SIMM 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 | ||
asOfDate Optional |
Create the portfolio as of a specified date. | ||
valueDate Optional |
The value date in YYYY-MM-DD format. | 2024-11-03 | |
productClass Optional |
ProductClass | All | All , Commodity , Credit , Equity , RatesFX |
ccyFilter Optional |
CcyFilter | AUD , BRL , CAD , CHF , CLP , CNY , COP , CZK , EUR , GBP , HKD , HUF , ILS , INR , JPY , KRW , MXN , NOK , NZD , PLN , SEK , SGD , THB , USD , ZAR | |
since Optional |
Calculate changes since the event specified (the previous event is available in the response stats) |
import clarus response = clarus.simm.optimiser(portfolios=''BAML/Fund1') print (response)
import com.clarusft.api.model.simm.OptimiserRequest import com.clarusft.api.model.simm.OptimiserResponse ApiClient clarus = ApiClient.getDefault(); OptimiserResponse response = clarus.request(new OptimiserRequest().withPortfolios("'BAML/Fund1")); System.out.println(response);
import Clarus response = Clarus.Simm.optimiser(portfolios="'BAML/Fund1") 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('simm', 'Optimiser', portfolios=''BAML/Fund1')
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('simm', 'Optimiser', portfolios=''BAML/Fund1')
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' => ''BAML/Fund1');
my $urlBase = 'https://apieval.clarusft.com/api/rest/v1/';
my $category = 'simm/';
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', ''BAML/Fund1'}
r = request('simm', 'Optimiser', params)
ca = toCellArray(r);
ca
Example of REST API query URL (GET)
CSV
https://apieval.clarusft.com/api/rest/v1/simm/optimiser.csv?portfolios='BAML/Fund1&
TSV
https://apieval.clarusft.com/api/rest/v1/simm/optimiser.tsv?portfolios='BAML/Fund1&
JSON
https://apieval.clarusft.com/api/rest/v1/simm/optimiser.json?portfolios='BAML/Fund1&
HTML
https://apieval.clarusft.com/api/rest/v1/simm/optimiser.html?portfolios='BAML/Fund1&
Request Body
Submit to generate...
Response
Submit to generate...
{
"portfolios" : "'BAML/Fund1"
}