Margin Impact
Calculate a table of portfolio Initial Margin changes for vanilla par swaps of a specified size at standard tenors in a selected currency.
Parameter | Description | Default | Options |
---|---|---|---|
portfolios Required |
Input portfolios. Can be trades in QuickTrade, FPML5, LCH, CME or SDR format. Or risk sensitivities in CRIF, LCH or CME format. Or portfolioIds of previously loaded portfolios Or any combination of these | ||
valueDate Optional |
The value date in YYYY-MM-DD format. | 2024-12-13 | |
model Optional |
Margin model to calculate with select CCP (CME or LCH) or SIMM - else Default will use the default CCP for the portfolio specified (e.g. CME for CME register). Compare will compare all models | Default | ASX , CME , Default , EUREX , LCH |
product Optional |
Specified product to use to create par trade | Swap:OIS:USD-SOFR-OIS | Select from predefined Products. |
import clarus response = clarus.margin.impact(portfolios='CFTV',model='LCH') print (response)
import com.clarusft.api.model.margin.ImpactRequest import com.clarusft.api.model.margin.ImpactResponse ApiClient clarus = ApiClient.getDefault(); ImpactResponse response = clarus.request(new ImpactRequest().withPortfolios("CFTV").withModel("LCH")); System.out.println(response);
import Clarus response = Clarus.Margin.impact(portfolios="CFTV",model="LCH") print(response)
##
##Need to install packages once, if not already installed
##install.packages('httr')
##install.packages('readr')
##
library('httr')
##library('readr')
## Manually edit and set key/secret here ##
apiKey <- '...'
apiSecret <-'...'
request <- function(category, functionName, ...){
restUrl = paste0('https://apieval.clarusft.com/api/rest/v1/', category, '/',functionName, '.csv')
response <- POST(url=restUrl, body=list(...), encode='json', authenticate(apiKey, apiSecret, type='basic'))
if (response$status_code!=200){
stop(paste0('Request to ', category, '/', functionName, ' failed with status code: ', response$status_code))
}
return (response)
}
dataframe <- function(response){
return (read.csv(text=content(response, 'text'), sep=',', head=TRUE))
}
## filename <- file.path('C:', 'Temp', 'myfile.csv')
## myvalue <- <- read_file(filename)
r <- request('margin', 'Impact', portfolios='CFTV', model='LCH')
df <- dataframe(r)
print (df)
import requests
import sys
import pandas
import io
#import os
# Example of REST API call to Clarus Microservices #
# Manually edit and set key/secret here #
apiKey = ''
apiSecret = ''
print (sys.version)
def request(category, functionName, **params):
restUrl = 'https://apieval.clarusft.com/api/rest/v1/' + category + '/' + functionName + '.json'
r = requests.post(restUrl, json=params, auth=(apiKey, apiSecret))
r.raise_for_status()
return r.json()
def dataframe(results):
return pandas.DataFrame(results['results'])
# filename = os.path.join('C:\\', 'Temp', 'myfile.csv')
# myvalue = open(filename).read()
r = request('margin', 'Impact', portfolios='CFTV', model='LCH')
df = dataframe(r)
print(pandas.DataFrame.head(df))
use strict;
use warnings;
use MIME::Base64;
use JSON;
use REST::Client;
# Example of REST API call to Clarus Microservices #
my $client = REST::Client->new();
$client->addHeader('Content-Type', 'application/json');
# Manually edit and set key/secret here
my $apiKey = '';
my $apiSecret = '';
my $encoded_auth = encode_base64("$apiKey:$apiSecret", '');
$client->addHeader('Authorization', "Basic $encoded_auth");
my %params = ('portfolios' => 'CFTV','model' => 'LCH');
my $urlBase = 'https://apieval.clarusft.com/api/rest/v1/';
my $category = 'margin/';
my $name = 'Impact';
my $outputFormat = '.csv'; #can also be '.json' or '.tsv'
my $fullRESTUrl = $urlBase . $category . $name . $outputFormat;
$client->POST($fullRESTUrl,encode_json(\%params));
print 'Response: ' . $client->responseContent() . "\n";
print 'Response status: ' . $client->responseCode() . "\n";
printf('Example of REST API call to Clarus Microservices\n');
function r = request(category, functionName, params)
# Manually edit and set key/secret here #
apiKey = ''
apiSecret = ''
restUrl = ['https://' apiKey ":" apiSecret "@" 'apieval.clarusft.com/api/rest/v1/' category '/' functionName '.csv'];
[r, status, message] = urlread (restUrl, 'get', params);
if (status!=1)
error(['Failed on ' category '/' functionName ': ' message]);
endif
end
function ca = toCellArray(csvStr)
header_row = textscan (csvStr, "%s", 1, 'delimiter','\n');
headers = strsplit(char(header_row), ",");
numCols = size(headers)(2);
format = repmat('%s ', [1 numCols]);
ca = textscan (csvStr, format, 'delimiter',',', 'endofline',"\n");
end
params = {'portfolios', 'CFTV', ...
'model', 'LCH'}
r = request('margin', 'Impact', params)
ca = toCellArray(r);
ca
Example of REST API query URL (GET)
CSV
https://apieval.clarusft.com/api/rest/v1/margin/impact.csv?model=LCH&portfolios=CFTV&
TSV
https://apieval.clarusft.com/api/rest/v1/margin/impact.tsv?model=LCH&portfolios=CFTV&
JSON
https://apieval.clarusft.com/api/rest/v1/margin/impact.json?model=LCH&portfolios=CFTV&
HTML
https://apieval.clarusft.com/api/rest/v1/margin/impact.html?model=LCH&portfolios=CFTV&
Request Body
Submit to generate...
Response
Submit to generate...
{
"portfolios" : "CFTV",
"model" : "LCH"
}