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POST
/
quantlib
/
portfolio
/
risk
/
contribution
Risk Contribution Analysis
curl --request POST \
  --url https://api.fincept.in/quantlib/portfolio/risk/contribution \
  --header 'Content-Type: application/json' \
  --header 'X-API-Key: <api-key>' \
  --data '
{
  "weights": [
    0.3,
    0.25,
    0.25,
    0.2
  ],
  "covariance_matrix": [
    [
      0.04,
      0.006,
      0.008,
      0.01
    ],
    [
      0.006,
      0.09,
      0.012,
      0.015
    ],
    [
      0.008,
      0.012,
      0.0625,
      0.018
    ],
    [
      0.01,
      0.015,
      0.018,
      0.16
    ]
  ]
}
'
{
  "success": true,
  "data": {
    "absolute_contribution": [
      0.0124,
      0.0186,
      0.0145,
      0.0165
    ],
    "percentage_contribution": [
      0.2,
      0.3,
      0.23,
      0.27
    ],
    "marginal_contribution": [
      0.0413,
      0.0744,
      0.058,
      0.0825
    ],
    "diversification_ratio": 1.4523,
    "effective_n_bets": 3.2456
  }
}

Authorizations

​
X-API-Key
string
header
required

API key for authentication. Get your key at https://api.fincept.in/auth/register

Body

application/json
​
weights
number[]
required

Portfolio weights (should sum to 1.0)

Example:
[0.3, 0.25, 0.25, 0.2]
​
covariance_matrix
number[][]
required

Asset covariance matrix (annualized)

Example:
[
  [0.04, 0.006, 0.008, 0.01],
  [0.006, 0.09, 0.012, 0.015],
  [0.008, 0.012, 0.0625, 0.018],
  [0.01, 0.015, 0.018, 0.16]
]

Response

Risk contribution analysis completed successfully

​
success
boolean
Example:

true

​
data
object