Skip to main content
POST
/
quantlib
/
risk
/
var
/
incremental
Calculate Incremental VaR
curl --request POST \
  --url https://api.fincept.in/quantlib/risk/var/incremental \
  --header 'Content-Type: application/json' \
  --header 'X-API-Key: <api-key>' \
  --data '
{
  "portfolio_returns": [
    0.008,
    -0.012,
    0.015,
    -0.005,
    0.009
  ],
  "new_position_returns": [
    0.025,
    -0.035,
    0.018,
    -0.008,
    0.02
  ],
  "position_weight": 0.15,
  "confidence": 0.95,
  "portfolio_value": 5000000
}
'
{
  "success": true,
  "data": {
    "incremental_var": 15250
  }
}

Authorizations

​
X-API-Key
string
header
required

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

Body

application/json
​
portfolio_returns
number[]
required

Historical returns of the existing portfolio

Example:
[0.01, -0.015, 0.008]
​
new_position_returns
number[]
required

Historical returns of the position to be added

Example:
[0.02, -0.025, 0.012]
​
position_weight
number
required

Weight of new position as fraction of total portfolio value

Required range: 0 <= x <= 1
Example:

0.1

​
confidence
number
default:0.99
Example:

0.99

​
portfolio_value
number
default:1000000
Example:

1000000

Response

Successful incremental VaR calculation

​
success
boolean
Example:

true

​
data
object