric, 4=historical simulation percent returns, 5=historical simulation lognormal returns, 6=historical simulation losses included as negatives, 7=historical simulation percent returns losses included as negatives, 8=historical simulation lognormal returns losses included as negatives, 9=full historical simulation, 10=full historical simulation percent returns, 11=full historical simulation lognormal returns, 12=decayed historical simulation, 13=decayed historical simulation percent returns, 14=decayed historical simulation lognormal returns, 15=monte carlo, 18=hybrid historical). (Default = 1)
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\n","type":"text/plain"},"key":"enddate","value":""},{"description":{"content":"Optional Double value specifying the degree of confidence (default = 0.95)
\n","type":"text/plain"},"key":"confidence","value":"0.95"},{"description":{"content":"Optional Integer value representing VaR model (1=volatility-based, 2=historical simulation 3=parametric, 4=historical simulation percent returns, 5=historical simulation lognormal returns, 6=historical simulation losses included as negatives, 7=historical simulation percent returns losses included as negatives, 8=historical simulation lognormal returns losses included as negatives, 9=full historical simulation, 10=full historical simulation percent returns, 11=full historical simulation lognormal returns, 12=decayed historical simulation, 13=decayed historical simulation percent returns, 14=decayed historical simulation lognormal returns, 15=monte carlo, 18=hybrid historical). (Default = 1)
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\n","type":"text/plain"},"key":"decay","value":"-1"},{"description":{"content":"Optional Integer parameter specifying the number of simulations to be used when VaR Method = 15 (default = 1,000, max of 10,000)
\n","type":"text/plain"},"key":"simulations","value":"1000"},{"description":{"content":"Optional Double specifying the minute % change made to each position (default=1%)
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\n","type":"text/plain"},"key":"enddate","value":""},{"description":{"content":"Integer representing the type of returns the distribution is based on (1 = P&L, 2 = percent, 3 = lognormal, 4 = P&L-based Monte Carlo)
\n","type":"text/plain"},"key":"returntype","value":"1"},{"description":{"content":"Integer Number of return size category bins used to construct the distribution histogram (if set to 0, will use system default of 25)
\n","type":"text/plain"},"key":"bins","value":"25"},{"description":{"content":"Double value denoting the size of the minimum category bin
\n","type":"text/plain"},"key":"mins","value":"0"},{"description":{"content":"Double value denoting the size of the maximum category bin
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\nIndex Portfolio
\n+0.004 -0.006
\n+0.010 +0.007
\n+0.018 +0.007
\n+0.004 +0.007
\n+0.002 -0.010
\n+0.001 -0.003
\n-0.005 +0.028
\nIf the level parameter is set to 0 and the above parameter is set to False, only the returns highlighted in bold will be used in the resulting beta calculation.
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\nDimension 0 - The coefficient values for the intercept, followed by each index specified in Symbol1.
\nDimension 1 - The standard error values for the intercept, followed by each index specified in Symbol1.
\nDimension 2 - The T-stat results for the intercept, followed by each index specified in Symbol1.
\nThe final dimension (dimension 3) of the result array contains analysis results for the entire regression. They are as follows:
\nItem 0 - N: the number of observations
\nItem 1 - P: the statistical degree of freedom
\nItem 2 - SSE: the sum of squared residuals
\nItem 3 - MSE: the mean squared error
\nItem 4 - The standard error for the regression
\nItem 5 - R-Squared for the regression
\nItem 6 - Durbin-Watson statistic for the regression
\nOptional Date (mm/dd/yyyy) indicating the start of the historical data used. Default = \"\", results in 1-calendar year.
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\n","type":"text/plain"},"key":"method","value":""},{"description":{"content":"Optional Boolean parameter that determines if returns are to be calculated as a linear combination of delta-adjusted returns. (Default = false)
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\n","type":"text/plain"},"key":"shortvalue","value":""},{"description":{"content":"Optional Boolean flag which determines if currency exposure in each benchmark is to be ignored. Default = false.
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\nDimension 0 - Result classification: (0=Portfolio results, 1=Active risk results, 2=Market risk results)
\nDimension 1 - Numerical Results (0=Volatility, 1=Variance, 2=% of Total Variance, 3=Compound Return)
\nOptional Date (mm/dd/yyyy) indicating the start of the historical data used. Default = \"\", results in 1-calendar year.
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\n","type":"text/plain"},"key":"annualized","value":"false"},{"description":{"content":"Optional Boolean flag which determines if returns are calculated according to gross market value (shortvalue = False, short positions treated as positive value) or net market value (shortvalue = True, short positions treated as negative value). Default = False.
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\nDimension 0 - Result classification: (0=Portfolio results, 1=Active risk results, 2=Market risk results)
\nDimension 1 - Numerical Results (0=Volatility, 1=Variance, 2=% of Total Variance, 3=Compound Return)
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\n","type":"text/plain"},"key":"enddate","value":""},{"description":{"content":"Integer specifying if the component active risk is derived from portfolio, active, or market volatility (1= portfolio, 2 = active, 3 = market).
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\n","type":"text/plain"},"key":"enddate","value":null},{"description":{"content":"Optional Boolean parameter that determines if returns are to be calculated as a linear combination of delta-adjusted returns. (Default = false)
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\n","type":"text/plain"},"key":"decay","value":"-1"},{"description":{"content":"Optional Boolean that defines if currency conversion will be used in the calculation. (Default = false)
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\nFor filtered beta calculations, if \"filtered\" is set to true, return observations will be selected according to the criteria as defined by the \"level\" parameter and the \"above\" parameter, according to values observed in the target portfolio's return history. For example, if an index and a portfolio have the following returns:
\nIndex Portfolio
\n+0.004 -0.006
\n+0.010 +0.007
\n+0.018 +0.007
\n+0.004 +0.007
\n+0.002 -0.010
\n+0.001 -0.003
\n-0.005 +0.028
\nIf the level parameter is set to 0 and the above parameter is set to False, only the returns highlighted in bold will be used in the resulting beta calculation.
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\nA multi-dimensional array representing the results and analysis of a multiple regression performed on a portfolio defined by Symbol2 and Quantity2 Vs. the assumed dependent benchmarks (or covariates) defined by Symbol1 and Quantity1. The resulting array contains the following data:
\nDimension 0 - The coefficient values for the intercept, followed by each index specified in Symbol1.
\nDimension 1 - The standard error values for the intercept, followed by each index specified in Symbol1.
\nDimension 2 - The T-stat results for the intercept, followed by each index specified in Symbol1.
\nThe final dimension (dimension 3) of the result array contains analysis results for the entire regression. They are as follows:
\nItem 0 - N: the number of observations
\nItem 1 - P: the statistical degree of freedom
\nItem 2 - SSE: the sum of squared residuals
\nItem 3 - MSE: the mean squared error
\nItem 4 - The standard error for the regression
\nItem 5 - R-Squared for the regression
\nItem 6 - Durbin-Watson statistic for the regression
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\n","type":"text/plain"},"key":"method","value":""},{"description":{"content":"Optional Boolean parameter that determines if returns are to be calculated as a linear combination of delta-adjusted returns. (Default = false)
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\nA multi-dimensional array representing the results and analysis of the active risk calculation performed on individual positions defined by Symbol2 and Quantity2 Vs. the benchmark defined by Symbol1 and Quantity1. Results represent each position's results vs. the benchmark. The resulting array contains the following data:
\nDimension 0 - Result classification: (0=Portfolio results, 1=Active risk results, 2=Market risk results)
\nDimension 1 - Numerical Results (0=Volatility, 1=Variance, 2=% of Total Variance, 3=Compound Return)
\nVectorActiveRisk will generate 3 x N entries in dimension 0 where N = the number of positions defined by Symbol2 and Quantity2). Each set of three entries contains data for the individual portfolio position: Portfolio, Active, and Market result sets. For example, a portfolio containing 3 positions will result in 9 entries in dimension 0: 3 for each position, denoting results for Portfolio, Active, and Market.
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\nAn array with a single element if total = true, representing the total portfolio calculation result as defined by the \"method\" parameter. A numerical array if total = false representing the returns analysis results for each portfolio position.
\nMethod = 1, maximum return
\nMethod = 2, minimum return
\nMethod = 3, number of positive returns
\nMethod = 4, number of negative returns
\nMethod = 5, date of maximum return
\nMethod = 6, date of minimum return
\nMethod = 7, max drawdown
\nMethod = 8, max drawdown high
\nMethod = 9, max drawdown date
\nMethod = 10, max drawdown end date
\nMethod = 11, max drawdown high date
\nMethod = 12, number of returns
\nMethod = 13, number of raw price observations
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\n","type":"text/plain"},"key":"returntype","value":""},{"description":{"content":"Optional integer specifying the type of returns calculated (1=dollar,2=percent,3=lognormal).
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\n","type":"text/plain"},"key":"enddate","value":""},{"description":{"content":"Optional integer specifying the lookback period in days of each rolling calculation point.
\n","type":"text/plain"},"key":"winsize","value":"30"},{"description":{"content":"Optional Double value specifying the degree of confidence (default = 0.95)
\n","type":"text/plain"},"key":"confidence","value":"0.95"},{"description":{"content":"Optional Integer value representing VaR model (1=volatility-based, 2=historical simulation 3=parametric, 4=historical simulation percent returns, 5=historical simulation lognormal returns, 6=historical simulation losses included as negatives, 7=historical simulation percent returns losses included as negatives, 8=historical simulation lognormal returns losses included as negatives, 9=full historical simulation, 10=full historical simulation percent returns, 11=full historical simulation lognormal returns, 12=decayed historical simulation, 13=decayed historical simulation percent returns, 14=decayed historical simulation lognormal returns, 15=monte carlo). (Default = 1)
\n","type":"text/plain"},"key":"method","value":"3"},{"description":{"content":"Optional Integer specifying volatility model used by parametric VaR method (1=normal,2=EWMA,3=GARCH,5=Percent,6=Dollar,7=Dollar EWMA)
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\n","type":"text/plain"},"key":"winsize","value":"30"},{"description":{"content":"Optional boolean which determines if calculation is for total portfolio or indiviual positions
\n","type":"text/plain"},"key":"total","value":"true"},{"description":{"content":"Optional Integer that determines the type of volatility to calculate: 1=Annualized Standard Deviation, 2= Exponential Moving Average, 3=GARCH Model
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\nA 2-d String containing a time series (dates and values) representing the total portfolio value.
\nPlease note that due to data licensing restrictions, this method will only generate valid results if the Symbol parameter contains at least two distinct and valid symbols.
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\nDimension 0: The date series over which the rolling calculation was evaluated.
\nDimension 1 - Dimension N + 1: The coefficient values for a given date for the intercept-through covariate (or factor) N as defined by Symbol1, which contains N elements.
\nAn analysis run using 3 factors will result in an array with 5 dimensions:
\nDimension 0: The date series over which the rolling calculation was evaluated.
\nDimension 1: The associated rolling values for the intercept.
\nDimension 2: The associated rolling coefficient values for factor 1.
\nDimension 3: The associated rolling coefficient values for factor 2.
\nDimension 4: The associated rolling coefficient values for factor 3.
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\n","type":"text/plain"},"key":"enddate","value":""},{"description":{"content":"Optional boolean specifying if total portfolio or individual results are calculated
\n","type":"text/plain"},"key":"total","value":"true"},{"description":{"content":"Optional boolean specifying if absolute values are calculated (default = false)
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\n","type":"text/plain"},"key":"enddate","value":""},{"description":{"content":"Optional boolean specifying if total portfolio or individual results are calculated
\n","type":"text/plain"},"key":"total","value":"true"}],"variable":[]}},"response":[],"_postman_id":"9812d0b4-709a-44b8-ba38-697b5cc44c97"},{"name":"portfolioallocation","id":"116901ed-350b-449c-887d-b0599798ff3f","protocolProfileBehavior":{"disableBodyPruning":true},"request":{"method":"POST","header":[],"body":{"mode":"raw","raw":"{\r\n \"Token\": \"eyJhbGciOiJIUzI1NiIsInR5cCI6IkpXVCJ9eyJVc2Vybm...\",\r\n \"Symbol1\": [\r\n \"SPX\"\r\n ],\r\n \"Quantity1\": [\r\n 1\r\n ],\r\n \"Symbol2\": [\r\n \"SPY\",\r\n \"QQQ\",\r\n \"C\"\r\n ],\r\n \"Quantity2\": [\r\n 10500,\r\n 3521,\r\n -2500\r\n ]\r\n}","options":{"raw":{"language":"json"}}},"url":"?startdate=12/31/2020&enddate=&total=true&shortvalue","description":"An array of Doubles containing the percentage of total portfolio market value as defined by the Symbol and Quantity Body parameters. The query parameter \"shortvalue\" defines whether the total market value is gross or net (default = gross).
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\n","type":"text/plain"},"key":"startdate","value":"12/31/2020"},{"description":{"content":"Optional Date (mm/dd/yyyy) indicating the end of the historical data used. Default = \"\", results in the latest system market date.
\n","type":"text/plain"},"key":"enddate","value":""},{"description":{"content":"Optional boolean specifying if total portfolio or individual results are calculated
\n","type":"text/plain"},"key":"total","value":"true"},{"description":{"content":"Optional Boolean flag which determines if returns are calculated according to gross market value (shortvalue = False, short positions treated as positive value) or net market value (shortvalue = True, short positions treated as negative value). Default = False.
\n","type":"text/plain"},"key":"shortvalue","value":null}],"variable":[]}},"response":[],"_postman_id":"116901ed-350b-449c-887d-b0599798ff3f"},{"name":"getlastprice","id":"cfe9ac39-3960-451a-9c19-c9b2fcb20441","protocolProfileBehavior":{"disableBodyPruning":true},"request":{"method":"POST","header":[],"body":{"mode":"raw","raw":"{\r\n \"Token\": \"eyJhbGciOiJIUzI1NiIsInR5cCI6IkpXVCJ9eyJVc2Vybm...\",\r\n \"Symbol1\": [\r\n \"SPX\"\r\n ],\r\n \"Quantity1\": [\r\n 1\r\n ],\r\n \"Symbol2\": [\r\n \"SPY\",\r\n \"QQQ\",\r\n \"C\"\r\n ],\r\n \"Quantity2\": [\r\n 10500,\r\n 3521,\r\n -2500\r\n ]\r\n}","options":{"raw":{"language":"json"}}},"url":"?enddate=\"12/31/2020\"","description":"A numerical array representing the last closing prices of each Symbol. The 'Enddate' parameter determines the date from which the prices are retrieved.
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\nTo generate implied volatilities, the Greek parameter should be set to \"i\" and input market prices for options should be passed in via the \"Prices\" parameter.
\nVols - Optional user-defined volatility series
\nPrices - Optional user-defined input price series
\nSpot - Optional user-defined underlying spot price series
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\n","type":"text/plain"},"key":"enddate","value":""},{"description":{"content":"Optional boolean specifying if total portfolio or individual results are calculated
\n","type":"text/plain"},"key":"total","value":"true"},{"description":{"content":"Determines which sensitivity parameter to calculate (p=price,d=delta,g=gamma,v=vega,t=theta,r=rho,i=implied vol)
\n","type":"text/plain"},"key":"greek","value":"d"},{"description":{"content":"Optional user-defined series representing the per-symbol time to expiry in years (will override time to expiry as defined by the end date and the symbol-defined expiration date).
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\nA 2 dimensional numerical array if total = false and details = true representing:
\nNote: the results returned above depend on the value of the method parameter. For all index-based methods, the first item in each pair above is returned. For all others, the second item is returned.
\nIndex Symbols and quantities used in method = 5, 7, or 8 should be provided via the Symbol2/Quantity2 body parameters.
\nA 2 dimensional numerical array if total = true representing:
\nVols - Optional user-defined volatility series
\nPrices - Optional user-defined input price series
\nSpot - Optional user-defined underlying spot price series
\nStresses - Optional individual shocks to underlying assets. Follows same rules as global \"SpotStress\" parameter, however, allows unique shock values for each portfolio position. Stresses must be of the same length as Symbol, with each value representing the size of the shock to each underlying asset in the portfolio, otherwise an exception with message \"LENGTH ERROR\" will be thrown/stored. If Stresses is set to \"\", it will be ignored and the value of the SpotStress parameter will be applied globally.
\nIndexStresses - Optional individual shocks to multiple index/factor symbols used for method = 8 (index mr). IndexStresses must be of the same length as Symbol2, with each value representing the size of the shock to each external factor or index submitted via the Symbol2 body parameter, otherwise an exception with message \"LENGTH ERROR\" will be thrown/stored.
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\n","type":"text/plain"},"key":"enddate","value":""},{"description":{"content":"Optional boolean specifying if total portfolio or individual results are calculated
\n","type":"text/plain"},"key":"total","value":"true"},{"description":{"content":"Determines the stress test type (1=spot, 2=stdev, 3=volatility, 4=both, 5=index, 6=both stdev, 7= index stdev, 8 = index mr, 9 = time stress, 10 = fx stress, 11=proportional volatility, 12=both with proportional volatility, 13=both stdev with proportional volatility)
\n","type":"text/plain"},"key":"method","value":"1"},{"description":{"content":"Parameter used to specify the size of the shock to underlier prices (0.01 = 1% or 1 = 1SD)
\n","type":"text/plain"},"key":"spotstress","value":"-0.05"},{"description":{"content":"Parameter used to specify the size of the shock to implied volatility (0.01 = 1% added to implied volatility)
\n","type":"text/plain"},"key":"volstress","value":"0"},{"description":{"content":"Parameter used to specify the size of the shock to the provided index (-0.01 = -1% index move)
\n","type":"text/plain"},"key":"indexstress","value":"0"},{"description":{"content":"Parameter used to specify the size of the shock to the relevant currency rate as specific to each portfolio component (-0.01 = -1% change in the relevant currency rate)
\n","type":"text/plain"},"key":"fxstress","value":"0"},{"description":{"content":"Parameter used to specify the size of the shock to the number of days to expiration (1 = 1 day closer to expiration or 1.5 = 36 hours closer to expiration). Note: This parameter can be applied in all modes, allowing for multidimensional shocks that also include a time component.
\n","type":"text/plain"},"key":"timestress","value":"0"},{"description":{"content":"Optional double parameter which applies EWMA decay to the calculation when method = 5 or 7 (Index or Index Stdev), (default = 0, no decay applied
\n","type":"text/plain"},"key":"decay","value":"0"},{"description":{"content":"Optional Boolean parameter that enables optional additional results to be generated in addition to stress price and stress impact. Enabled only when total = false and with methods 1-4,7,11,12,13.
\n","type":"text/plain"},"key":"detail","value":"false"},{"description":{"content":"Optional boolean to prompt the system to correct any order of magnitude differences with optional underlying prices passed in via the \"Spot\" parameter (default = false).
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\n","type":"text/plain"},"key":"enddate","value":"03/01/2021"},{"description":{"content":"Optional boolean specifying if total portfolio or individual results are calculated
\n","type":"text/plain"},"key":"total","value":"true"},{"description":{"content":"Determines the amount to shift the yield curve in parallel by (1bp = 0.0001)
\n","type":"text/plain"},"key":"rateshift","value":"0.0003"}],"variable":[]}},"response":[],"_postman_id":"3672ef01-afa1-4d68-ba1b-2af5579a5cf9"},{"name":"bondvaluation","id":"5215d1cf-c9f5-442f-afe6-376d1c7e46d3","protocolProfileBehavior":{"disableBodyPruning":true},"request":{"method":"POST","header":[],"body":{"mode":"raw","raw":"{\r\n \"Token\": \"eyJhbGciOiJIUzI1NiIsInR5cCI6IkpXVCJ9eyJVc2Vybm...\",\r\n \"Symbol\": [\r\n \"912828G87.B\",\r\n \"912828B58.B\",\r\n \"912828WC0.B\",\r\n \"912828VZ0.B\"\r\n ],\r\n \"Quantity\": [\r\n 100000.0,\r\n 2000000.0,\r\n 150000.0,\r\n 350000.0\r\n ],\r\n \"Spreads\": [\r\n 0.0050,\r\n 0.009,\r\n 0.01,\r\n 0.0025\r\n ]\r\n}","options":{"raw":{"language":"json"}}},"url":"?enddate=03/01/2021&total=true&method=1","description":"An array with a single element if total = true, representing the total portfolio calculation, if relevant, as defined by the \"method\" parameter. A numerical array if total = false representing the bond valuation results for each bond position. Note that if values are provided to the \"price\" parameter, this method will generate results based on user-defined prices for each relevant instrument.
\nMethod = 0: Modified Duration
\nMethod = 1: Convexity
\nMethod = 2: Macaulay Duration
\nMethod = 3: Yield To Maturity
\nMethod = 4: Value Duration
\nMethod = 5: YTM Credit Spread
\nMethod = 6: Zero Curve Credit Spread
\nMethod = 7: Price From Yield Curve
\nMethod = 8: Price from cash flows mapped to yield curve
\nMethod = 9: PV01 (DV01 - value of a 1bp shift in rates)
\nMethod = 10: Price from user-defined Yield
\nMethod = 11: Dollar Duration
\nMethod = 12: Dollar Convexity
\nOptional Date (mm/dd/yyyy) indicating the end of the historical data used. Default = \"\", results in the latest system market date.
\n","type":"text/plain"},"key":"enddate","value":"03/01/2021"},{"description":{"content":"Optional boolean specifying if total portfolio or individual results are calculated
\n","type":"text/plain"},"key":"total","value":"true"},{"description":{"content":"Integer value determining the calculation to generate
\n","type":"text/plain"},"key":"method","value":"1"}],"variable":[]}},"response":[],"_postman_id":"5215d1cf-c9f5-442f-afe6-376d1c7e46d3"},{"name":"irsvaluation","id":"1e11bebe-4a33-46b3-a3e8-b7a1abc7e32b","protocolProfileBehavior":{"disableBodyPruning":true},"request":{"method":"POST","header":[],"body":{"mode":"raw","raw":"{\r\n \"Token\": \"eyJhbGciOiJIUzI1NiIsInR5cCI6IkpXVCJ9eyJVc2Vybm...\",\r\n \"Symbol\": [\r\n \"USD;0.0050;NONE;0.0;0;2;USD;0;LIBOR;0.0001;4;0;6/15/2022;MF;US-UK.IRS\",\r\n \"USD;0.0050;NONE;0.0;0;2;USD;0;LIBOR;0.0001;4;0;06/15/2026;MF;US-UK.IRS\",\r\n \"USD;0.0050;NONE;0.0;0;2;USD;0;LIBOR;0.0001;4;0;06/15/2031;MF;US-UK.IRS\"\r\n \r\n ],\r\n \"Quantity\": [\r\n 100000.0,\r\n 2000000.0,\r\n 150000.0\r\n \r\n ]\r\n}","options":{"raw":{"language":"json"}}},"url":"?enddate=03/01/2021&total=true&method=1","description":"An array with a single element if total = true, representing the total portfolio calculation, if relevant, as defined by the \"method\" parameter. A numerical array if total = false representing the valuation results for each interest rate swap position.
\nMethod = 1: NPV
\nMethod = 2: Swap Rate
\nMethod = 3: PV01 (Value of a -1bp shift in rates)
\nSpreads - Optional user-defined credit spread series
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\n","type":"text/plain"},"key":"enddate","value":"03/01/2021"},{"description":{"content":"Optional boolean specifying if total portfolio or individual results are calculated
\n","type":"text/plain"},"key":"total","value":"true"},{"description":{"content":"Integer value determining the calculation to generate
\n","type":"text/plain"},"key":"method","value":"1"}],"variable":[]}},"response":[],"_postman_id":"1e11bebe-4a33-46b3-a3e8-b7a1abc7e32b"},{"name":"pv01","id":"a7dd0ad9-5aef-4742-856c-91b10e741a80","protocolProfileBehavior":{"disableBodyPruning":true},"request":{"method":"POST","header":[],"body":{"mode":"raw","raw":"{\r\n \"Token\": \"eyJhbGciOiJIUzI1NiIsInR5cCI6IkpXVCJ9eyJVc2Vybm...\",\r\n \"Symbol\": [\r\n \"USD;0.0050;NONE;0.0;0;2;USD;0;LIBOR;0.0001;4;0;6/15/2022;MF;US-UK.IRS\",\r\n \"USD;0.0050;NONE;0.0;0;2;USD;0;LIBOR;0.0001;4;0;06/15/2026;MF;US-UK.IRS\",\r\n \"USD;0.0050;NONE;0.0;0;2;USD;0;LIBOR;0.0001;4;0;06/15/2031;MF;US-UK.IRS\"\r\n \r\n ],\r\n \"Quantity\": [\r\n 100000.0,\r\n 2000000.0,\r\n 150000.0\r\n \r\n ]\r\n}","options":{"raw":{"language":"json"}}},"url":"?enddate=03/01/2021&total=true","description":"A double array representing the portfolio or individual position PV01 (i.e. DV01), the currency and quantity-adjusted value of a 1bp shift in relevant rates. An array with a single element if total = true, representing the total portfolio PV01. A numerical array if total = false representing the PV01 for each individual fixed income position. Note that if values are provided to the \"price\" parameter, this method will generate results based on user-defined prices for each relevant instrument.
\nOptional Parameters in Body:
\nSpreads - Optional user-defined credit spread series
\n","auth":{"type":"bearer","bearer":{"basicConfig":[]},"isInherited":true,"source":{"_postman_id":"12a57867-9f41-4183-b12a-161dab8901d5","id":"12a57867-9f41-4183-b12a-161dab8901d5","name":"PortfolioScience RiskAPI®","type":"collection"}},"urlObject":{"query":[{"description":{"content":"Optional Date (mm/dd/yyyy) indicating the end of the historical data used. Default = \"\", results in the latest system market date.
\n","type":"text/plain"},"key":"enddate","value":"03/01/2021"},{"description":{"content":"Optional boolean specifying if total portfolio or individual results are calculated
\n","type":"text/plain"},"key":"total","value":"true"}],"variable":[]}},"response":[],"_postman_id":"a7dd0ad9-5aef-4742-856c-91b10e741a80"},{"name":"customdata","id":"422463f4-615f-4a4b-9f83-e468fbad853c","protocolProfileBehavior":{"disableBodyPruning":true},"request":{"method":"POST","header":[],"body":{"mode":"raw","raw":"{\r\n \"Token\": \"eyJhbGciOiJIUzI1NiIsInR5cCI6IkpXVCJ9eyJVc2Vybm...\",\r\n \"Dates\": [\r\n \"2/9/2021\",\r\n \"2/10/2021\",\r\n \"2/11/2021\",\r\n \"2/12/2021\",\r\n \"2/15/2021\",\r\n \"2/16/2021\",\r\n \"2/17/2021\",\r\n \"2/18/2021\",\r\n \"2/19/2021\",\r\n \"2/22/2021\"\r\n ],\r\n \"Values\": [\r\n 3911.23,\r\n 3909.88,\r\n 3916.38,\r\n 3934.83,\r\n 3934.83,\r\n 3932.59,\r\n 3931.33,\r\n 3913.97,\r\n 3906.71,\r\n 3876.5\r\n ]\r\n}","options":{"raw":{"language":"json"}}},"url":"?customsymbol=TEST","description":"A single string equal to the \"customsymbol\" parameter, an empty string if any error occurs. This method provides for the importation of custom time series data as definded by the posted parameters \"Dates\" and \"Values\" and assigned to the symbol defined by the query parameter \"customsymbol\".
\nOnce imported, data is available only under the credentials used in the import. Custom data is imported using a clean symbol with no suffix, but is referenced in subsequent calculation requests using a \".CST\" suffix.
\n","auth":{"type":"bearer","bearer":{"basicConfig":[]},"isInherited":true,"source":{"_postman_id":"12a57867-9f41-4183-b12a-161dab8901d5","id":"12a57867-9f41-4183-b12a-161dab8901d5","name":"PortfolioScience RiskAPI®","type":"collection"}},"urlObject":{"query":[{"description":{"content":"Symbol to represent the custom data
\n","type":"text/plain"},"key":"customsymbol","value":"TEST"}],"variable":[]}},"response":[],"_postman_id":"422463f4-615f-4a4b-9f83-e468fbad853c"},{"name":"checksymbols","id":"1a80cb6a-480f-4624-a580-b080aacf597f","protocolProfileBehavior":{"disableBodyPruning":true},"request":{"method":"POST","header":[],"body":{"mode":"raw","raw":"{\r\n \"Token\": \"eyJhbGciOiJIUzI1NiIsInR5cCI6IkpXVCJ9eyJVc2Vybm...\",\r\n \"Symbol\": [\r\n \"SPX\",\"XXX\",\"CLZ21\"\r\n ]\r\n \r\n}","options":{"raw":{"language":"json"}}},"url":"?enddate=","description":"An array of strings containing any invalid symbols. When enddate set to a valid date in the past, expired options, for example, would be treated as valid.
\n","auth":{"type":"bearer","bearer":{"basicConfig":[]},"isInherited":true,"source":{"_postman_id":"12a57867-9f41-4183-b12a-161dab8901d5","id":"12a57867-9f41-4183-b12a-161dab8901d5","name":"PortfolioScience RiskAPI®","type":"collection"}},"urlObject":{"query":[{"description":{"content":"Optional Date (mm/dd/yyyy) indicating the end of the historical data used. Default = \"\", results in the latest system market date.
\n","type":"text/plain"},"key":"enddate","value":""}],"variable":[]}},"response":[],"_postman_id":"1a80cb6a-480f-4624-a580-b080aacf597f"},{"name":"getunderlyingsymbols","id":"8d6eeb30-1941-4489-bd69-0c2faaac4892","protocolProfileBehavior":{"disableBodyPruning":true},"request":{"method":"POST","header":[],"body":{"mode":"raw","raw":"{\r\n \"Token\": \"eyJhbGciOiJIUzI1NiIsInR5cCI6IkpXVCJ9eyJVc2Vybm...\",\r\n \"Symbol\": [\r\n \"SPX\",\"XXX\",\"CLZ21\"\r\n ]\r\n \r\n}","options":{"raw":{"language":"json"}}},"url":"","description":"An array of strings containing the underlying instrument for each given Symbol, if the symbol is an option. For non-option symbols, the symbol itself it returned.
\n","auth":{"type":"bearer","bearer":{"basicConfig":[]},"isInherited":true,"source":{"_postman_id":"12a57867-9f41-4183-b12a-161dab8901d5","id":"12a57867-9f41-4183-b12a-161dab8901d5","name":"PortfolioScience RiskAPI®","type":"collection"}},"urlObject":{"query":[],"variable":[]}},"response":[],"_postman_id":"8d6eeb30-1941-4489-bd69-0c2faaac4892"},{"name":"marketdate","id":"ca73fb16-b4e8-4075-993a-ed1630139499","protocolProfileBehavior":{"disableBodyPruning":true},"request":{"method":"POST","header":[],"body":{"mode":"raw","raw":"{\r\n \"Token\": \"eyJhbGciOiJIUzI1NiIsInR5cCI6IkpXVCJ9eyJVc2Vybm...\",\r\n}","options":{"raw":{"language":"json"}}},"url":"https://cluster.riskapi.com/api/marketdate","description":"An single date-formatted string (mm/dd/yyyy) representing the latest closing market date currently available in the RiskAPI system.
\n","auth":{"type":"bearer","bearer":{"basicConfig":[]},"isInherited":true,"source":{"_postman_id":"12a57867-9f41-4183-b12a-161dab8901d5","id":"12a57867-9f41-4183-b12a-161dab8901d5","name":"PortfolioScience RiskAPI®","type":"collection"}},"urlObject":{"protocol":"https","path":["api","marketdate"],"host":["cluster","riskapi","com"],"query":[],"variable":[]}},"response":[],"_postman_id":"ca73fb16-b4e8-4075-993a-ed1630139499"},{"name":"indexlookup","id":"6482ba9b-8473-4191-9b1d-00cf4ddd577f","protocolProfileBehavior":{"disableBodyPruning":true},"request":{"method":"POST","header":[],"body":{"mode":"raw","raw":"{\r\n \"Token\": \"eyJhbGciOiJIUzI1NiIsInR5cCI6IkpXVCJ9eyJVc2Vybm...\",\r\n}","options":{"raw":{"language":"json"}}},"url":"https://cluster.riskapi.com/api/indexlookup?region=US","description":"A multi-dimensional string array containing symbol, ticker, publisher and description for all available equity indexes.
\n","auth":{"type":"bearer","bearer":{"basicConfig":[]},"isInherited":true,"source":{"_postman_id":"12a57867-9f41-4183-b12a-161dab8901d5","id":"12a57867-9f41-4183-b12a-161dab8901d5","name":"PortfolioScience RiskAPI®","type":"collection"}},"urlObject":{"protocol":"https","path":["api","indexlookup"],"host":["cluster","riskapi","com"],"query":[{"key":"region","value":"US"}],"variable":[]}},"response":[],"_postman_id":"6482ba9b-8473-4191-9b1d-00cf4ddd577f"},{"name":"registerbasket","id":"e9e68b8f-c957-490f-85b1-01ed99c2bac9","protocolProfileBehavior":{"disableBodyPruning":true},"request":{"method":"POST","header":[],"body":{"mode":"raw","raw":"{\r\n \"Token\": \"eyJhbGciOiJIUzI1NiIsInR5cCI6IkpXVCJ9eyJVc2Vybm...\",\r\n \"Symbol\": [\r\n \"XLF\",\r\n \"SPY\",\r\n \"QQQ\"\r\n ],\r\n \"Quantity\": [\r\n \"100\",\r\n \"250\",\r\n \"-100\"\r\n ]\r\n}","options":{"raw":{"language":"json"}}},"url":"?startdate&enddate=&basketsymbol","description":"A single string equal to the \"basketsymbol\" parameter, an empty string if any error occurs.
\nThis request is used to register an allocation as defined by the Body parameters \"Symbol\" and \"Quantity\" and referened by the query parameter \"basketsymbol\". The system will calculate and maintain historical returns for the given allocation as defined by the startdate and enddate parameters.
\nUpon basket registration, the basketsymbol is inputted without a suffix. In subsequent requests, the suffix \".BSK\" should be applied.
\n","auth":{"type":"bearer","bearer":{"basicConfig":[]},"isInherited":true,"source":{"_postman_id":"12a57867-9f41-4183-b12a-161dab8901d5","id":"12a57867-9f41-4183-b12a-161dab8901d5","name":"PortfolioScience RiskAPI®","type":"collection"}},"urlObject":{"query":[{"description":{"content":"Optional Date (mm/dd/yyyy) indicating the start of the historical data used. Default = \"\", results in 1-calendar year.
\n","type":"text/plain"},"key":"startdate","value":null},{"description":{"content":"Optional Date (mm/dd/yyyy) indicating the end of the historical data used. Default = \"\", results in the latest system market date.
\n","type":"text/plain"},"key":"enddate","value":""},{"description":{"content":"A single string equal to the \"basketsymbol\" parameter, an empty string if any error occurs.
\n","type":"text/plain"},"key":"basketsymbol","value":null}],"variable":[]}},"response":[],"_postman_id":"e9e68b8f-c957-490f-85b1-01ed99c2bac9"}],"auth":{"type":"bearer","bearer":{"basicConfig":[]}},"event":[{"listen":"prerequest","script":{"id":"3faa0067-adda-4939-b0d5-6278497c00c8","type":"text/javascript","exec":[""]}},{"listen":"test","script":{"id":"9d0eaaf0-030e-4988-8f88-e097f4a1e94d","type":"text/javascript","exec":[""]}}]}