> ## Documentation Index > Fetch the complete documentation index at: https://docs.activeviam.com/llms.txt > Use this file to discover all available pages before exploring further. # Create a custom risk report definition. > Creates an organisation-visible custom definition from an accessible template report. The new name must be unique within the caller's organisation. Creation completes before the normal response envelope is returned, but that response does not contain the new definition identifier; list custom definitions after creation to obtain it. No version, ETag, or cancellation contract is exposed. ## OpenAPI ````yaml /risk-and-pricing/atoti-risk-services/apis-endpoints/openapi/openapi.mintlify.json post /api/ReportDefinition/CreateCustomReportDefinition openapi: 3.0.4 info: title: Derivitec Api 1.0 version: '1.0' servers: - url: https://api.riskportal.activeviam.com security: - oauth2: [] - apikey: [] tags: - name: AdminUser - name: AtotiReport - name: AtotiSession - name: BloombergOAuth - name: Bond - name: BondYieldCurvePage - name: BookAccess - name: Books - name: Commodity - name: Counterparties - name: Currencies - name: Equity - name: EquityDividend - name: EquityPage - name: FeatureFlag - name: Fx - name: FxPage - name: GroupAccess - name: Home - name: LegacyPosition - name: MarketData - name: MarketDataProvider - name: MarketDataProviderAccess - name: Meta - name: Notification - name: Organisation - name: PnLReport - name: PortfolioAccess - name: Portfolios - name: Position - name: PositionFilter - name: PricingEnvironment - name: PricingEnvironmentAccess - name: RateAsset - name: RateAssetPage - name: Report - name: ReportDefinition - name: ReportHistoryLauncherQuery - name: ReportLauncher - name: ReportQuery - name: ReportQueryViewUser - name: ReportRestriction - name: ReportView - name: RiskReport - name: Tradable - name: TradeBooking - name: User - name: VarReport - name: VarReportQuery - name: YieldCurvePage paths: /api/ReportDefinition/CreateCustomReportDefinition: post: tags: - ReportDefinition summary: Create a custom risk report definition. description: >- Creates an organisation-visible custom definition from an accessible template report. The new name must be unique within the caller's organisation. Creation completes before the normal response envelope is returned, but that response does not contain the new definition identifier; list custom definitions after creation to obtain it. No version, ETag, or cancellation contract is exposed. operationId: CreateCustomReportDefinition requestBody: description: >- The body containing the accessible template `ReportName`, unique `NewReportName`, and the `RiskMeasures` and `RiskMeasureColumns` for the new definition. Caller, organisation, template-definition identifier, report type, and restriction context are server-managed. content: application/json-patch+json: schema: $ref: '#/components/schemas/ApiRiskReportDefinitionCreateRequest' application/json: schema: $ref: '#/components/schemas/ApiRiskReportDefinitionCreateRequest' text/json: schema: $ref: '#/components/schemas/ApiRiskReportDefinitionCreateRequest' application/*+json: schema: $ref: '#/components/schemas/ApiRiskReportDefinitionCreateRequest' responses: '201': description: Created content: application/json: schema: $ref: '#/components/schemas/ApiRiskReportDefinitionCreateResponse' '400': description: Bad Request content: application/json: schema: $ref: '#/components/schemas/ProblemDetails' '401': description: Unauthorized '403': description: Forbidden default: description: Error content: application/json: schema: $ref: '#/components/schemas/ProblemDetails' security: - oauth2: [] - apikey: [] components: schemas: ApiRiskReportDefinitionCreateRequest: required: - $type type: object properties: report_name: type: string description: >- Organisation-scoped name of the report definition to select. The value must not be null or empty. nullable: true example: Daily risk overview new_report_name: type: string description: Name requested for the report definition. nullable: true risk_measures: type: array items: $ref: '#/components/schemas/IRiskMeasure' description: Risk measures associated with the risk report definition. nullable: true risk_measure_columns: type: array items: $ref: '#/components/schemas/ReportColumn' description: Columns selected for the risk report definition. nullable: true $type: type: string enum: - >- Derivitec.Web.Core.RiskReportDefinition.ApiRiskReportDefinitionCreateRequest, Derivitec.Web.Core additionalProperties: false description: Name, measures, and columns for creating a risk report definition. ApiRiskReportDefinitionCreateResponse: required: - $type type: object additionalProperties: false description: Response envelope for an attempt to create a risk report definition. properties: is_success: type: boolean description: >- Whether the operation completed successfully. The default is `true`; error outcomes set it to `false`. example: true error_messages: type: array items: type: string description: >- Messages explaining operation-level failures. The collection is empty by default. nullable: true $type: type: string enum: - >- Derivitec.Web.Core.RiskReportDefinition.ApiRiskReportDefinitionCreateResponse, Derivitec.Web.Core ProblemDetails: type: object properties: type: type: string nullable: true title: type: string nullable: true status: type: integer format: int32 nullable: true detail: type: string nullable: true instance: type: string nullable: true additionalProperties: false IRiskMeasure: description: >- Common role for a named risk measure exposed through calculation and report contracts. discriminator: propertyName: $type mapping: Derivitec.Web.Core.RiskEngine.BorrowCurveDelta, Derivitec.Web.Core: '#/components/schemas/BorrowCurveDelta' Derivitec.Web.Core.RiskEngine.BorrowCurveShock, Derivitec.Web.Core: '#/components/schemas/BorrowCurveShock' Derivitec.Web.Core.RiskEngine.CmdtyDelta, Derivitec.Web.Core: '#/components/schemas/CmdtyDelta' Derivitec.Web.Core.RiskEngine.CmdtyGamma, Derivitec.Web.Core: '#/components/schemas/CmdtyGamma' Derivitec.Web.Core.RiskEngine.CmdtyRealisedVol, Derivitec.Web.Core: '#/components/schemas/CmdtyRealisedVol' Derivitec.Web.Core.RiskEngine.CmdtyRiskMeasure, Derivitec.Web.Core: '#/components/schemas/CmdtyRiskMeasureMintlifyShape' Derivitec.Web.Core.RiskEngine.CmdtySpotShock, Derivitec.Web.Core: '#/components/schemas/CmdtySpotShock' Derivitec.Web.Core.RiskEngine.CmdtyVega, Derivitec.Web.Core: '#/components/schemas/CmdtyVega' Derivitec.Web.Core.RiskEngine.CreditDelta, Derivitec.Web.Core: '#/components/schemas/CreditDelta' Derivitec.Web.Core.RiskEngine.CreditGamma, Derivitec.Web.Core: '#/components/schemas/CreditGamma' Derivitec.Web.Core.RiskEngine.CreditParallelShock, Derivitec.Web.Core: '#/components/schemas/CreditParallelShock' Derivitec.Web.Core.RiskEngine.CreditRiskMeasure, Derivitec.Web.Core: '#/components/schemas/CreditRiskMeasureMintlifyShape' Derivitec.Web.Core.RiskEngine.CreditSpread, Derivitec.Web.Core: '#/components/schemas/CreditSpread' Derivitec.Web.Core.RiskEngine.CreditVega, Derivitec.Web.Core: '#/components/schemas/CreditVega' Derivitec.Web.Core.RiskEngine.DividendDelta, Derivitec.Web.Core: '#/components/schemas/DividendDelta' Derivitec.Web.Core.RiskEngine.DividendShock, Derivitec.Web.Core: '#/components/schemas/DividendShock' Derivitec.Web.Core.RiskEngine.Duration, Derivitec.Web.Core: '#/components/schemas/Duration' Derivitec.Web.Core.RiskEngine.EqCorrelationDelta, Derivitec.Web.Core: '#/components/schemas/EqCorrelationDelta' Derivitec.Web.Core.RiskEngine.EqDelta, Derivitec.Web.Core: '#/components/schemas/EqDelta' Derivitec.Web.Core.RiskEngine.EqDeltaShares, Derivitec.Web.Core: '#/components/schemas/EqDeltaShares' Derivitec.Web.Core.RiskEngine.EqFairVolDelta, Derivitec.Web.Core: '#/components/schemas/EqFairVolDelta' Derivitec.Web.Core.RiskEngine.EqFairVolGamma, Derivitec.Web.Core: '#/components/schemas/EqFairVolGamma' Derivitec.Web.Core.RiskEngine.EqGamma, Derivitec.Web.Core: '#/components/schemas/EqGamma' Derivitec.Web.Core.RiskEngine.EqRealisedVol, Derivitec.Web.Core: '#/components/schemas/EqRealisedVol' Derivitec.Web.Core.RiskEngine.EqRiskMeasure, Derivitec.Web.Core: '#/components/schemas/EqRiskMeasureMintlifyShape' Derivitec.Web.Core.RiskEngine.EqSpotShock, Derivitec.Web.Core: '#/components/schemas/EqSpotShock' Derivitec.Web.Core.RiskEngine.EqVanna, Derivitec.Web.Core: '#/components/schemas/EqVanna' Derivitec.Web.Core.RiskEngine.EqVega, Derivitec.Web.Core: '#/components/schemas/EqVega' Derivitec.Web.Core.RiskEngine.EqVolGamma, Derivitec.Web.Core: '#/components/schemas/EqVolGamma' Derivitec.Web.Core.RiskEngine.EqVolIndexDeltaShares, Derivitec.Web.Core: '#/components/schemas/EqVolIndexDeltaShares' Derivitec.Web.Core.RiskEngine.EqVolIndexGammaShares, Derivitec.Web.Core: '#/components/schemas/EqVolIndexGammaShares' Derivitec.Web.Core.RiskEngine.EqVolIndexVega, Derivitec.Web.Core: '#/components/schemas/EqVolIndexVega' Derivitec.Web.Core.RiskEngine.EqVolSkewDelta, Derivitec.Web.Core: '#/components/schemas/EqVolSkewDelta' Derivitec.Web.Core.RiskEngine.EqVolSkewGamma, Derivitec.Web.Core: '#/components/schemas/EqVolSkewGamma' Derivitec.Web.Core.RiskEngine.FxDelta, Derivitec.Web.Core: '#/components/schemas/FxDelta' Derivitec.Web.Core.RiskEngine.FxDeltaByCross, Derivitec.Web.Core: '#/components/schemas/FxDeltaByCross' Derivitec.Web.Core.RiskEngine.FxGamma, Derivitec.Web.Core: '#/components/schemas/FxGamma' Derivitec.Web.Core.RiskEngine.FxGammaByCross, Derivitec.Web.Core: '#/components/schemas/FxGammaByCross' Derivitec.Web.Core.RiskEngine.FxRealisedVol, Derivitec.Web.Core: '#/components/schemas/FxRealisedVol' Derivitec.Web.Core.RiskEngine.FxRiskMeasure, Derivitec.Web.Core: '#/components/schemas/FxRiskMeasureMintlifyShape' Derivitec.Web.Core.RiskEngine.FxSpotShock, Derivitec.Web.Core: '#/components/schemas/FxSpotShock' Derivitec.Web.Core.RiskEngine.FxSpotVolShock, Derivitec.Web.Core: '#/components/schemas/FxSpotVolShock' Derivitec.Web.Core.RiskEngine.FxVanna, Derivitec.Web.Core: '#/components/schemas/FxVanna' Derivitec.Web.Core.RiskEngine.FxVega, Derivitec.Web.Core: '#/components/schemas/FxVega' Derivitec.Web.Core.RiskEngine.FxVolGamma, Derivitec.Web.Core: '#/components/schemas/FxVolGamma' Derivitec.Web.Core.RiskEngine.FxVolShock, Derivitec.Web.Core: '#/components/schemas/FxVolShock' Derivitec.Web.Core.RiskEngine.IrBasisShock, Derivitec.Web.Core: '#/components/schemas/IrBasisShock' Derivitec.Web.Core.RiskEngine.IrDelta, Derivitec.Web.Core: '#/components/schemas/IrDelta' Derivitec.Web.Core.RiskEngine.IrGamma, Derivitec.Web.Core: '#/components/schemas/IrGamma' Derivitec.Web.Core.RiskEngine.IrParallelShock, Derivitec.Web.Core: '#/components/schemas/IrParallelShock' Derivitec.Web.Core.RiskEngine.IrRiskMeasure, Derivitec.Web.Core: '#/components/schemas/IrRiskMeasureMintlifyShape' Derivitec.Web.Core.RiskEngine.IrVega, Derivitec.Web.Core: '#/components/schemas/IrVega' Derivitec.Web.Core.RiskEngine.MarketDataErrorReportingMeasure, Derivitec.Web.Core: '#/components/schemas/MarketDataErrorReportingMeasure' Derivitec.Web.Core.RiskEngine.Npv, Derivitec.Web.Core: '#/components/schemas/Npv' Derivitec.Web.Core.RiskEngine.PricingDetail, Derivitec.Web.Core: '#/components/schemas/PricingDetail' Derivitec.Web.Core.RiskEngine.RealisedVolMeasure, Derivitec.Web.Core: '#/components/schemas/RealisedVolMeasureMintlifyShape' Derivitec.Web.Core.RiskEngine.ReferenceVol, Derivitec.Web.Core: '#/components/schemas/ReferenceVol' Derivitec.Web.Core.RiskEngine.Rho, Derivitec.Web.Core: '#/components/schemas/Rho' Derivitec.Web.Core.RiskEngine.RiskMeasure, Derivitec.Web.Core: '#/components/schemas/RiskMeasureMintlifyShape' Derivitec.Web.Core.RiskEngine.ScenarioImpact, Derivitec.Web.Core: '#/components/schemas/ScenarioImpact' Derivitec.Web.Core.RiskEngine.ScenarioRiskImpact, Derivitec.Web.Core: '#/components/schemas/ScenarioRiskImpact' Derivitec.Web.Core.RiskEngine.StoredScenario, Derivitec.Web.Core: '#/components/schemas/StoredScenario' Derivitec.Web.Core.RiskEngine.Theta, Derivitec.Web.Core: '#/components/schemas/Theta' Derivitec.Web.Core.RiskEngine.VegaNotional, Derivitec.Web.Core: '#/components/schemas/VegaNotional' Derivitec.Web.Core.Interfaces.ICmdtyRiskMeasure, Derivitec.Web.Core: '#/components/schemas/ICmdtyRiskMeasureMintlifyShape' Derivitec.Web.Core.Interfaces.IEqRiskMeasure, Derivitec.Web.Core: '#/components/schemas/IEqRiskMeasureMintlifyShape' Derivitec.Web.Core.Interfaces.IFxRiskMeasure, Derivitec.Web.Core: '#/components/schemas/IFxRiskMeasureMintlifyShape' Derivitec.Web.Core.Interfaces.IIrRiskMeasure, Derivitec.Web.Core: '#/components/schemas/IIrRiskMeasureMintlifyShape' Derivitec.Web.Core.Interfaces.IRiskMeasure, Derivitec.Web.Core: '#/components/schemas/IRiskMeasureMintlifyShape' oneOf: - $ref: '#/components/schemas/BorrowCurveDelta' - $ref: '#/components/schemas/BorrowCurveShock' - $ref: '#/components/schemas/CmdtyDelta' - $ref: '#/components/schemas/CmdtyGamma' - $ref: '#/components/schemas/CmdtyRealisedVol' - $ref: '#/components/schemas/CmdtyRiskMeasureMintlifyShape' - $ref: '#/components/schemas/CmdtySpotShock' - $ref: '#/components/schemas/CmdtyVega' - $ref: '#/components/schemas/CreditDelta' - $ref: '#/components/schemas/CreditGamma' - $ref: '#/components/schemas/CreditParallelShock' - $ref: '#/components/schemas/CreditRiskMeasureMintlifyShape' - $ref: '#/components/schemas/CreditSpread' - $ref: '#/components/schemas/CreditVega' - $ref: '#/components/schemas/DividendDelta' - $ref: '#/components/schemas/DividendShock' - $ref: '#/components/schemas/Duration' - $ref: '#/components/schemas/EqCorrelationDelta' - $ref: '#/components/schemas/EqDelta' - $ref: '#/components/schemas/EqDeltaShares' - $ref: '#/components/schemas/EqFairVolDelta' - $ref: '#/components/schemas/EqFairVolGamma' - $ref: '#/components/schemas/EqGamma' - $ref: '#/components/schemas/EqRealisedVol' - $ref: '#/components/schemas/EqRiskMeasureMintlifyShape' - $ref: '#/components/schemas/EqSpotShock' - $ref: '#/components/schemas/EqVanna' - $ref: '#/components/schemas/EqVega' - $ref: '#/components/schemas/EqVolGamma' - $ref: '#/components/schemas/EqVolIndexDeltaShares' - $ref: '#/components/schemas/EqVolIndexGammaShares' - $ref: '#/components/schemas/EqVolIndexVega' - $ref: '#/components/schemas/EqVolSkewDelta' - $ref: '#/components/schemas/EqVolSkewGamma' - $ref: '#/components/schemas/FxDelta' - $ref: '#/components/schemas/FxDeltaByCross' - $ref: '#/components/schemas/FxGamma' - $ref: '#/components/schemas/FxGammaByCross' - $ref: '#/components/schemas/FxRealisedVol' - $ref: '#/components/schemas/FxRiskMeasureMintlifyShape' - $ref: '#/components/schemas/FxSpotShock' - $ref: '#/components/schemas/FxSpotVolShock' - $ref: '#/components/schemas/FxVanna' - $ref: '#/components/schemas/FxVega' - $ref: '#/components/schemas/FxVolGamma' - $ref: '#/components/schemas/FxVolShock' - $ref: '#/components/schemas/IrBasisShock' - $ref: '#/components/schemas/IrDelta' - $ref: '#/components/schemas/IrGamma' - $ref: '#/components/schemas/IrParallelShock' - $ref: '#/components/schemas/IrRiskMeasureMintlifyShape' - $ref: '#/components/schemas/IrVega' - $ref: '#/components/schemas/MarketDataErrorReportingMeasure' - $ref: '#/components/schemas/Npv' - $ref: '#/components/schemas/PricingDetail' - $ref: '#/components/schemas/RealisedVolMeasureMintlifyShape' - $ref: '#/components/schemas/ReferenceVol' - $ref: '#/components/schemas/Rho' - $ref: '#/components/schemas/RiskMeasureMintlifyShape' - $ref: '#/components/schemas/ScenarioImpact' - $ref: '#/components/schemas/ScenarioRiskImpact' - $ref: '#/components/schemas/StoredScenario' - $ref: '#/components/schemas/Theta' - $ref: '#/components/schemas/VegaNotional' - $ref: '#/components/schemas/ICmdtyRiskMeasureMintlifyShape' - $ref: '#/components/schemas/IEqRiskMeasureMintlifyShape' - $ref: '#/components/schemas/IFxRiskMeasureMintlifyShape' - $ref: '#/components/schemas/IIrRiskMeasureMintlifyShape' - $ref: '#/components/schemas/IRiskMeasureMintlifyShape' ReportColumn: required: - $type type: object properties: display_name: type: string description: Display label for this report-definition column. nullable: true description: type: string description: Description of this report-definition column. nullable: true risk_measure: $ref: '#/components/schemas/IRiskMeasure' $type: type: string enum: - Derivitec.Web.Core.Reports.ReportColumn, Derivitec.Web.Core additionalProperties: false description: Column made available by a report definition. BorrowCurveDelta: required: - $type type: object properties: risk_measure_id_stored: type: string description: >- Optional stored measure identifier used to preserve an explicit identifier for this measure definition. nullable: true readOnly: true tenors: type: array items: type: string description: Gets the list of tenors nullable: true shock_size: type: number description: The shock size format: double use_proportional_shocks: type: boolean description: Gets the proportional shock flag. use_forward_rate_bumps: type: boolean description: Gets the forward rate bump flag. use_contract_currency: type: boolean description: >- If true the risk is reported in the contract currency; otherwise in the reporting currency $type: type: string enum: - Derivitec.Web.Core.RiskEngine.BorrowCurveDelta, Derivitec.Web.Core additionalProperties: false description: Class BorrowCurveDelta. BorrowCurveShock: required: - $type type: object properties: risk_measure_id_stored: type: string description: >- Optional stored measure identifier used to preserve an explicit identifier for this measure definition. nullable: true readOnly: true use_contract_currency: type: boolean description: >- If true the risk is reported in the contract currency; otherwise in the reporting currency readOnly: true vol_surface_spot_model: enum: - sticky_strike - sticky_delta - sticky_smile_ratio type: string description: Gets the vol surface spot model. readOnly: true is_default_vol_surface_spot_model: type: boolean description: True for sticky delta. readOnly: true shock_size: type: number description: The shock size format: double use_proportional_shocks: type: boolean description: Gets the proportional shock flag. use_forward_rate_bumps: type: boolean description: Gets the forward rate bump flag. $type: type: string enum: - Derivitec.Web.Core.RiskEngine.BorrowCurveShock, Derivitec.Web.Core additionalProperties: false description: Class BorrowCurveShock. CmdtyDelta: required: - $type type: object properties: risk_measure_id_stored: type: string description: >- Optional stored measure identifier used to preserve an explicit identifier for this measure definition. nullable: true readOnly: true shock_size: type: number description: The shock size. format: double sticky_smile_ratio: type: number description: Gets the sticky smile ratio format: double use_contract_currency: type: boolean description: >- If true the risk is reported in the contract currency; otherwise in the reporting currency vol_surface_spot_model: enum: - sticky_strike - sticky_delta - sticky_smile_ratio type: string description: Gets the vol surface spot model. is_default_vol_surface_spot_model: type: boolean description: True for sticky delta. readOnly: true $type: type: string enum: - Derivitec.Web.Core.RiskEngine.CmdtyDelta, Derivitec.Web.Core additionalProperties: false description: The commodity delta delta. CmdtyGamma: required: - $type type: object properties: risk_measure_id_stored: type: string description: >- Optional stored measure identifier used to preserve an explicit identifier for this measure definition. nullable: true readOnly: true shock_size: type: number description: The shock size. format: double sticky_smile_ratio: type: number description: Gets the sticky smile ratio format: double vol_surface_spot_model: enum: - sticky_strike - sticky_delta - sticky_smile_ratio type: string description: Gets the vol surface spot model. use_contract_currency: type: boolean description: >- If true the risk is reported in the contract currency; otherwise in the reporting currency is_default_vol_surface_spot_model: type: boolean description: True for sticky delta. readOnly: true $type: type: string enum: - Derivitec.Web.Core.RiskEngine.CmdtyGamma, Derivitec.Web.Core additionalProperties: false description: Class commodity gamma. CmdtyRealisedVol: required: - $type type: object additionalProperties: false description: Class CmdtyRealisedVol. properties: risk_measure_id_stored: type: string description: >- Optional stored measure identifier used to preserve an explicit identifier for this measure definition. nullable: true readOnly: true lookback_window: type: integer description: The lookback window length. format: int32 readOnly: true use_percentage_points: type: boolean description: >- If set true realised vols are expressed in percentage points, otherwise they are expressed in reporting ccy units by scaling with spot. readOnly: true decay_period: type: integer description: The exponential decay period used to determine weights. format: int32 readOnly: true $type: type: string enum: - Derivitec.Web.Core.RiskEngine.CmdtyRealisedVol, Derivitec.Web.Core CmdtyRiskMeasureMintlifyShape: required: - $type type: object additionalProperties: false description: The commodity risk measure. properties: risk_measure_id_stored: type: string description: >- Optional stored measure identifier used to preserve an explicit identifier for this measure definition. nullable: true readOnly: true $type: type: string enum: - Derivitec.Web.Core.RiskEngine.CmdtyRiskMeasure, Derivitec.Web.Core CmdtySpotShock: required: - $type type: object properties: risk_measure_id_stored: type: string description: >- Optional stored measure identifier used to preserve an explicit identifier for this measure definition. nullable: true readOnly: true use_contract_currency: type: boolean description: >- If true the risk is reported in the contract currency; otherwise in the reporting currency calculate_price_changes: type: boolean description: >- Set to true to calculate price *changes*. Otherwise we calculate prices. shock_size: type: number description: Gets or sets the shock size. format: double vol_surface_spot_model: enum: - sticky_strike - sticky_delta - sticky_smile_ratio type: string description: Gets the vol surface spot model. sticky_smile_ratio: type: number description: Gets or sets the sticky smile ratio. format: double $type: type: string enum: - Derivitec.Web.Core.RiskEngine.CmdtySpotShock, Derivitec.Web.Core additionalProperties: false description: The commodity spot risk. CmdtyVega: required: - $type type: object properties: risk_measure_id_stored: type: string description: >- Optional stored measure identifier used to preserve an explicit identifier for this measure definition. nullable: true readOnly: true shock_size: type: number description: The shock size. format: double $type: type: string enum: - Derivitec.Web.Core.RiskEngine.CmdtyVega, Derivitec.Web.Core additionalProperties: false description: The commodity vega class. CreditDelta: required: - $type type: object properties: risk_measure_id_stored: type: string description: >- Optional stored measure identifier used to preserve an explicit identifier for this measure definition. nullable: true readOnly: true is_spread_based: type: boolean description: Gets the shock size shock_size: type: number description: The shock size. format: double $type: type: string enum: - Derivitec.Web.Core.RiskEngine.CreditDelta, Derivitec.Web.Core additionalProperties: false description: The credit delta. CreditGamma: required: - $type type: object properties: risk_measure_id_stored: type: string description: >- Optional stored measure identifier used to preserve an explicit identifier for this measure definition. nullable: true readOnly: true is_spread_based: type: boolean description: Gets the shock size shock_size: type: number description: The shock size. format: double $type: type: string enum: - Derivitec.Web.Core.RiskEngine.CreditGamma, Derivitec.Web.Core additionalProperties: false description: The credit gamma CreditParallelShock: required: - $type type: object properties: risk_measure_id_stored: type: string description: >- Optional stored measure identifier used to preserve an explicit identifier for this measure definition. nullable: true readOnly: true shock_size: type: number description: The shock size. format: double use_contract_currency: type: boolean description: >- If true the risk is reported in the contract currency; otherwise in the reporting currency $type: type: string enum: - >- Derivitec.Web.Core.RiskEngine.CreditParallelShock, Derivitec.Web.Core additionalProperties: false description: The CreditParallelShock. CreditRiskMeasureMintlifyShape: required: - $type type: object additionalProperties: false description: The credit risk measure. properties: risk_measure_id_stored: type: string description: >- Optional stored measure identifier used to preserve an explicit identifier for this measure definition. nullable: true readOnly: true $type: type: string enum: - >- Derivitec.Web.Core.RiskEngine.CreditRiskMeasure, Derivitec.Web.Core CreditSpread: required: - $type type: object properties: risk_measure_id_stored: type: string description: >- Optional stored measure identifier used to preserve an explicit identifier for this measure definition. nullable: true readOnly: true reference_bond_yield_curve_id: type: string description: >- The reference bond yield curve id (optional). If populated all credit spreads are measured against this yield curve nullable: true use_discount_curve_as_reference_curve: type: boolean description: >- Set to true if credit spreads should be measured relative to the discount rate in the same currency as the bond $type: type: string enum: - Derivitec.Web.Core.RiskEngine.CreditSpread, Derivitec.Web.Core additionalProperties: false CreditVega: required: - $type type: object properties: risk_measure_id_stored: type: string description: >- Optional stored measure identifier used to preserve an explicit identifier for this measure definition. nullable: true readOnly: true shock_size: type: number description: The shock size. format: double $type: type: string enum: - Derivitec.Web.Core.RiskEngine.CreditVega, Derivitec.Web.Core additionalProperties: false description: The credit vega. DividendDelta: required: - $type type: object properties: risk_measure_id_stored: type: string description: >- Optional stored measure identifier used to preserve an explicit identifier for this measure definition. nullable: true readOnly: true use_contract_currency: type: boolean description: >- If true the risk is reported in the contract currency; otherwise in the reporting currency readOnly: true vol_surface_spot_model: enum: - sticky_strike - sticky_delta - sticky_smile_ratio type: string description: Gets the vol surface spot model. readOnly: true is_default_vol_surface_spot_model: type: boolean description: True for sticky delta. readOnly: true shock_size: type: number description: Gets the shock size format: double is_all_in_rate_shock: type: boolean description: Gets the all in rate shock flag tenors: type: array items: type: string description: Gets the list of tenors nullable: true $type: type: string enum: - Derivitec.Web.Core.RiskEngine.DividendDelta, Derivitec.Web.Core additionalProperties: false description: Class DividendDelta. DividendShock: required: - $type type: object properties: risk_measure_id_stored: type: string description: >- Optional stored measure identifier used to preserve an explicit identifier for this measure definition. nullable: true readOnly: true use_contract_currency: type: boolean description: >- If true the risk is reported in the contract currency; otherwise in the reporting currency readOnly: true vol_surface_spot_model: enum: - sticky_strike - sticky_delta - sticky_smile_ratio type: string description: Gets the vol surface spot model. readOnly: true is_default_vol_surface_spot_model: type: boolean description: True for sticky delta. readOnly: true shock_size: type: number description: The shock size format: double all_in_rate_shock_size: type: number description: The all in rate shock size format: double $type: type: string enum: - Derivitec.Web.Core.RiskEngine.DividendShock, Derivitec.Web.Core additionalProperties: false description: Class IrDelta. Duration: required: - $type type: object properties: risk_measure_id_stored: type: string description: >- Optional stored measure identifier used to preserve an explicit identifier for this measure definition. nullable: true readOnly: true shock_size: type: number description: Gets or sets the shock size. format: double $type: type: string enum: - Derivitec.Web.Core.RiskEngine.Duration, Derivitec.Web.Core additionalProperties: false description: The rho. EqCorrelationDelta: required: - $type type: object properties: risk_measure_id_stored: type: string description: >- Optional stored measure identifier used to preserve an explicit identifier for this measure definition. nullable: true readOnly: true shock_size: type: number description: Gets the shock size format: double use_contract_currency: type: boolean description: >- If true the risk is reported in the contract currency; otherwise in the reporting currency $type: type: string enum: - >- Derivitec.Web.Core.RiskEngine.EqCorrelationDelta, Derivitec.Web.Core additionalProperties: false description: Class EqDelta. EqDelta: required: - $type type: object properties: risk_measure_id_stored: type: string description: >- Optional stored measure identifier used to preserve an explicit identifier for this measure definition. nullable: true readOnly: true use_contract_currency: type: boolean description: >- If true the risk is reported in the contract currency; otherwise in the reporting currency readOnly: true vol_surface_spot_model: enum: - sticky_strike - sticky_delta - sticky_smile_ratio type: string description: Gets the vol surface spot model. readOnly: true is_default_vol_surface_spot_model: type: boolean description: True for sticky delta. readOnly: true shock_size: type: number description: Gets the shock size format: double sticky_smile_ratio: type: number description: Gets the sticky smile ratio format: double $type: type: string enum: - Derivitec.Web.Core.RiskEngine.EqDelta, Derivitec.Web.Core additionalProperties: false description: Class EqDelta. EqDeltaShares: required: - $type type: object properties: risk_measure_id_stored: type: string description: >- Optional stored measure identifier used to preserve an explicit identifier for this measure definition. nullable: true readOnly: true use_contract_currency: type: boolean description: >- If true the risk is reported in the contract currency; otherwise in the reporting currency readOnly: true vol_surface_spot_model: enum: - sticky_strike - sticky_delta - sticky_smile_ratio type: string description: Gets the vol surface spot model. readOnly: true is_default_vol_surface_spot_model: type: boolean description: True for sticky delta. readOnly: true shock_size: type: number description: The shock size format: double $type: type: string enum: - Derivitec.Web.Core.RiskEngine.EqDeltaShares, Derivitec.Web.Core additionalProperties: false description: Class EqDeltaShares. EqFairVolDelta: required: - $type type: object properties: risk_measure_id_stored: type: string description: >- Optional stored measure identifier used to preserve an explicit identifier for this measure definition. nullable: true readOnly: true shock_size: type: number description: The shock size format: double $type: type: string enum: - Derivitec.Web.Core.RiskEngine.EqFairVolDelta, Derivitec.Web.Core additionalProperties: false description: Class EqFairVolDelta. EqFairVolGamma: required: - $type type: object properties: risk_measure_id_stored: type: string description: >- Optional stored measure identifier used to preserve an explicit identifier for this measure definition. nullable: true readOnly: true shock_size: type: number description: The shock size format: double $type: type: string enum: - Derivitec.Web.Core.RiskEngine.EqFairVolGamma, Derivitec.Web.Core additionalProperties: false description: Class EqVolIndexGammaShares. EqGamma: required: - $type type: object properties: risk_measure_id_stored: type: string description: >- Optional stored measure identifier used to preserve an explicit identifier for this measure definition. nullable: true readOnly: true use_contract_currency: type: boolean description: >- If true the risk is reported in the contract currency; otherwise in the reporting currency readOnly: true vol_surface_spot_model: enum: - sticky_strike - sticky_delta - sticky_smile_ratio type: string description: Gets the vol surface spot model. readOnly: true is_default_vol_surface_spot_model: type: boolean description: True for sticky delta. readOnly: true shock_size: type: number description: Gets the shock size format: double sticky_smile_ratio: type: number description: Gets the sticky smile ratio format: double $type: type: string enum: - Derivitec.Web.Core.RiskEngine.EqGamma, Derivitec.Web.Core additionalProperties: false description: Class EqGamma. EqRealisedVol: required: - $type type: object additionalProperties: false description: Class EqRealisedVol. properties: risk_measure_id_stored: type: string description: >- Optional stored measure identifier used to preserve an explicit identifier for this measure definition. nullable: true readOnly: true lookback_window: type: integer description: The lookback window length. format: int32 readOnly: true use_percentage_points: type: boolean description: >- If set true realised vols are expressed in percentage points, otherwise they are expressed in reporting ccy units by scaling with spot. readOnly: true decay_period: type: integer description: The exponential decay period used to determine weights. format: int32 readOnly: true $type: type: string enum: - Derivitec.Web.Core.RiskEngine.EqRealisedVol, Derivitec.Web.Core EqRiskMeasureMintlifyShape: required: - $type type: object properties: risk_measure_id_stored: type: string description: >- Optional stored measure identifier used to preserve an explicit identifier for this measure definition. nullable: true readOnly: true use_contract_currency: type: boolean description: >- If true the risk is reported in the contract currency; otherwise in the reporting currency readOnly: true vol_surface_spot_model: enum: - sticky_strike - sticky_delta - sticky_smile_ratio type: string description: Gets the vol surface spot model. readOnly: true is_default_vol_surface_spot_model: type: boolean description: True for sticky delta. readOnly: true $type: type: string enum: - Derivitec.Web.Core.RiskEngine.EqRiskMeasure, Derivitec.Web.Core additionalProperties: false description: The risk measure. EqSpotShock: required: - $type type: object properties: risk_measure_id_stored: type: string description: >- Optional stored measure identifier used to preserve an explicit identifier for this measure definition. nullable: true readOnly: true use_contract_currency: type: boolean description: >- If true the risk is reported in the contract currency; otherwise in the reporting currency readOnly: true vol_surface_spot_model: enum: - sticky_strike - sticky_delta - sticky_smile_ratio type: string description: Gets the vol surface spot model. readOnly: true is_default_vol_surface_spot_model: type: boolean description: True for sticky delta. readOnly: true shock_size: type: number description: Gets or sets the shock size. format: double sticky_smile_ratio: type: number description: Gets or sets the sticky smile ratio. format: double $type: type: string enum: - Derivitec.Web.Core.RiskEngine.EqSpotShock, Derivitec.Web.Core additionalProperties: false description: The equity spot risk. EqVanna: required: - $type type: object properties: risk_measure_id_stored: type: string description: >- Optional stored measure identifier used to preserve an explicit identifier for this measure definition. nullable: true readOnly: true use_contract_currency: type: boolean description: >- If true the risk is reported in the contract currency; otherwise in the reporting currency readOnly: true vol_surface_spot_model: enum: - sticky_strike - sticky_delta - sticky_smile_ratio type: string description: Gets the vol surface spot model. readOnly: true is_default_vol_surface_spot_model: type: boolean description: True for sticky delta. readOnly: true shock_size: type: number description: The shock size format: double use_proportional_vol_bumps: type: boolean description: Gets the use proportional vol bumps flag. use_parallel_shift: type: boolean description: Gets the use parallel shift flag. shock_equity_vol_indices: type: boolean description: Gets the shock equity vol indices flag. sticky_smile_ratio: type: number description: Gets the sticky smile ratio format: double $type: type: string enum: - Derivitec.Web.Core.RiskEngine.EqVanna, Derivitec.Web.Core additionalProperties: false description: Class EqVanna. EqVega: required: - $type type: object properties: risk_measure_id_stored: type: string description: >- Optional stored measure identifier used to preserve an explicit identifier for this measure definition. nullable: true readOnly: true use_contract_currency: type: boolean description: >- If true the risk is reported in the contract currency; otherwise in the reporting currency readOnly: true vol_surface_spot_model: enum: - sticky_strike - sticky_delta - sticky_smile_ratio type: string description: Gets the vol surface spot model. readOnly: true is_default_vol_surface_spot_model: type: boolean description: True for sticky delta. readOnly: true shock_size: type: number description: The shock size format: double use_proportional_vol_bumps: type: boolean description: Gets the use proportional vol bumps flag. use_parallel_shift: type: boolean description: Gets the use parallel shift flag. shock_equity_vol_indices: type: boolean description: Gets the shock equity vol indices flag. tenors: type: array items: type: string description: Gets the list of tenors nullable: true $type: type: string enum: - Derivitec.Web.Core.RiskEngine.EqVega, Derivitec.Web.Core additionalProperties: false description: Class EqVega. EqVolGamma: required: - $type type: object properties: risk_measure_id_stored: type: string description: >- Optional stored measure identifier used to preserve an explicit identifier for this measure definition. nullable: true readOnly: true use_contract_currency: type: boolean description: >- If true the risk is reported in the contract currency; otherwise in the reporting currency readOnly: true vol_surface_spot_model: enum: - sticky_strike - sticky_delta - sticky_smile_ratio type: string description: Gets the vol surface spot model. readOnly: true is_default_vol_surface_spot_model: type: boolean description: True for sticky delta. readOnly: true shock_size: type: number description: The shock size format: double use_proportional_vol_bumps: type: boolean description: Gets the use proportional vol bumps flag. use_parallel_shift: type: boolean description: Gets the use parallel shift flag. shock_equity_vol_indices: type: boolean description: Gets the shock equity vol indices flag. $type: type: string enum: - Derivitec.Web.Core.RiskEngine.EqVolGamma, Derivitec.Web.Core additionalProperties: false description: Class EqVolGamma. EqVolIndexDeltaShares: required: - $type type: object properties: risk_measure_id_stored: type: string description: >- Optional stored measure identifier used to preserve an explicit identifier for this measure definition. nullable: true readOnly: true shock_size: type: number description: The shock size format: double vol_surface_spot_model: enum: - sticky_strike - sticky_delta type: string description: Gets the vol surface spot model. $type: type: string enum: - >- Derivitec.Web.Core.RiskEngine.EqVolIndexDeltaShares, Derivitec.Web.Core additionalProperties: false description: Class EqVolIndexDeltaShares. EqVolIndexGammaShares: required: - $type type: object properties: risk_measure_id_stored: type: string description: >- Optional stored measure identifier used to preserve an explicit identifier for this measure definition. nullable: true readOnly: true shock_size: type: number description: The shock size format: double vol_surface_spot_model: enum: - sticky_strike - sticky_delta type: string description: Gets the vol surface spot model. $type: type: string enum: - >- Derivitec.Web.Core.RiskEngine.EqVolIndexGammaShares, Derivitec.Web.Core additionalProperties: false description: Class EqVolIndexGammaShares. EqVolIndexVega: required: - $type type: object properties: risk_measure_id_stored: type: string description: >- Optional stored measure identifier used to preserve an explicit identifier for this measure definition. nullable: true readOnly: true shock_size: type: number description: The shock size format: double use_contract_currency: type: boolean description: >- If true the risk is reported in the contract currency; otherwise in the reporting currency $type: type: string enum: - Derivitec.Web.Core.RiskEngine.EqVolIndexVega, Derivitec.Web.Core additionalProperties: false description: Class EqVolIndexVega. EqVolSkewDelta: required: - $type type: object properties: risk_measure_id_stored: type: string description: >- Optional stored measure identifier used to preserve an explicit identifier for this measure definition. nullable: true readOnly: true shock_size: type: number description: The shock size format: double shock_equity_vol_indices: type: boolean description: Gets the shock equity vol indices flag. use_contract_currency: type: boolean description: >- If true the risk is reported in the contract currency; otherwise in the reporting currency $type: type: string enum: - Derivitec.Web.Core.RiskEngine.EqVolSkewDelta, Derivitec.Web.Core additionalProperties: false EqVolSkewGamma: required: - $type type: object properties: risk_measure_id_stored: type: string description: >- Optional stored measure identifier used to preserve an explicit identifier for this measure definition. nullable: true readOnly: true shock_size: type: number description: The shock size format: double shock_equity_vol_indices: type: boolean description: Gets the shock equity vol indices flag. use_contract_currency: type: boolean description: >- If true the risk is reported in the contract currency; otherwise in the reporting currency $type: type: string enum: - Derivitec.Web.Core.RiskEngine.EqVolSkewGamma, Derivitec.Web.Core additionalProperties: false FxDelta: required: - $type type: object properties: risk_measure_id_stored: type: string description: >- Optional stored measure identifier used to preserve an explicit identifier for this measure definition. nullable: true readOnly: true vol_surface_spot_model: enum: - sticky_strike - sticky_delta type: string description: Gets the vol surface spot model. readOnly: true is_default_vol_surface_spot_model: type: boolean description: True for sticky spot model. readOnly: true shock_size: type: number description: The shock size. format: double use_inverse_currency_shock: type: boolean description: >- Flag to apply bump to the inverse currency pair. The reporting currency is the base currency. $type: type: string enum: - Derivitec.Web.Core.RiskEngine.FxDelta, Derivitec.Web.Core additionalProperties: false description: The FX delta measure. FxDeltaByCross: required: - $type type: object properties: risk_measure_id_stored: type: string description: >- Optional stored measure identifier used to preserve an explicit identifier for this measure definition. nullable: true readOnly: true vol_surface_spot_model: enum: - sticky_strike - sticky_delta type: string description: Gets the vol surface spot model. readOnly: true is_default_vol_surface_spot_model: type: boolean description: True for sticky spot model. readOnly: true shock_by_quoted_fx_cross_id: type: boolean description: >- for a given underlying currency pair we need to decide if we calculate delta by shocking XXXYYY or YYYXXX If this flag is true, we shock the direction with IsQuotedFxCross == true; otherwise we shock XXXYYY where YYY is the premium currency shock_size: type: number description: The shock size. format: double use_contract_currency: type: boolean description: >- If true the risk is reported in the contract currency; otherwise in the reporting currency $type: type: string enum: - Derivitec.Web.Core.RiskEngine.FxDeltaByCross, Derivitec.Web.Core additionalProperties: false description: The FX delta by cross measure. FxGamma: required: - $type type: object properties: risk_measure_id_stored: type: string description: >- Optional stored measure identifier used to preserve an explicit identifier for this measure definition. nullable: true readOnly: true vol_surface_spot_model: enum: - sticky_strike - sticky_delta type: string description: Gets the vol surface spot model. readOnly: true is_default_vol_surface_spot_model: type: boolean description: True for sticky spot model. readOnly: true shock_size: type: number description: The shock size. format: double use_inverse_currency_shock: type: boolean description: >- Flag to apply bump to the inverse currency pair. The reporting currency is the base currency. $type: type: string enum: - Derivitec.Web.Core.RiskEngine.FxGamma, Derivitec.Web.Core additionalProperties: false description: The FX gamma measure. FxGammaByCross: required: - $type type: object properties: risk_measure_id_stored: type: string description: >- Optional stored measure identifier used to preserve an explicit identifier for this measure definition. nullable: true readOnly: true vol_surface_spot_model: enum: - sticky_strike - sticky_delta type: string description: Gets the vol surface spot model. readOnly: true is_default_vol_surface_spot_model: type: boolean description: True for sticky spot model. readOnly: true shock_by_quoted_fx_cross_id: type: boolean description: >- for a given underlying currency pair we need to decide if we calculate gamma by shocking XXXYYY or YYYXXX If this flag is true, we shock the direction with IsQuotedFxCross == true; otherwise we shock XXXYYY where YYY is the premium currency shock_size: type: number description: The shock size. format: double use_contract_currency: type: boolean description: >- If true the risk is reported in the contract currency; otherwise in the reporting currency $type: type: string enum: - Derivitec.Web.Core.RiskEngine.FxGammaByCross, Derivitec.Web.Core additionalProperties: false description: The FX gamma measure. FxRealisedVol: required: - $type type: object additionalProperties: false description: Class FxRealisedVol. properties: risk_measure_id_stored: type: string description: >- Optional stored measure identifier used to preserve an explicit identifier for this measure definition. nullable: true readOnly: true lookback_window: type: integer description: The lookback window length. format: int32 readOnly: true use_percentage_points: type: boolean description: >- If set true realised vols are expressed in percentage points, otherwise they are expressed in reporting ccy units by scaling with spot. readOnly: true decay_period: type: integer description: The exponential decay period used to determine weights. format: int32 readOnly: true $type: type: string enum: - Derivitec.Web.Core.RiskEngine.FxRealisedVol, Derivitec.Web.Core FxRiskMeasureMintlifyShape: required: - $type type: object properties: risk_measure_id_stored: type: string description: >- Optional stored measure identifier used to preserve an explicit identifier for this measure definition. nullable: true readOnly: true vol_surface_spot_model: enum: - sticky_strike - sticky_delta type: string description: Gets the vol surface spot model. readOnly: true is_default_vol_surface_spot_model: type: boolean description: True for sticky spot model. readOnly: true $type: type: string enum: - Derivitec.Web.Core.RiskEngine.FxRiskMeasure, Derivitec.Web.Core additionalProperties: false description: The FX risk measure. FxSpotShock: required: - $type type: object properties: risk_measure_id_stored: type: string description: >- Optional stored measure identifier used to preserve an explicit identifier for this measure definition. nullable: true readOnly: true vol_surface_spot_model: enum: - sticky_strike - sticky_delta type: string description: Gets the vol surface spot model. readOnly: true is_default_vol_surface_spot_model: type: boolean description: True for sticky spot model. readOnly: true shock_size: type: number description: Gets or sets the shock size. format: double calculate_price_changes: type: boolean description: >- Set to true to calculate price *changes*. Otherwise we calculate prices. include_reporting_currency_shock: type: boolean description: Include reporting currency shock. use_inverse_currency_shock: type: boolean description: Gets or sets the inverse currency shock flag. $type: type: string enum: - Derivitec.Web.Core.RiskEngine.FxSpotShock, Derivitec.Web.Core additionalProperties: false description: The FX spot risk. FxSpotVolShock: required: - $type type: object properties: risk_measure_id_stored: type: string description: >- Optional stored measure identifier used to preserve an explicit identifier for this measure definition. nullable: true readOnly: true vol_surface_spot_model: enum: - sticky_strike - sticky_delta type: string description: Gets the vol surface spot model. readOnly: true is_default_vol_surface_spot_model: type: boolean description: True for sticky spot model. readOnly: true calculate_price_changes: type: boolean description: >- Set to true to calculate price *changes*. Otherwise we calculate prices. include_reporting_currency_shock: type: boolean description: Include reporting currency shock. spot_shock_size: type: number description: The spot shock size. format: double use_implied_vol_bumps: type: boolean description: True to use implied vol bumps. use_proportional_vol_bumps: type: boolean description: The use proportional vol bumps flag. vol_shock_size: type: number description: The vol shock size. format: double $type: type: string enum: - Derivitec.Web.Core.RiskEngine.FxSpotVolShock, Derivitec.Web.Core additionalProperties: false description: The FX spot vol shock measure. FxVanna: required: - $type type: object properties: risk_measure_id_stored: type: string description: >- Optional stored measure identifier used to preserve an explicit identifier for this measure definition. nullable: true readOnly: true vol_surface_spot_model: enum: - sticky_strike - sticky_delta type: string description: Gets the vol surface spot model. readOnly: true is_default_vol_surface_spot_model: type: boolean description: True for sticky spot model. readOnly: true shock_size: type: number description: The shock size format: double use_implied_vol_bumps: type: boolean description: >- If set to true vol bumps for surfaces without explicit reporting currency dependency will be implied from bumps to vol surfaces involving the reporting currency. use_inverse_currency_shock: type: boolean description: >- Flag to apply bump to the inverse currency pair. The reporting currency is the base currency. $type: type: string enum: - Derivitec.Web.Core.RiskEngine.FxVanna, Derivitec.Web.Core additionalProperties: false description: Class FxVanna. FxVega: required: - $type type: object properties: risk_measure_id_stored: type: string description: >- Optional stored measure identifier used to preserve an explicit identifier for this measure definition. nullable: true readOnly: true vol_surface_spot_model: enum: - sticky_strike - sticky_delta type: string description: Gets the vol surface spot model. readOnly: true is_default_vol_surface_spot_model: type: boolean description: True for sticky spot model. readOnly: true shock_size: type: number description: The shock size format: double tenors: type: array items: type: string description: Gets the list of tenors nullable: true use_implied_vol_bumps: type: boolean description: >- If set to true vol bumps for surfaces without explicit reporting currency dependency will be implied from bumps to vol surfaces involving the reporting currency. use_inverse_currency_shock: type: boolean description: >- Flag to apply bump to the inverse currency pair. The reporting currency is the base currency. $type: type: string enum: - Derivitec.Web.Core.RiskEngine.FxVega, Derivitec.Web.Core additionalProperties: false description: Class FxVega. FxVolGamma: required: - $type type: object properties: risk_measure_id_stored: type: string description: >- Optional stored measure identifier used to preserve an explicit identifier for this measure definition. nullable: true readOnly: true vol_surface_spot_model: enum: - sticky_strike - sticky_delta type: string description: Gets the vol surface spot model. readOnly: true is_default_vol_surface_spot_model: type: boolean description: True for sticky spot model. readOnly: true shock_size: type: number description: The shock size format: double use_implied_vol_bumps: type: boolean description: >- If set to true vol bumps for surfaces without explicit reporting currency dependency will be implied from bumps to vol surfaces involving the reporting currency. use_inverse_currency_shock: type: boolean description: >- Flag to apply bump to the inverse currency pair. The reporting currency is the base currency. $type: type: string enum: - Derivitec.Web.Core.RiskEngine.FxVolGamma, Derivitec.Web.Core additionalProperties: false description: Class FxVolGamma. FxVolShock: required: - $type type: object properties: risk_measure_id_stored: type: string description: >- Optional stored measure identifier used to preserve an explicit identifier for this measure definition. nullable: true readOnly: true vol_surface_spot_model: enum: - sticky_strike - sticky_delta type: string description: Gets the vol surface spot model. readOnly: true is_default_vol_surface_spot_model: type: boolean description: True for sticky spot model. readOnly: true tenors: type: array items: type: string description: Gets the list of tenors nullable: true vol_shock_func: $ref: '#/components/schemas/IVolShockFunc' $type: type: string enum: - Derivitec.Web.Core.RiskEngine.FxVolShock, Derivitec.Web.Core additionalProperties: false description: The FX vol shock dto. IrBasisShock: required: - $type type: object properties: risk_measure_id_stored: type: string description: >- Optional stored measure identifier used to preserve an explicit identifier for this measure definition. nullable: true readOnly: true shock_size: type: number description: Gets or sets the shock size. format: double use_proportional_shocks: type: boolean description: If true all shocks are proportional (-10% shock means 5% -> 4.5%). basis_rate_asset_id: type: string description: >- This measure will basis shock all the non basis rate assets and re-price contracts which depend on the basis. nullable: true $type: type: string enum: - Derivitec.Web.Core.RiskEngine.IrBasisShock, Derivitec.Web.Core additionalProperties: false description: The ir basis risk. IrDelta: required: - $type type: object properties: risk_measure_id_stored: type: string description: >- Optional stored measure identifier used to preserve an explicit identifier for this measure definition. nullable: true readOnly: true tenors: type: array items: type: string description: Gets the list of tenors nullable: true shock_size: type: number description: The shock size format: double use_proportional_shocks: type: boolean description: Gets the proportional shock flag. use_forward_rate_bumps: type: boolean description: Gets the forward rate bump flag. $type: type: string enum: - Derivitec.Web.Core.RiskEngine.IrDelta, Derivitec.Web.Core additionalProperties: false description: Class IrDelta. IrGamma: required: - $type type: object properties: risk_measure_id_stored: type: string description: >- Optional stored measure identifier used to preserve an explicit identifier for this measure definition. nullable: true readOnly: true shock_size: type: number description: The shock size format: double $type: type: string enum: - Derivitec.Web.Core.RiskEngine.IrGamma, Derivitec.Web.Core additionalProperties: false description: Class FxVega. IrParallelShock: required: - $type type: object properties: risk_measure_id_stored: type: string description: >- Optional stored measure identifier used to preserve an explicit identifier for this measure definition. nullable: true readOnly: true shock_size: type: number description: Gets or sets the shock size. format: double use_proportional_shocks: type: boolean description: If true all shocks are proportional (-10% shock means 5% -> 4.5%). $type: type: string enum: - Derivitec.Web.Core.RiskEngine.IrParallelShock, Derivitec.Web.Core additionalProperties: false description: The equity spot risk. IrRiskMeasureMintlifyShape: required: - $type type: object additionalProperties: false description: The risk measure. properties: risk_measure_id_stored: type: string description: >- Optional stored measure identifier used to preserve an explicit identifier for this measure definition. nullable: true readOnly: true $type: type: string enum: - Derivitec.Web.Core.RiskEngine.IrRiskMeasure, Derivitec.Web.Core IrVega: required: - $type type: object properties: risk_measure_id_stored: type: string description: >- Optional stored measure identifier used to preserve an explicit identifier for this measure definition. nullable: true readOnly: true shock_size: type: number description: The shock size. format: double vol_type: enum: - black - bachelier type: string description: The vol type. $type: type: string enum: - Derivitec.Web.Core.RiskEngine.IrVega, Derivitec.Web.Core additionalProperties: false description: Class FxVega. MarketDataErrorReportingMeasure: required: - $type type: object additionalProperties: false description: The MarketDataErrorReportingMeasure. properties: risk_measure_id_stored: type: string description: >- Optional stored measure identifier used to preserve an explicit identifier for this measure definition. nullable: true readOnly: true $type: type: string enum: - >- Derivitec.Web.Core.RiskEngine.MarketDataErrorReportingMeasure, Derivitec.Web.Core Npv: required: - $type type: object properties: risk_measure_id_stored: type: string description: >- Optional stored measure identifier used to preserve an explicit identifier for this measure definition. nullable: true readOnly: true return_futures_price: type: boolean description: >- Gets the return futures price flag. If set to true the NPV measure returns the futures price for all models that inherit from IFutureModel (instead of NPV). return_forward_price: type: boolean description: >- Gets the return forward price flag. If set to true the NPV measure returns the forward price for all forward contracts return_percent_price: type: boolean description: >- Gets the return percent price flag. If set to true the NPV measure returns 100 * Price / Notional. use_contract_currency: type: boolean description: >- If true the risk is reported in the contract currency; otherwise in the reporting currency trs_return_spot_price: type: boolean description: >- If set to true then for total return swaps (EqStock with IsTrs=true) we return the underlying spot return_option_premium: type: boolean description: >- Gets the return option premium flag. If set to true the NPV measure returns the option premium. return_futures_value: type: boolean description: >- Gets the return futures value flag. If set to true the NPV measure returns the futures value for all models that inherit from IFutureModel (instead of NPV which is zero). FuturesValue is distinct from FuturesPrice for bond futures, IR futures and bond options. $type: type: string enum: - Derivitec.Web.Core.RiskEngine.Npv, Derivitec.Web.Core additionalProperties: false description: Class Npv. PricingDetail: required: - $type type: object properties: risk_measure_id_stored: type: string description: >- Optional stored measure identifier used to preserve an explicit identifier for this measure definition. nullable: true readOnly: true pricing_detail_type: enum: - underlying_price - reference_vol - futures_price - future_spread - bond_clean_price - effective_strike - yield_to_maturity - yield_to_put - reference_credit_spread - reference_borrow_rate - reference_dividend_yield - bond_floor - bond_parity - ascot_cb_price - contract_fx_spot - contract_fx_price - underlying_spot - contract_inv_fx_spot - contract_fx_spot_major - contract_inv_fx_spot_major type: string description: Get the pricing details type $type: type: string enum: - Derivitec.Web.Core.RiskEngine.PricingDetail, Derivitec.Web.Core additionalProperties: false description: Class PricingDetail. RealisedVolMeasureMintlifyShape: required: - $type type: object properties: risk_measure_id_stored: type: string description: >- Optional stored measure identifier used to preserve an explicit identifier for this measure definition. nullable: true readOnly: true lookback_window: type: integer description: The lookback window length. format: int32 readOnly: true use_percentage_points: type: boolean description: >- If set true realised vols are expressed in percentage points, otherwise they are expressed in reporting ccy units by scaling with spot. readOnly: true decay_period: type: integer description: The exponential decay period used to determine weights. format: int32 readOnly: true $type: type: string enum: - >- Derivitec.Web.Core.RiskEngine.RealisedVolMeasure, Derivitec.Web.Core additionalProperties: false description: Class RealisedVolMeasure. ReferenceVol: required: - $type type: object additionalProperties: false description: Class ReferenceVol. properties: risk_measure_id_stored: type: string description: >- Optional stored measure identifier used to preserve an explicit identifier for this measure definition. nullable: true readOnly: true $type: type: string enum: - Derivitec.Web.Core.RiskEngine.ReferenceVol, Derivitec.Web.Core Rho: required: - $type type: object properties: risk_measure_id_stored: type: string description: >- Optional stored measure identifier used to preserve an explicit identifier for this measure definition. nullable: true readOnly: true shock_size: type: number description: Gets or sets the shock size. format: double use_contract_currency: type: boolean description: >- If true the risk is reported in the contract currency; otherwise in the reporting currency $type: type: string enum: - Derivitec.Web.Core.RiskEngine.Rho, Derivitec.Web.Core additionalProperties: false description: The rho. RiskMeasureMintlifyShape: required: - $type type: object properties: risk_measure_id_stored: type: string description: >- Optional stored measure identifier used to preserve an explicit identifier for this measure definition. nullable: true readOnly: true $type: type: string enum: - Derivitec.Web.Core.RiskEngine.RiskMeasure, Derivitec.Web.Core additionalProperties: false description: Base definition shared by polymorphic risk-measure request models. ScenarioImpact: required: - $type type: object properties: risk_measure_id_stored: type: string description: >- Optional stored measure identifier used to preserve an explicit identifier for this measure definition. nullable: true readOnly: true calculate_price_changes: type: boolean description: >- Whether the measure returns price changes instead of scenario prices. scale_factor: type: number description: Scale factor supplied with the scenario-impact measure. format: double scenario: $ref: '#/components/schemas/RiskScenario' $type: type: string enum: - Derivitec.Web.Core.RiskEngine.ScenarioImpact, Derivitec.Web.Core additionalProperties: false description: >- Defines a measure that returns scenario prices or scenario price changes. ScenarioRiskImpact: required: - $type type: object properties: risk_measure_id_stored: type: string description: >- Optional stored measure identifier used to preserve an explicit identifier for this measure definition. nullable: true readOnly: true calculate_risk_changes: type: boolean description: >- Set to true to calculate risk *changes*. Otherwise the measure returns risk post scenario. risk_measure: $ref: '#/components/schemas/IRiskMeasure' scale_factor: type: number description: Gets or sets the scale factor. format: double scenario: $ref: '#/components/schemas/RiskScenario' $type: type: string enum: - >- Derivitec.Web.Core.RiskEngine.ScenarioRiskImpact, Derivitec.Web.Core additionalProperties: false description: The scenario risk impact dto. StoredScenario: required: - $type type: object properties: scenario_description: type: string description: Human-readable explanation of the scenario. nullable: true scenario_name: type: string description: Human-readable name of the scenario. nullable: true id: type: string description: Identifier of the stored scenario. nullable: true organisation_id: type: string description: Identifier of the organisation that owns the stored scenario. nullable: true $type: type: string enum: - Derivitec.Web.Core.RiskEngine.StoredScenario, Derivitec.Web.Core additionalProperties: false description: References a stored scenario that can be used as a risk measure. Theta: required: - $type type: object properties: risk_measure_id_stored: type: string description: >- Optional stored measure identifier used to preserve an explicit identifier for this measure definition. nullable: true readOnly: true roll_days: type: integer description: Gets the roll days. format: int32 rebase_cash_flows: type: boolean description: Gets the rebase cash flows flag. ignore_credit_spread_term_structure: type: boolean description: Gets the ignore credit spread term structure. use_contract_currency: type: boolean spot_theta_model: enum: - fixed - forward_curve type: string description: >- Class ThetaModels. Provides user friendly theta model enums, so API users need not use strikeVol and asset enums. volatility_theta_model: enum: - vol_fixed_by_tenor - vol_fixed_by_date type: string $type: type: string enum: - Derivitec.Web.Core.RiskEngine.Theta, Derivitec.Web.Core additionalProperties: false description: Class Theta. VegaNotional: required: - $type type: object additionalProperties: false description: Class VegaNotional. properties: risk_measure_id_stored: type: string description: >- Optional stored measure identifier used to preserve an explicit identifier for this measure definition. nullable: true readOnly: true $type: type: string enum: - Derivitec.Web.Core.RiskEngine.VegaNotional, Derivitec.Web.Core ICmdtyRiskMeasureMintlifyShape: required: - $type type: object additionalProperties: false description: Risk-measure role applicable to commodity exposures. properties: $type: type: string enum: - >- Derivitec.Web.Core.Interfaces.ICmdtyRiskMeasure, Derivitec.Web.Core IEqRiskMeasureMintlifyShape: required: - $type type: object additionalProperties: false description: Risk-measure role applicable to equity exposures. properties: $type: type: string enum: - Derivitec.Web.Core.Interfaces.IEqRiskMeasure, Derivitec.Web.Core IFxRiskMeasureMintlifyShape: required: - $type type: object additionalProperties: false description: Risk-measure role applicable to foreign-exchange exposures. properties: $type: type: string enum: - Derivitec.Web.Core.Interfaces.IFxRiskMeasure, Derivitec.Web.Core IIrRiskMeasureMintlifyShape: required: - $type type: object additionalProperties: false description: Risk-measure role applicable to interest-rate exposures. properties: $type: type: string enum: - Derivitec.Web.Core.Interfaces.IIrRiskMeasure, Derivitec.Web.Core IRiskMeasureMintlifyShape: required: - $type type: object additionalProperties: false description: >- Common role for a named risk measure exposed through calculation and report contracts. properties: $type: type: string enum: - Derivitec.Web.Core.Interfaces.IRiskMeasure, Derivitec.Web.Core IVolShockFunc: discriminator: propertyName: $type mapping: Derivitec.Web.Core.RiskEngine.VolShockFuncBetaAdj, Derivitec.Web.Core: '#/components/schemas/VolShockFuncBetaAdj' Derivitec.Web.Core.RiskEngine.VolShockFuncShocksByStrike, Derivitec.Web.Core: '#/components/schemas/VolShockFuncShocksByStrike' Derivitec.Web.Core.Interfaces.IVolShockFunc, Derivitec.Web.Core: '#/components/schemas/IVolShockFuncMintlifyShape' oneOf: - $ref: '#/components/schemas/VolShockFuncBetaAdj' - $ref: '#/components/schemas/VolShockFuncShocksByStrike' - $ref: '#/components/schemas/IVolShockFuncMintlifyShape' RiskScenario: description: Names and describes a scenario supplied to a risk calculation. discriminator: propertyName: $type mapping: Derivitec.Web.Core.RiskEngine.RiskScenario, Derivitec.Web.Core: '#/components/schemas/RiskScenarioMintlifyShape' Derivitec.Web.Core.RiskEngine.BorrowCurveScenario, Derivitec.Web.Core: '#/components/schemas/BorrowCurveScenario' Derivitec.Web.Core.RiskEngine.CmdtySpotScenario, Derivitec.Web.Core: '#/components/schemas/CmdtySpotScenario' Derivitec.Web.Core.RiskEngine.CmdtyVolScenario, Derivitec.Web.Core: '#/components/schemas/CmdtyVolScenario' Derivitec.Web.Core.RiskEngine.CompositeScenario, Derivitec.Web.Core: '#/components/schemas/CompositeScenario' Derivitec.Web.Core.RiskEngine.CreditScenario, Derivitec.Web.Core: '#/components/schemas/CreditScenario' Derivitec.Web.Core.RiskEngine.DerivedScenario, Derivitec.Web.Core: '#/components/schemas/DerivedScenario' Derivitec.Web.Core.RiskEngine.DividendIndexVolScenario, Derivitec.Web.Core: '#/components/schemas/DividendIndexVolScenario' Derivitec.Web.Core.RiskEngine.DividendScenario, Derivitec.Web.Core: '#/components/schemas/DividendScenario' Derivitec.Web.Core.RiskEngine.EqSpotScenario, Derivitec.Web.Core: '#/components/schemas/EqSpotScenario' Derivitec.Web.Core.RiskEngine.EquityVolIndexScenario, Derivitec.Web.Core: '#/components/schemas/EquityVolIndexScenario' Derivitec.Web.Core.RiskEngine.EqVolIndexVolSurfaceScenario, Derivitec.Web.Core: '#/components/schemas/EqVolIndexVolSurfaceScenario' Derivitec.Web.Core.RiskEngine.EqVolScenario, Derivitec.Web.Core: '#/components/schemas/EqVolScenario' Derivitec.Web.Core.RiskEngine.EqVolSurfaceScenario, Derivitec.Web.Core: '#/components/schemas/EqVolSurfaceScenario' Derivitec.Web.Core.RiskEngine.FxSpotScenario, Derivitec.Web.Core: '#/components/schemas/FxSpotScenario' Derivitec.Web.Core.RiskEngine.FxVolSurfaceScenario, Derivitec.Web.Core: '#/components/schemas/FxVolSurfaceScenario' Derivitec.Web.Core.RiskEngine.HistoricalScenario, Derivitec.Web.Core: '#/components/schemas/HistoricalScenario' Derivitec.Web.Core.RiskEngine.IRParallelShockScenario, Derivitec.Web.Core: '#/components/schemas/IRParallelShockScenario' Derivitec.Web.Core.RiskEngine.IrRateAssetScenario, Derivitec.Web.Core: '#/components/schemas/IrRateAssetScenario' Derivitec.Web.Core.RiskEngine.IRShockScenario, Derivitec.Web.Core: '#/components/schemas/IRShockScenario' Derivitec.Web.Core.RiskEngine.JumpToDefaultScenario, Derivitec.Web.Core: '#/components/schemas/JumpToDefaultScenario' Derivitec.Web.Core.RiskEngine.StoredScenario, Derivitec.Web.Core: '#/components/schemas/StoredScenario' Derivitec.Web.Core.RiskEngine.ThetaScenario, Derivitec.Web.Core: '#/components/schemas/ThetaScenario' oneOf: - $ref: '#/components/schemas/RiskScenarioMintlifyShape' - $ref: '#/components/schemas/BorrowCurveScenario' - $ref: '#/components/schemas/CmdtySpotScenario' - $ref: '#/components/schemas/CmdtyVolScenario' - $ref: '#/components/schemas/CompositeScenario' - $ref: '#/components/schemas/CreditScenario' - $ref: '#/components/schemas/DerivedScenario' - $ref: '#/components/schemas/DividendIndexVolScenario' - $ref: '#/components/schemas/DividendScenario' - $ref: '#/components/schemas/EqSpotScenario' - $ref: '#/components/schemas/EquityVolIndexScenario' - $ref: '#/components/schemas/EqVolIndexVolSurfaceScenario' - $ref: '#/components/schemas/EqVolScenario' - $ref: '#/components/schemas/EqVolSurfaceScenario' - $ref: '#/components/schemas/FxSpotScenario' - $ref: '#/components/schemas/FxVolSurfaceScenario' - $ref: '#/components/schemas/HistoricalScenario' - $ref: '#/components/schemas/IRParallelShockScenario' - $ref: '#/components/schemas/IrRateAssetScenario' - $ref: '#/components/schemas/IRShockScenario' - $ref: '#/components/schemas/JumpToDefaultScenario' - $ref: '#/components/schemas/StoredScenario' - $ref: '#/components/schemas/ThetaScenario' VolShockFuncBetaAdj: required: - $type type: object properties: vol_beta_func: $ref: '#/components/schemas/DoubleDoubleIFunc1Param' maturity_beta_func: $ref: '#/components/schemas/DoubleDoubleIFunc1Param' $type: type: string enum: - >- Derivitec.Web.Core.RiskEngine.VolShockFuncBetaAdj, Derivitec.Web.Core additionalProperties: false description: The shock is of the form ShockByStrikeFunc(strike) * beta(maturity) VolShockFuncShocksByStrike: required: - $type type: object properties: shock_by_strike_func: $ref: '#/components/schemas/DoubleDoubleIFunc1Param' maturity_beta_func: $ref: '#/components/schemas/DoubleDoubleIFunc1Param' strike_func_expects_delta: type: boolean description: >- True if ShockByStrikeFunc expects delta strike; false if it expects log strike use_proportional_shocks: type: boolean $type: type: string enum: - >- Derivitec.Web.Core.RiskEngine.VolShockFuncShocksByStrike, Derivitec.Web.Core additionalProperties: false description: The shock is of the form ShockByStrikeFunc(strike) * beta(maturity) IVolShockFuncMintlifyShape: required: - $type type: object additionalProperties: false properties: $type: type: string enum: - Derivitec.Web.Core.Interfaces.IVolShockFunc, Derivitec.Web.Core RiskScenarioMintlifyShape: required: - $type type: object properties: scenario_description: type: string description: Human-readable explanation of the scenario. nullable: true scenario_name: type: string description: Human-readable name of the scenario. nullable: true $type: type: string enum: - Derivitec.Web.Core.RiskEngine.RiskScenario, Derivitec.Web.Core additionalProperties: false description: Names and describes a scenario supplied to a risk calculation. BorrowCurveScenario: required: - $type type: object properties: scenario_description: type: string description: Human-readable explanation of the scenario. nullable: true scenario_name: type: string description: Human-readable name of the scenario. nullable: true global_shock: $ref: '#/components/schemas/DiscountCurveBump' shocks_by_equity_asset: type: array items: $ref: >- #/components/schemas/InstrumentIdentifierDiscountCurveBumpKeyValuePair description: The dividend shocks by equity asset. nullable: true $type: type: string enum: - >- Derivitec.Web.Core.RiskEngine.BorrowCurveScenario, Derivitec.Web.Core additionalProperties: false description: Class BorrowCurveScenario. CmdtySpotScenario: required: - $type type: object properties: scenario_description: type: string description: Human-readable explanation of the scenario. nullable: true scenario_name: type: string description: Human-readable name of the scenario. nullable: true shock_size: type: number description: The shock size format: double sticky_smile_ratio: type: number description: Gets the sticky smile ratio format: double vol_surface_spot_model: enum: - sticky_strike - sticky_delta - sticky_smile_ratio type: string description: Gets the vol surface spot model. $type: type: string enum: - >- Derivitec.Web.Core.RiskEngine.CmdtySpotScenario, Derivitec.Web.Core additionalProperties: false CmdtyVolScenario: required: - $type type: object properties: scenario_description: type: string description: Human-readable explanation of the scenario. nullable: true scenario_name: type: string description: Human-readable name of the scenario. nullable: true shock_size: type: number description: The shock size format: double use_proportional_vol_bump: type: boolean description: >- True to use proportional vol bumps (i.e. a bump of 0.1 means 30% -> 33%; otherwise 30% -> 31%). $type: type: string enum: - Derivitec.Web.Core.RiskEngine.CmdtyVolScenario, Derivitec.Web.Core additionalProperties: false CompositeScenario: required: - $type type: object properties: scenario_description: type: string description: Human-readable explanation of the scenario. nullable: true scenario_name: type: string description: Human-readable name of the scenario. nullable: true scenarios: type: array items: $ref: '#/components/schemas/RiskScenario' description: Gets or sets the scenarios. nullable: true $type: type: string enum: - >- Derivitec.Web.Core.RiskEngine.CompositeScenario, Derivitec.Web.Core additionalProperties: false description: The composite scenario. CreditScenario: required: - $type type: object properties: scenario_description: type: string description: Human-readable explanation of the scenario. nullable: true scenario_name: type: string description: Human-readable name of the scenario. nullable: true reference_issuer_identifier: $ref: '#/components/schemas/IssuerIdentifier' reference_currency: type: string description: >- The reference bond issuer currency If populated all credit spreads are measured against this yield curve nullable: true reference_debt_type: type: string description: >- The reference issuer debt type If populated all credit spreads are measured against this yield curve nullable: true tenors: type: array items: type: string description: >- Gets the list of tenors. If none are specified we use the nodes of the bond yield curve nullable: true credit_spread_floor: type: number description: Gets or sets the credit spread floor format: double global_shock: type: number description: >- Gets or sets the global shock size (absolute or proportional depending on UseProportionalShocks flag) Ignored if a credit shock function is specified format: double shocks_by_issuer_identifier: type: array items: $ref: '#/components/schemas/IssuerIdentifierDoubleKeyValuePair' description: >- The shocks by issuer id (absolute or proportional depending on UseProportionalShocks flag). Ignored if a credit shock function is specified nullable: true use_proportional_shocks: type: boolean description: True to use proportional shocks; otherwise absolute use_forward_rate_bumps: type: boolean description: True to use forward rate bumps; otherwise we use zero rate bumps $type: type: string enum: - Derivitec.Web.Core.RiskEngine.CreditScenario, Derivitec.Web.Core additionalProperties: false DerivedScenario: required: - $type type: object properties: scenario_description: type: string description: Human-readable explanation of the scenario. nullable: true scenario_name: type: string description: Human-readable name of the scenario. nullable: true base_scenario: $ref: '#/components/schemas/RiskScenario' scenario_model_parameters: type: object additionalProperties: $ref: '#/components/schemas/ScenarioModelParameters' description: Gets or sets the scenario model parameters. nullable: true readOnly: true $type: type: string enum: - Derivitec.Web.Core.RiskEngine.DerivedScenario, Derivitec.Web.Core additionalProperties: false description: The eq spot scenario DividendIndexVolScenario: required: - $type type: object properties: scenario_description: type: string description: Human-readable explanation of the scenario. nullable: true scenario_name: type: string description: Human-readable name of the scenario. nullable: true vol_shock_func: $ref: '#/components/schemas/IVolShockFunc' bumped_vol_floor: type: number description: ATMF vol will never be bumped lower than this format: double shock_size: type: number description: The shock size format: double shocks_by_dividend_index: type: array items: $ref: '#/components/schemas/InstrumentIdentifierDoubleKeyValuePair' description: >- The shocks by dividend index (for assets present in the dictionary we do NOT apply the globalShock). nullable: true use_parallel_shift: type: boolean description: True to use parallel shifts use_proportional_vol_bump: type: boolean description: >- True to use proportional vol bumps (i.e. a bump of 0.1 means 30% -> 33%; otherwise 30% -> 31%). $type: type: string enum: - >- Derivitec.Web.Core.RiskEngine.DividendIndexVolScenario, Derivitec.Web.Core additionalProperties: false DividendScenario: required: - $type type: object properties: scenario_description: type: string description: Human-readable explanation of the scenario. nullable: true scenario_name: type: string description: Human-readable name of the scenario. nullable: true global_shock: $ref: '#/components/schemas/DividendBump' shocks_by_equity_asset: type: array items: $ref: '#/components/schemas/InstrumentIdentifierDividendBumpKeyValuePair' description: The dividend shocks by equity asset. nullable: true $type: type: string enum: - Derivitec.Web.Core.RiskEngine.DividendScenario, Derivitec.Web.Core additionalProperties: false description: Class DividendScenario. EqSpotScenario: required: - $type type: object properties: scenario_description: type: string description: Human-readable explanation of the scenario. nullable: true scenario_name: type: string description: Human-readable name of the scenario. nullable: true shock_size: type: number description: Gets or sets the shock size. format: double shocks_by_equity_asset: type: array items: $ref: '#/components/schemas/InstrumentIdentifierDoubleKeyValuePair' description: >- The shocks by equity asset (for equity assets present in the dictionary we do NOT apply the shocks by country). nullable: true shocks_by_country: type: array items: $ref: '#/components/schemas/StringDoubleKeyValuePair' description: >- The shocks by country (for equity assets present in the dictionary we do NOT apply the shocks by region). nullable: true shocks_by_region: type: array items: $ref: '#/components/schemas/StringDoubleKeyValuePair' description: >- The shocks by region (for equity assets present in the dictionary we do NOT apply the global shocks). nullable: true vol_surface_spot_model: enum: - sticky_strike - sticky_delta - sticky_smile_ratio type: string description: Gets or sets the equity vol surface spot model. sticky_smile_ratio: type: number description: Gets or sets the shock size. format: double bump_cash_dividends: type: boolean description: >- Gets a value indicating whether the equity spot shock should also bump cash dividends by the same amount. equity_vol_index_vol_surface_spot_model_id: type: string description: >- Selects the user-defined model ID supplied when uploading volatility-index spot-model betas. Definitions are loaded for the scenario market-data date and portfolio volatility indices, using the selected market-data provider priority, and applied to their volatility surfaces when the underlying equity is shocked. The string must match the uploaded ModelId exactly. Null, empty or whitespace disables database loading; inline definitions still apply. nullable: true example: ExampleVixBetas vol_surface_spot_model_definitions: type: array items: $ref: '#/components/schemas/VolSurfaceSpotModelDefinition' description: >- Optional inline beta definitions for volatility-index assets. Each Asset identifier is resolved to an internal asset ID; duplicate resolved assets are rejected. An inline definition replaces the entire stored definition for that asset, or adds an asset absent from the stored model. Inline ModelId is a label and need not match EquityVolIndexVolSurfaceSpotModelId. ReferenceDate and beta inputs follow the definition's validation rules. Provider and provenance metadata are ignored; nothing is uploaded or saved. Null or an empty list supplies no overrides. nullable: true $type: type: string enum: - Derivitec.Web.Core.RiskEngine.EqSpotScenario, Derivitec.Web.Core additionalProperties: false description: The eq spot scenario EquityVolIndexScenario: required: - $type type: object properties: scenario_description: type: string description: Human-readable explanation of the scenario. nullable: true scenario_name: type: string description: Human-readable name of the scenario. nullable: true shocks_by_vol_index: type: array items: $ref: >- #/components/schemas/InstrumentIdentifierEquityVolIndexBumpKeyValuePair description: The shocks by vol index nullable: true vol_surface_spot_model: enum: - sticky_strike - sticky_delta - sticky_smile_ratio type: string description: The vol surface spot model vol_indices_to_remove: type: object additionalProperties: type: string nullable: true description: The vol indices to remove nullable: true $type: type: string enum: - >- Derivitec.Web.Core.RiskEngine.EquityVolIndexScenario, Derivitec.Web.Core additionalProperties: false EqVolIndexVolSurfaceScenario: required: - $type type: object properties: scenario_description: type: string description: Human-readable explanation of the scenario. nullable: true scenario_name: type: string description: Human-readable name of the scenario. nullable: true global_shock: $ref: '#/components/schemas/EqVolIndexVolSurfaceBump' shocks_by_vol_index: type: array items: $ref: >- #/components/schemas/InstrumentIdentifierEqVolIndexVolSurfaceBumpKeyValuePair description: The shocks by vol index nullable: true $type: type: string enum: - >- Derivitec.Web.Core.RiskEngine.EqVolIndexVolSurfaceScenario, Derivitec.Web.Core additionalProperties: false EqVolScenario: required: - $type type: object properties: scenario_description: type: string description: Human-readable explanation of the scenario. nullable: true scenario_name: type: string description: Human-readable name of the scenario. nullable: true bumped_vol_floor: type: number description: ATMF vol will never be bumped lower than this format: double shock_size: type: number description: The shock size format: double use_parallel_shift: type: boolean description: True to use parallel shifts use_proportional_vol_bump: type: boolean description: >- True to use proportional vol bumps (i.e. a bump of 0.1 means 30% -> 33%; otherwise 30% -> 31%). $type: type: string enum: - Derivitec.Web.Core.RiskEngine.EqVolScenario, Derivitec.Web.Core additionalProperties: false EqVolSurfaceScenario: required: - $type type: object properties: scenario_description: type: string description: Human-readable explanation of the scenario. nullable: true scenario_name: type: string description: Human-readable name of the scenario. nullable: true global_shock: $ref: '#/components/schemas/EqVolSurfaceBump' shocks_by_asset: type: array items: $ref: >- #/components/schemas/InstrumentIdentifierEqVolSurfaceBumpKeyValuePair description: True to use parallel shifts nullable: true shock_equity_vol_indices: type: boolean description: True to shock equity indices. equity_vol_indices_keep_grid_std_devs_fixed: type: boolean description: If set true, the StdDevGrid of equity vol indices will be fixed. $type: type: string enum: - >- Derivitec.Web.Core.RiskEngine.EqVolSurfaceScenario, Derivitec.Web.Core additionalProperties: false FxSpotScenario: required: - $type type: object properties: scenario_description: type: string description: Human-readable explanation of the scenario. nullable: true scenario_name: type: string description: Human-readable name of the scenario. nullable: true shock_size: type: number description: Gets or sets the shock size. format: double currency: type: string description: Gets or sets the currency. nullable: true vol_surface_spot_model: enum: - sticky_strike - sticky_delta type: string description: Gets or sets the equity vol surface spot model. $type: type: string enum: - Derivitec.Web.Core.RiskEngine.FxSpotScenario, Derivitec.Web.Core additionalProperties: false description: The fx spot scenario FxVolSurfaceScenario: required: - $type type: object properties: scenario_description: type: string description: Human-readable explanation of the scenario. nullable: true scenario_name: type: string description: Human-readable name of the scenario. nullable: true currency_to_bump: type: string description: Currency to bump nullable: true vol_shock: type: number description: vol shock format: double use_proportional_vol_bumps: type: boolean description: Use proportional vol bumps counter_currency: type: string description: >- Suppose ShocksByCurrency contains a single currency: { [GBP] = 0.1 } If USD is set as CounterCurrency: - GBPUSD is shocked by 10% - XXXUSD is unchanged, with XXX any currency not GBP - The shock on GBPXXX is determined from GBPUSD and XXXUSD via implied correlation If no counter currency is specified the shock is uniform: - GBPXXX shocked by 10% for all XXX != GBP If ShocksByCurrency contains multiple shocks the counter currency is mandatory nullable: true vol_shock_funcs_by_fx_pair: type: array items: $ref: '#/components/schemas/StringIVolShockFuncKeyValuePair' description: The shock applied at a given point is f(strike, maturityDays) nullable: true $type: type: string enum: - >- Derivitec.Web.Core.RiskEngine.FxVolSurfaceScenario, Derivitec.Web.Core additionalProperties: false HistoricalScenario: required: - $type type: object properties: scenario_description: type: string description: Human-readable explanation of the scenario. nullable: true scenario_name: type: string description: Human-readable name of the scenario. nullable: true end_date: type: string description: Gets the end date. format: date-time start_date: type: string description: Gets the start date. format: date-time bump_configuration: $ref: '#/components/schemas/BumpConfiguration' $type: type: string enum: - >- Derivitec.Web.Core.RiskEngine.HistoricalScenario, Derivitec.Web.Core additionalProperties: false IRParallelShockScenario: required: - $type type: object properties: scenario_description: type: string description: Human-readable explanation of the scenario. nullable: true scenario_name: type: string description: Human-readable name of the scenario. nullable: true global_shock: type: number description: Gets or sets the shock size. format: double shocks_by_currency: type: object additionalProperties: type: number format: double description: >- Gets or sets the shocks by currency (for currencies present in the dictionary we do NOT apply the globalShock). nullable: true use_proportional_shocks: type: boolean description: If true all shocks are propotional (-1% shock means 5% -> 4.5%). readOnly: true $type: type: string enum: - >- Derivitec.Web.Core.RiskEngine.IRParallelShockScenario, Derivitec.Web.Core additionalProperties: false description: The IR parallel shock scenario IrRateAssetScenario: required: - $type type: object properties: scenario_description: type: string description: Human-readable explanation of the scenario. nullable: true scenario_name: type: string description: Human-readable name of the scenario. nullable: true global_shock: type: number description: Gets or sets the shock size. format: double shocks_by_rate_asset_id: type: array items: $ref: '#/components/schemas/StringDiscountCurveBumpKeyValuePair' description: >- Gets or sets the shocks by currency (for currencies present in the dictionary we do NOT apply the globalShock). nullable: true use_proportional_shocks: type: boolean description: If true all shocks are propotional (-1% shock means 5% -> 4.5%). $type: type: string enum: - >- Derivitec.Web.Core.RiskEngine.IrRateAssetScenario, Derivitec.Web.Core additionalProperties: false description: The IR rate asset scenario IRShockScenario: required: - $type type: object properties: scenario_description: type: string description: Human-readable explanation of the scenario. nullable: true scenario_name: type: string description: Human-readable name of the scenario. nullable: true global_shock: $ref: '#/components/schemas/DiscountCurveBump' shocks_by_currency: type: array items: $ref: '#/components/schemas/StringDiscountCurveBumpKeyValuePair' description: >- The shocks by currency (for currencies present in the dictionary we do NOT apply the globalShock). nullable: true bump_discount_curves: type: boolean description: Gets the bump discount curves flag. bump_bond_yield_curves: type: boolean description: Gets the bump bond yield curves flag. bump_equity_assets: type: boolean description: Gets the bump equity assets flag. bump_equity_vol_indices: type: boolean description: Gets the bump equity vol indices flag. bump_rate_assets: type: boolean description: Gets the bump rate assets flag. bump_fx_crosses: type: boolean description: Gets the bump fx crosses flag. bump_commodities: type: boolean description: Gets the bump commodities flag. $type: type: string enum: - Derivitec.Web.Core.RiskEngine.IRShockScenario, Derivitec.Web.Core additionalProperties: false description: The IR hock scenario JumpToDefaultScenario: required: - $type type: object properties: scenario_description: type: string description: Human-readable explanation of the scenario. nullable: true scenario_name: type: string description: Human-readable name of the scenario. nullable: true recovery_rates_by_issuer_identifier: type: array items: $ref: '#/components/schemas/IssuerIdentifierDoubleKeyValuePair' description: >- The recovery rates by issuer id (only used if no recovery rate function is specified) nullable: true $type: type: string enum: - >- Derivitec.Web.Core.RiskEngine.JumpToDefaultScenario, Derivitec.Web.Core additionalProperties: false ThetaScenario: required: - $type type: object properties: scenario_description: type: string description: Human-readable explanation of the scenario. nullable: true scenario_name: type: string description: Human-readable name of the scenario. nullable: true roll_days: type: integer description: Gets or sets the roll days. format: int32 $type: type: string enum: - Derivitec.Web.Core.RiskEngine.ThetaScenario, Derivitec.Web.Core additionalProperties: false description: Class ThetaScenario. DoubleDoubleIFunc1Param: discriminator: propertyName: $type mapping: Derivitec.Web.Core.Func.PowerFuncDouble, Derivitec.Web.Core: '#/components/schemas/PowerFuncDouble' Derivitec.Web.Core.Func.SplineInterpolatedFuncDouble, Derivitec.Web.Core: '#/components/schemas/SplineInterpolatedFuncDouble' oneOf: - $ref: '#/components/schemas/PowerFuncDouble' - $ref: '#/components/schemas/SplineInterpolatedFuncDouble' DiscountCurveBump: required: - $type type: object properties: rate_bumps: type: array items: type: number format: double description: Gets or sets the rate bumps. nullable: true tenors: type: array items: type: string description: Gets or sets the tenors. nullable: true maturities: type: array items: type: integer format: int32 description: Gets or sets the maturities. nullable: true use_proportional_rate_bumps: type: boolean description: Gets or sets a value indicating whether use proportional bumps. use_forward_rate_bumps: type: boolean description: Gets or sets a value indicating whether use forward rate bump $type: type: string enum: - >- Derivitec.Web.Core.MarketData.DiscountCurveBump, Derivitec.Web.Core additionalProperties: false description: The discount curve bump. InstrumentIdentifierDiscountCurveBumpKeyValuePair: type: object properties: key: $ref: '#/components/schemas/InstrumentIdentifier' value: $ref: '#/components/schemas/DiscountCurveBump' additionalProperties: false IssuerIdentifier: required: - $type type: object properties: code: type: string description: Issuer code interpreted in the selected issuer namespace. nullable: true identifier_type: enum: - DerivitecBondIssuerId - ReutersOrgId - ShortName - Lei - RedCode - MarkitTicker - ReutersIssuerId - CBondsIssuerId - PermId - BloombergCompanyId - NotSet type: string description: Namespace that determines how the issuer code is interpreted. $type: type: string enum: - Derivitec.Web.Core.MarketData.IssuerIdentifier, Derivitec.Web.Core additionalProperties: false description: Issuer code qualified by an issuer-identifier namespace. IssuerIdentifierDoubleKeyValuePair: type: object properties: key: $ref: '#/components/schemas/IssuerIdentifier' value: type: number format: double additionalProperties: false ScenarioModelParameters: required: - $type type: object properties: apply_on_selected_assets: type: boolean description: >- Gets or sets a value indicating whether to apply the scenario only on selected asset. selected_asset_ids: uniqueItems: true type: array items: type: string description: Gets or sets the selected asset ids. nullable: true $type: type: string enum: - >- Derivitec.Web.Core.RiskEngine.ScenarioModelParameters, Derivitec.Web.Core additionalProperties: false description: The scenario model parameters. InstrumentIdentifierDoubleKeyValuePair: type: object properties: key: $ref: '#/components/schemas/InstrumentIdentifier' value: type: number format: double additionalProperties: false DividendBump: required: - $type type: object properties: shock_sizes: type: array items: type: number format: double description: Gets or sets the shock sizes nullable: true tenors: type: array items: type: string description: Gets or sets the tenors. nullable: true maturities: type: array items: type: integer format: int32 description: Gets or sets the maturities. nullable: true bump_cash_dividends: type: boolean description: Gets or sets a value indicating whether bump cash dividends bump_dividend_yields: type: boolean description: Gets or sets a value indicating whether bump dividend yields bump_confirmed_dividends: type: boolean description: Gets or sets a value indicating whether bump confirmed dividends all_in_rate_bumps: type: array items: type: number format: double description: Gets or sets the shock sizes nullable: true asset_identifier: $ref: '#/components/schemas/InstrumentIdentifier' $type: type: string enum: - Derivitec.Web.Core.MarketData.DividendBump, Derivitec.Web.Core additionalProperties: false description: The discount curve bump. InstrumentIdentifierDividendBumpKeyValuePair: type: object properties: key: $ref: '#/components/schemas/InstrumentIdentifier' value: $ref: '#/components/schemas/DividendBump' additionalProperties: false StringDoubleKeyValuePair: type: object properties: key: type: string nullable: true value: type: number format: double additionalProperties: false VolSurfaceSpotModelDefinition: required: - $type type: object properties: provider_id: type: string description: >- Market-data provider code recorded as the source of the contribution. Defaults to Derivitec. nullable: true derivitec_created: type: string description: Timestamp at which the market-data record was created. derivitec_modified: type: string description: Optional timestamp of the record's latest modification. nullable: true uploaded_date_time: type: string description: >- Optional timestamp at which the contribution was uploaded. UploadRateAssets ignores the supplied value on each rate asset and stores the current UTC time. nullable: true derivitec_modified_by: type: string description: >- Principal recorded as the latest modifier. UploadRateAssets ignores the supplied value on each rate asset and stores the authenticated user identifier. nullable: true uploaded_by: type: string description: >- Principal recorded as the uploader. UploadRateAssets ignores the supplied value on each rate asset and stores the authenticated user identifier. nullable: true rolled: type: boolean description: Whether the contribution has been rolled. example: false asset: $ref: '#/components/schemas/InstrumentIdentifier' reference_date: type: string description: >- Required date-only reference date at midnight, without timezone conversion. Tenor maturities are calculated from this date. format: date-time model_id: type: string description: >- Required nonblank model identifier, shared with the equity scenario's spot-model selection. Asset, reference date, model ID and provider identify the record replaced by this upload. nullable: true tenors: type: array items: type: string description: >- Required nonempty tenor strings such as 1M, 3M and 1Y. Maturities must be positive and strictly increasing from ReferenceDate; entries align with both beta lists. nullable: true betas_up: type: array items: type: number format: double description: >- Required finite coefficients for positive relative equity spot shocks, one per tenor. The absolute decimal ATMF volatility change is beta times the relative spot shock; beta -1 and shock 0.01 give a volatility change of -0.01. Negative and zero betas are allowed. nullable: true betas_dn: type: array items: type: number format: double description: >- Required finite coefficients for negative relative equity spot shocks, one per tenor. The absolute decimal ATMF volatility change is beta times the signed relative spot shock. Negative and zero betas are allowed. nullable: true $type: type: string enum: - >- Derivitec.Web.Core.MarketData.VolSurfaceSpotModelDefinition, Derivitec.Web.Core additionalProperties: false description: Beta-adjusted ATMF spot model inputs for an equity volatility index. InstrumentIdentifierEquityVolIndexBumpKeyValuePair: type: object properties: key: $ref: '#/components/schemas/InstrumentIdentifier' value: $ref: '#/components/schemas/EquityVolIndexBump' additionalProperties: false EqVolIndexVolSurfaceBump: required: - $type type: object properties: vol_bump: type: number format: double use_proportional_vol_bumps: type: boolean use_parallel_shift: type: boolean bumped_vol_floor: type: number format: double $type: type: string enum: - >- Derivitec.Web.Core.MarketData.EqVolIndexVolSurfaceBump, Derivitec.Web.Core additionalProperties: false description: The equity vol index vol surface bump. InstrumentIdentifierEqVolIndexVolSurfaceBumpKeyValuePair: type: object properties: key: $ref: '#/components/schemas/InstrumentIdentifier' value: $ref: '#/components/schemas/EqVolIndexVolSurfaceBump' additionalProperties: false EqVolSurfaceBump: required: - $type type: object properties: maturities: type: array items: type: integer format: int32 nullable: true tenors: type: array items: type: string nullable: true vol_bumps: type: array items: type: number format: double nullable: true vol_bump: type: number format: double use_proportional_vol_bumps: type: boolean bumped_vol_floor: type: number format: double $type: type: string enum: - Derivitec.Web.Core.MarketData.EqVolSurfaceBump, Derivitec.Web.Core additionalProperties: false description: The equity vol surface bump. InstrumentIdentifierEqVolSurfaceBumpKeyValuePair: type: object properties: key: $ref: '#/components/schemas/InstrumentIdentifier' value: $ref: '#/components/schemas/EqVolSurfaceBump' additionalProperties: false StringIVolShockFuncKeyValuePair: type: object properties: key: type: string nullable: true value: $ref: '#/components/schemas/IVolShockFunc' additionalProperties: false BumpConfiguration: required: - $type type: object properties: apply_bond_vol_surface_bump: type: boolean description: Get or sets the apply bond vol surface bump flag apply_cmdty_vol_surface_bump: type: boolean description: Get or sets the apply cmdty vol surface bump flag apply_equity_vol_surface_bump: type: boolean description: Get or sets the apply equity vol surface bump flag apply_survival_curve_bump: type: boolean description: Get or sets the apply survival curve bump flag apply_borrow_curve_bump: type: boolean description: Get or sets the apply borrow curve bump flag apply_discount_curve_bump: type: boolean apply_bond_yield_curve_bump: type: boolean apply_theta_scenario: type: boolean description: Get or sets the apply theta scenario flag apply_swaption_vol_cube_bump: type: boolean description: Get or sets the apply swaption vol cube bump flag apply_ir_futures_vol_cube_bump: type: boolean description: Get or sets the apply ir futures vol cube bump flag apply_fx_cross_scenario: type: boolean bond_vol_asymptote: type: number description: Gets or sets the asymptote. format: double bond_vol_bump_atmf_only: type: boolean description: Gets or sets a value indicating whether bump atmf only. bond_vol_spread: type: number description: Gets or sets the spread. format: double cmdty_vol_asymptote: type: number description: Gets or sets the asymptote. format: double cmdty_vol_bump_atmf_only: type: boolean description: Gets or sets a value indicating whether bump atmf only. cmdty_vol_spread: type: number description: Gets or sets the spread. format: double eq_vol_asymptote: type: number description: Gets or sets the asymptote. format: double eq_vol_bump_atmf_only: type: boolean description: Gets or sets a value indicating whether bump atmf only. eq_vol_spread: type: number description: Gets or sets the spread. format: double fx_vol_asymptote: type: number description: Gets or sets the asymptote. format: double fx_vol_bump_atmf_only: type: boolean description: Gets or sets a value indicating whether bump atmf only. fx_vol_spread: type: number description: Gets or sets the spread. format: double use_smoothened_bond_yield_curves: type: boolean description: Smoothen bond yield curves prior to computing bump use_provided_data_first: type: boolean description: >- Gets or sets a flag indicating whether provided data is preferred over Derivitec data when loading historical market data containers use_proportional_vol_bumps: type: boolean description: True to use proportional vol bumps eq_vol_index_vol_asymptote: type: number description: Gets or sets the asymptote. format: double eq_vol_index_vol_bump_atmf_only: type: boolean description: Gets or sets a value indicating whether bump atmf only. eq_vol_index_vol_spread: type: number description: Gets or sets the spread. format: double eq_vol_index_bump_equity: type: boolean description: True to bump nested equity in EquityVolIndex. eq_vol_index_bump_equity_vol_surface: type: boolean description: True to bump nested equity vol surface in EquityVolIndex. $type: type: string enum: - >- Derivitec.Web.Core.RiskEngine.BumpConfiguration, Derivitec.Web.Core additionalProperties: false StringDiscountCurveBumpKeyValuePair: type: object properties: key: type: string nullable: true value: $ref: '#/components/schemas/DiscountCurveBump' additionalProperties: false PowerFuncDouble: required: - $type type: object properties: min: type: number format: double nullable: true max: type: number format: double nullable: true slope: type: number format: double intercept: type: number format: double exponent: type: number format: double $type: type: string enum: - Derivitec.Web.Core.Func.PowerFuncDouble, Derivitec.Web.Core additionalProperties: false description: A function of the form Min(C, Max(F, a + b * x))^c SplineInterpolatedFuncDouble: required: - $type type: object additionalProperties: false properties: x_values: type: array items: type: number format: double description: Gets the x-values nullable: true y_values: type: array items: type: number format: double description: Gets the y-values nullable: true $type: type: string enum: - >- Derivitec.Web.Core.Func.SplineInterpolatedFuncDouble, Derivitec.Web.Core InstrumentIdentifier: description: >- Instrument code qualified by an identifier namespace and optional market code. discriminator: propertyName: $type mapping: Derivitec.Web.Core.MarketData.InstrumentIdentifier, Derivitec.Web.Core: '#/components/schemas/InstrumentIdentifierMintlifyShape' Derivitec.Web.Core.MarketData.InstrumentInfo, Derivitec.Web.Core: '#/components/schemas/InstrumentInfo' oneOf: - $ref: '#/components/schemas/InstrumentIdentifierMintlifyShape' - $ref: '#/components/schemas/InstrumentInfo' EquityVolIndexBump: required: - $type type: object properties: equity_bump: $ref: '#/components/schemas/EquityBump' equity_vol_surface_bump: $ref: '#/components/schemas/EqVolSurfaceBump' spread_curve_bump: $ref: '#/components/schemas/EquityVolIndexSpreadCurveBump' equity_vol_index_vol_surface_bump: $ref: '#/components/schemas/EqVolIndexVolSurfaceBump' spot_bump: type: number format: double use_proportional_spot_bump: type: boolean $type: type: string enum: - >- Derivitec.Web.Core.MarketData.EquityVolIndexBump, Derivitec.Web.Core additionalProperties: false description: The equity vol index bump. InstrumentIdentifierMintlifyShape: required: - $type type: object properties: code: type: string description: Instrument code interpreted in the selected identifier namespace. nullable: true identifier_type: enum: - Derivitec - Ric - Bloomberg - Isin - Figi - Sedol - RedCode - RedPairCode - BloombergYellow - XIgniteCode - CBondsId - EdiSecId - EdiSymbol - Cusip - NotSet type: string description: Namespace that determines how the instrument code is interpreted. market_identification_code: type: string description: >- Optional market identification code that further qualifies the instrument code. nullable: true $type: type: string enum: - >- Derivitec.Web.Core.MarketData.InstrumentIdentifier, Derivitec.Web.Core additionalProperties: false description: >- Instrument code qualified by an identifier namespace and optional market code. InstrumentInfo: required: - $type type: object properties: code: type: string description: Instrument code interpreted in the selected identifier namespace. nullable: true identifier_type: enum: - Derivitec - Ric - Bloomberg - Isin - Figi - Sedol - RedCode - RedPairCode - BloombergYellow - XIgniteCode - CBondsId - EdiSecId - EdiSymbol - Cusip - NotSet type: string description: Namespace that determines how the instrument code is interpreted. market_identification_code: type: string description: >- Optional market identification code that further qualifies the instrument code. nullable: true name: type: string description: Human-readable name of the identified instrument. nullable: true $type: type: string enum: - Derivitec.Web.Core.MarketData.InstrumentInfo, Derivitec.Web.Core additionalProperties: false description: Instrument identifier with a human-readable instrument name. EquityBump: required: - $type type: object properties: spot_bump: type: number format: double discount_curve_bump: $ref: '#/components/schemas/DiscountCurveBump' borrow_curve_bump: $ref: '#/components/schemas/DiscountCurveBump' dividend_bump: $ref: '#/components/schemas/DividendBump' asset_identifier: $ref: '#/components/schemas/InstrumentIdentifier' $type: type: string enum: - Derivitec.Web.Core.MarketData.EquityBump, Derivitec.Web.Core additionalProperties: false description: The equity bump. EquityVolIndexSpreadCurveBump: required: - $type type: object properties: maturities: type: array items: type: integer format: int32 nullable: true spread_bumps: type: array items: type: number format: double nullable: true $type: type: string enum: - >- Derivitec.Web.Core.MarketData.EquityVolIndexSpreadCurveBump, Derivitec.Web.Core additionalProperties: false description: The equity vol index spread curve bump. securitySchemes: oauth2: type: oauth2 description: >- OAuth2 access-token requested from AWS Cognito and provided as a Auth Bearer header flows: implicit: authorizationUrl: https://auth.riskportal.derivitec.com/oauth2/authorize scopes: {} apikey: type: apiKey description: API-Key requested via the site and provided as a header name: x-api-key in: header ````