FRTB IMA

FRTB Internal Models Approach Global Expected Shortfall

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. 2021-08-02
shiftSet
Optional
The set of shifts to use specified by [observation period].[holding period],[base ccy] Clarus.1Y.10D.USD Clarus.1Y.10D.USD,Clarus.1Y.1D.USD, Clarus.2Y.1D.USD
import clarus

response = clarus.frtb.ima(portfolios='USD 10Y 100m pay 1.1%')
print (response)
import com.clarusft.api.model.frtb.IMARequest
import com.clarusft.api.model.frtb.IMAResponse

ApiClient clarus = ApiClient.getDefault();
IMAResponse response = clarus.request(new IMARequest().withPortfolios("USD 10Y 100m pay 1.1%"));
System.out.println(response);
import Clarus

response = Clarus.Frtb.ima(portfolios="USD 10Y 100m pay 1.1%")
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('frtb', 'IMA', portfolios='USD 10Y 100m pay 1.1%')
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('frtb', 'IMA', portfolios='USD 10Y 100m pay 1.1%')
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' => 'USD 10Y 100m pay 1.1%');

my $urlBase = 'https://apieval.clarusft.com/api/rest/v1/';
my $category = 'frtb/';
my $name = 'IMA';
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', 'USD 10Y 100m pay 1.1%'}

r = request('frtb', 'IMA', params)
ca = toCellArray(r);

ca

Request Body

Submit to generate...
Response

Submit to generate...

{
  "portfolios" : "USD 10Y 100m pay 1.1%"
}