Margin Optimiser

Optimise Initial Margin across two or more portfolios by determining trades to move from one to another portfolio which offer the greatest reduction in overall IM of the selected portfolios.

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. 2021-06-19
optimisation
Optional
Indicative optimisation runs a quicker but less accurate analysis but useful to identify potential savings. Full optimisation runs a more accurate analysis but takes longer Indicative Indicative , Full , BlockTrades
optimiseBy
Optional
By Account Account , FCM
minSaving
Optional
Minimum IM Saving Per Iteration 1000000.0
ccyFilter
Optional
CcyFilter AUD , CAD , CHF , CNY , CZK , EUR , GBP , HKD , HUF , ILS , INR , JPY , KRW , MXN , NOK , NZD , PLN , SEK , SGD , THB , USD , ZAR
import clarus

response = clarus.margin.optimiser(portfolios='FCM-2/LCHTrd,FCM-1/LCHTrd')
print (response)
import com.clarusft.api.model.margin.OptimiserRequest
import com.clarusft.api.model.margin.OptimiserResponse

ApiClient clarus = ApiClient.getDefault();
OptimiserResponse response = clarus.request(new OptimiserRequest().withPortfolios("FCM-2/LCHTrd,FCM-1/LCHTrd"));
System.out.println(response);
import Clarus

response = Clarus.Margin.optimiser(portfolios="FCM-2/LCHTrd,FCM-1/LCHTrd")
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', 'Optimiser', portfolios='FCM-2/LCHTrd,FCM-1/LCHTrd')
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', 'Optimiser', portfolios='FCM-2/LCHTrd,FCM-1/LCHTrd')
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' => 'FCM-2/LCHTrd,FCM-1/LCHTrd');

my $urlBase = 'https://apieval.clarusft.com/api/rest/v1/';
my $category = 'margin/';
my $name = 'Optimiser';
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', 'FCM-2/LCHTrd,FCM-1/LCHTrd'}

r = request('margin', 'Optimiser', params)
ca = toCellArray(r);

ca

Request Body

Submit to generate...
Response

Submit to generate...

{
  "portfolios" : "FCM-2/LCHTrd,FCM-1/LCHTrd"
}