Market ShiftSetGenerator
Parameter | Description | Default | Options |
---|---|---|---|
valueDate Optional |
The value date in YYYY-MM-DD format. | ||
trades Optional |
Input trades. Can be QuickTrade, Clarus, FPML5, LCH, CME or SDR format. | If not specified then must specify either portfolios or whatifTrades parameters | |
crif Optional |
CRIF | ||
observationPeriod Optional |
Observation Period | 1M | 1W , 1M , 3M , 6M , 12M , 15M , 18M , 21M , 2Y , 30M , 3Y , 4Y , 5Y , 6Y , 7Y , 8Y , 9Y , 10Y |
obsPeriodStartDate Optional |
Observation Period StartDate | ||
obsPeriodEndDate Optional |
Observation Period EndDate | ||
returnPeriod Optional |
Return Period | 1D | 1D , 2D , 3D , 4D , 5D , 6D , 7D , 8D , 9D , 10D |
returnPeriodCalendars Optional |
Return Period Calendars | EUTA CHZU GBLO JPTO USNY | ATVI , AUME , AUSY , BEBR , CAMO , CATO , CHGE , CHZU , COBO , DEFR , DKCO , ESMA , EUTA , FIHE , FRPA , GBLO , GRAT , HKHK , HUBU , IDJA , IEDU , ISRE , ITMI , ITRO , JPTO , LULU , MXMC , MYKL , NLAM , NOOS , NZAU , NZWE , PELI , PTLI , RUMO , SEST , SGSI , SWAP , TWTA , USCH , USLA , USNY , ZAJO |
baseCurrency Optional |
Base Currency | AED , ARS , AUD , BRL , CAD , CHF , CLP , CNH , CNY , COP , CZK , DKK , EGP , EUR , GBP , GHS , HKD , HUF , IDR , ILS , INR , JPY , KRW , KZT , LBP , LKR , MXN , MYR , NGN , NOK , NZD , PEN , PHP , PKR , PLN , RUB , SAR , SEK , SGD , THB , TWD , USD , VEB , VNG , ZAR | |
marketDataType Optional |
Market Data Type | [FX] | Any , FullRevalAll , EquityIndex , FX , RateCurves , FxOptionVol , Equity , SwaptionVol , InflationCurves , ZeroCurve , DSwaptionVol , DFxOptionVol , DInflationCurve |
quoteCodeFilter Optional |
Quote Code Filter | ||
target Optional |
Target | Summary | Summary , Prices , QuoteMapping , Outliers , Missing , Returns , ReturnsOutlierSummary , ReturnsOutlierSummaryByPeriod |
outlierAlgorithm Optional |
Outlier Algorithm | DMAD100 | DMAD3 , DMAD10 , DMAD100 , TUKEY , IQR3 |
view Optional |
View | Wide | Long , Wide |
includeFxInverses Optional |
Include Fx Inverses | true | |
useSecondaryQuoteMapping Optional |
Use Secondary Quote Mapping | true | |
applyStockSplits Optional |
Apply Stock Splits | false | |
tradesOnly Optional |
Trades Only | false | |
removeOutlierReturns Optional |
Remove Outlier Returns | false | |
onlyCrifXQuotes Optional |
Only Crif X Quotes | false | |
zeroPillars Optional |
Zero Pillars | 1W,1M,3M,6M,1Y,2Y,5Y,10Y,12Y,15Y,20Y,25Y,30Y | 1W , 1M , 3M , 6M , 1Y , 2Y , 5Y , 10Y , 12Y , 15Y , 20Y , 25Y , 30Y |
fxOptionMaturities Optional |
Fx Option Maturities | ||
swaptionPillars Optional |
Swaption Pillars | ||
inflationPillars Optional |
Inflation Pillars | 1Y,2Y,3Y,4Y,5Y,7Y,10Y,12Y,15Y,20Y,25Y,30Y | 1Y , 2Y , 3Y , 4Y , 5Y , 7Y , 10Y , 12Y , 15Y , 20Y , 25Y , 30Y |
syntheticFXQuoteBase Optional |
Synthetic FX Quote Base | AED , ARS , AUD , BRL , CAD , CHF , CLP , CNH , CNY , COP , CZK , DKK , EGP , EUR , GBP , GHS , HKD , HUF , IDR , ILS , INR , JPY , KRW , KZT , LBP , LKR , MXN , MYR , NGN , NOK , NZD , PEN , PHP , PKR , PLN , RUB , SAR , SEK , SGD , THB , TWD , USD , VEB , VNG , ZAR | |
quoteMissingLookbackDays Optional |
Quote Missing Lookback Days | 7 |
import clarus response = clarus.market.shiftsetgenerator(trades='USD 10Y 100m pay 1.1%') print (response)
import com.clarusft.api.model.market.ShiftSetGeneratorRequest import com.clarusft.api.model.market.ShiftSetGeneratorResponse ApiClient clarus = ApiClient.getDefault(); ShiftSetGeneratorResponse response = clarus.request(new ShiftSetGeneratorRequest().withTrades("USD 10Y 100m pay 1.1%")); System.out.println(response);
import Clarus response = Clarus.Market.shiftsetgenerator(trades="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('market', 'ShiftSetGenerator', trades='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('market', 'ShiftSetGenerator', trades='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 = ('trades' => 'USD 10Y 100m pay 1.1%');
my $urlBase = 'https://apieval.clarusft.com/api/rest/v1/';
my $category = 'market/';
my $name = 'ShiftSetGenerator';
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 = {'trades', 'USD 10Y 100m pay 1.1%'}
r = request('market', 'ShiftSetGenerator', params)
ca = toCellArray(r);
ca
Example of REST API query URL (GET)
CSV
https://apieval.clarusft.com/api/rest/v1/market/shiftsetgenerator.csv?trades=USD 10Y 100m pay 1.1%&
TSV
https://apieval.clarusft.com/api/rest/v1/market/shiftsetgenerator.tsv?trades=USD 10Y 100m pay 1.1%&
JSON
https://apieval.clarusft.com/api/rest/v1/market/shiftsetgenerator.json?trades=USD 10Y 100m pay 1.1%&
HTML
https://apieval.clarusft.com/api/rest/v1/market/shiftsetgenerator.html?trades=USD 10Y 100m pay 1.1%&
Request Body
Submit to generate...
Response
Submit to generate...
{
"trades" : "USD 10Y 100m pay 1.1%"
}