Value at Risk
Submit MC VaR
Value at Risk
Submit MC VaR
Submits a Value at Risk job
POST
Authorizations
Server authentication header of the form x-api-key: <api-key>, where <api-key> is your auth token
Path Parameters
Format of the portfolio data
Available options:
fpml, csv, json, xml, yaml Body
application/json
The confidence levels
The lambda decay factor for computing the exponentially weighted moving average
The number of simulated scenarios to run
Your portfolio of positions
The Monte-Carlo settings of the simulation
The number of days forward to simulate in each scenario
The number of lookback days to use for volatility calibration
The multiplier factor to apply to the calibrated volatilities