Margin VMBuffer
Calculate the amount of Variation Margin buffer that should be maintained to cover a daily VM call at a specified confidence level.
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 | ||
whatif Optional |
Whatif 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. | 2024-09-08 | |
observatonPeriod Optional |
Observation Period of shift set to use for the historical VaR calculation | 1Y | 1Y , 2Y |
Confidence Optional |
Confidence Level to use in the historical VaR calculation | 99.0 | |
VaRLossMethod Optional |
Loss Method to use in the historical VaR calculation | VaR | VaR , ExpectedShortFall , WorstCase |
import clarus response = clarus.margin.vmbuffer(portfolios='1H') print (response)
import com.clarusft.api.model.margin.VMBufferRequest import com.clarusft.api.model.margin.VMBufferResponse ApiClient clarus = ApiClient.getDefault(); VMBufferResponse response = clarus.request(new VMBufferRequest().withPortfolios("1H")); System.out.println(response);
import Clarus response = Clarus.Margin.vmbuffer(portfolios="1H") 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', 'VMBuffer', portfolios='1H')
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', 'VMBuffer', portfolios='1H')
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' => '1H');
my $urlBase = 'https://apieval.clarusft.com/api/rest/v1/';
my $category = 'margin/';
my $name = 'VMBuffer';
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', '1H'}
r = request('margin', 'VMBuffer', params)
ca = toCellArray(r);
ca
Example of REST API query URL (GET)
CSV
https://apieval.clarusft.com/api/rest/v1/margin/vmbuffer.csv?portfolios=1H&
TSV
https://apieval.clarusft.com/api/rest/v1/margin/vmbuffer.tsv?portfolios=1H&
JSON
https://apieval.clarusft.com/api/rest/v1/margin/vmbuffer.json?portfolios=1H&
HTML
https://apieval.clarusft.com/api/rest/v1/margin/vmbuffer.html?portfolios=1H&
Request Body
Submit to generate...
Response
Submit to generate...
{
"portfolios" : "1H"
}