Risk VaRAttribution

Attribute VaR to specified groups e.g. currency, book, trading division, strategy etc

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. 2021-06-19
shiftSet
Optional
The set of shifts to use specified by [observation period].[holding period],[base ccy] LCH.1Y.1D.USD Clarus.1Y.10D.USD,Clarus.1Y.1D.USD, Clarus.2Y.1D.USD
VaRLossMethod
Optional
Loss Method to use in the historical VaR calculation VaR VaR , ExpectedShortFall , WorstCase
Confidence
Optional
Confidence Level to use in the historical VaR calculation 99.0
attributeBy
Optional
The trade attribute to attribute by - can be an X attribute e.g. Book, Business, Strategy Currency
import clarus

response = clarus.risk.varattribution(attributeBy='Book',portfolios='1H')
print (response)
import com.clarusft.api.model.risk.VaRAttributionRequest
import com.clarusft.api.model.risk.VaRAttributionResponse

ApiClient clarus = ApiClient.getDefault();
VaRAttributionResponse response = clarus.request(new VaRAttributionRequest().withAttributeBy("Book").withPortfolios("1H"));
System.out.println(response);
import Clarus

response = Clarus.Risk.varattribution(attributeBy="Book",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('risk', 'VaRAttribution', attributeBy='Book', 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('risk', 'VaRAttribution', attributeBy='Book', 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 = ('attributeBy' => 'Book','portfolios' => '1H');

my $urlBase = 'https://apieval.clarusft.com/api/rest/v1/';
my $category = 'risk/';
my $name = 'VaRAttribution';
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 = {'attributeBy', 'Book', ...
          'portfolios', '1H'}

r = request('risk', 'VaRAttribution', params)
ca = toCellArray(r);

ca

Request Body

Submit to generate...
Response

Submit to generate...

{
  "attributeBy" : "Book",
  "portfolios" : "1H"
}