> ## 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. # Retrieve a VaR report's raw data or formatted report view. > Returns the selected completed VaR report as raw data when `ReturnRawData` is `true`, or as its formatted report view when it is `false`. Caller access and effective restrictions are server-managed, and validation failures remain in the normal response envelope. ## OpenAPI ````yaml /risk-and-pricing/atoti-risk-services/apis-endpoints/openapi/openapi.mintlify.json post /api/VarReport/GetHistoricalVarReport 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/VarReport/GetHistoricalVarReport: post: tags: - VarReport summary: Retrieve a VaR report's raw data or formatted report view. description: >- Returns the selected completed VaR report as raw data when `ReturnRawData` is `true`, or as its formatted report view when it is `false`. Caller access and effective restrictions are server-managed, and validation failures remain in the normal response envelope. operationId: GetHistoricalVarReport requestBody: description: >- The body containing the opaque `ReportId`, optional `PortfolioType`, `ConfidenceLevel`, `RowQuery`, and `WeightingVarDefinition`, plus `ReturnRawData`, which defaults to `false`. content: application/json-patch+json: schema: $ref: '#/components/schemas/ApiGetHistoricalVarReportRequest' application/json: schema: $ref: '#/components/schemas/ApiGetHistoricalVarReportRequest' text/json: schema: $ref: '#/components/schemas/ApiGetHistoricalVarReportRequest' application/*+json: schema: $ref: '#/components/schemas/ApiGetHistoricalVarReportRequest' responses: '200': description: >- Returns raw VaR report data or the formatted report view, with validation failures represented in the response envelope. content: application/json: schema: $ref: '#/components/schemas/ApiGetHistoricalVarReportResponse' '400': description: BadRequest '401': description: Unauthorized '403': description: Forbidden security: - oauth2: [] - apikey: [] components: schemas: ApiGetHistoricalVarReportRequest: required: - $type type: object properties: confidence_level: type: number description: >- Optional VaR confidence-level override expressed as a decimal fraction; null retains the report's configured level. format: double nullable: true example: 0.99 row_query: $ref: '#/components/schemas/FilterBase' weighting_var_definition: $ref: '#/components/schemas/WeightingVarDefinition' row_restriction_filter: $ref: '#/components/schemas/FilterBase' full_report_filter: $ref: '#/components/schemas/MultiFilter' report_configuration: $ref: '#/components/schemas/VarReportConfiguration' report_id: type: string description: >- Opaque identifier of the report run to retrieve or query. The value must not be null or empty. nullable: true portfolio_type: enum: - derivitec - enfusion - orchestrade - liquidity_book - maia - fund_studio - not_set type: string description: >- Portfolio category used to resolve the requested portfolio. It may be omitted when the portfolio name resolves unambiguously. nullable: true return_raw_data: type: boolean description: >- Whether to return the raw result representation instead of formatted report data. $type: type: string enum: - >- Derivitec.Web.Core.Reports.ApiGetHistoricalVarReportRequest, Derivitec.Web.Core additionalProperties: false description: Selectors for retrieving historical VaR report data. ApiGetHistoricalVarReportResponse: required: - $type type: object 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 report_data: $ref: '#/components/schemas/VarReportData' $type: type: string enum: - >- Derivitec.Web.Core.Reports.ApiGetHistoricalVarReportResponse, Derivitec.Web.Core additionalProperties: false description: Historical VaR report data returned for the selected run. FilterBase: description: Base selection criterion for a named report-data field. discriminator: propertyName: $type mapping: Derivitec.Web.Core.Filters.Filter, Derivitec.Web.Core: '#/components/schemas/FilterMintlifyShape' Derivitec.Web.Core.Filters.FilterBase, Derivitec.Web.Core: '#/components/schemas/FilterBaseMintlifyShape' Derivitec.Web.Core.Filters.MultiFilter, Derivitec.Web.Core: '#/components/schemas/MultiFilter' Derivitec.Web.Core.Filters.StringFilter, Derivitec.Web.Core: '#/components/schemas/StringFilter' oneOf: - $ref: '#/components/schemas/FilterMintlifyShape' - $ref: '#/components/schemas/FilterBaseMintlifyShape' - $ref: '#/components/schemas/MultiFilter' - $ref: '#/components/schemas/StringFilter' WeightingVarDefinition: required: - $type type: object properties: active: type: boolean description: Whether the VaR weighting configuration is enabled. window_length: type: integer description: Window-length value; no unit is established here. format: int32 decay_period: type: integer description: Decay-period value; no unit is established here. format: int32 scheme: enum: - exponentially_weighted - filtered_historical type: string description: Weighting scheme selected for the historical VaR configuration. $type: type: string enum: - >- Derivitec.Web.Core.Reports.WeightingVarDefinition, Derivitec.Web.Core additionalProperties: false description: Configuration used to select VaR weighting behaviour. MultiFilter: required: - $type type: object properties: field: type: string description: Name of the report-data field evaluated by this criterion. nullable: true operator: enum: - not_set - and - or type: string description: Logical rule used to combine the child criteria. conditions: type: array items: $ref: '#/components/schemas/FilterBase' description: >- Child criteria evaluated by the selected logical operator; nested groups are permitted. nullable: true $type: type: string enum: - Derivitec.Web.Core.Filters.MultiFilter, Derivitec.Web.Core additionalProperties: false description: >- Nested filter group that combines child criteria with a logical operator. VarReportConfiguration: required: - $type type: object properties: name: type: string description: Display name for this report-query or export configuration. nullable: true example: Default row_query: $ref: '#/components/schemas/FilterBase' confidence_level: type: number description: >- Optional VaR confidence-level override expressed as a decimal fraction; null retains the report's configured level. format: double nullable: true example: 0.99 weighting_var_definition: $ref: '#/components/schemas/WeightingVarDefinition' $type: type: string enum: - Derivitec.Web.Core.VarReportConfiguration, Derivitec.Web.Core additionalProperties: false description: >- Optional named overrides used when querying or exporting a historical VaR report. VarReportData: required: - $type type: object properties: market_data_error_summary: $ref: '#/components/schemas/MarketDataErrorSummary' position_import_errors: type: array items: $ref: '#/components/schemas/PositionImportError' description: Position-import errors recorded with the report. nullable: true portfolio_name: type: string description: >- Portfolio name associated with the report run or saved launcher item. nullable: true real_time_market_data: type: boolean description: Whether the report uses the exposed real-time market-data selection. report_id: type: string description: Opaque identifier of the report run. nullable: true reporting_currency: type: string description: >- Currency used to express monetary report values; the code format is not constrained here. nullable: true report_name: type: string description: >- Name of the report definition associated with the run, schedule, restriction, or launcher item. nullable: true status: enum: - none - succeeded - failed - running - warning type: string description: Lifecycle state recorded for the report run or scheduled item. status_message: type: string description: >- Human-readable diagnostic associated with the recorded report or schedule state. nullable: true time_stamp: type: string description: >- Timestamp recorded for the report run; no time-zone convention is established by this contract. format: date-time market_data_environment_names: type: array items: type: string description: >- Names of market-data environments associated with the report run or saved launcher item. nullable: true market_data_date: type: string description: Market-data date used or recorded for the report run. format: date-time pricing_date: type: string description: >- Date used to price positions for the report; no time-zone convention is established by this contract. format: date-time portfolio_date_time: type: string description: >- Portfolio snapshot date and time used or recorded for the report; no time-zone convention is established here. format: date-time portfolio_id: type: integer description: Opaque identifier of the portfolio associated with the report run. format: int32 portfolio_var_statistics: $ref: '#/components/schemas/VarStatistics' scenario_portfolio_var_statistics: type: array items: $ref: '#/components/schemas/VarStatistics' description: Scenario portfolio-level VaR statistics returned with the report. nullable: true scenarios: type: array items: $ref: '#/components/schemas/RiskScenario' description: Scenario definitions represented in the VaR result. nullable: true tradable_var_statistics: type: array items: $ref: '#/components/schemas/VarStatistics' description: Tradable-level VaR statistics returned with the report. nullable: true user_time_zone_id: type: string description: >- Time-zone identifier associated with presentation of report timestamps; accepted identifier formats are not defined here. nullable: true position_infos: type: array items: $ref: '#/components/schemas/VarPositionInfo' description: Position information returned with VaR report data. nullable: true historical_observation_dates: type: array items: type: string format: date-time description: Historical observation dates returned with VaR report data. nullable: true excluded_price_histories_by_tradable_id: type: object additionalProperties: $ref: '#/components/schemas/PriceHistory' description: Excluded price-history data keyed by opaque tradable identifier. nullable: true excluded_scenario_price_histories_by_tradable_id: type: array items: type: object additionalProperties: $ref: '#/components/schemas/PriceHistory' description: >- Excluded scenario collections of price-history data, each keyed by opaque tradable identifier. nullable: true price_histories_by_tradable_id: type: object additionalProperties: $ref: '#/components/schemas/PriceHistory' description: Price-history data keyed by opaque tradable identifier. nullable: true scenario_price_histories_by_tradable_id: type: array items: type: object additionalProperties: $ref: '#/components/schemas/PriceHistory' description: >- Scenario collections of price-history data, each keyed by opaque tradable identifier. nullable: true $type: type: string enum: - Derivitec.Web.Core.Reports.VarReportData, Derivitec.Web.Core additionalProperties: false description: VaR data returned for a report run. FilterMintlifyShape: required: - $type type: object properties: field: type: string description: Name of the report-data field evaluated by this criterion. nullable: true type: type: string nullable: true $type: type: string enum: - Derivitec.Web.Core.Filters.Filter, Derivitec.Web.Core additionalProperties: false FilterBaseMintlifyShape: required: - $type type: object properties: field: type: string description: Name of the report-data field evaluated by this criterion. nullable: true $type: type: string enum: - Derivitec.Web.Core.Filters.FilterBase, Derivitec.Web.Core additionalProperties: false description: Base selection criterion for a named report-data field. StringFilter: required: - $type type: object properties: field: type: string description: Name of the report-data field evaluated by this criterion. nullable: true type: type: string nullable: true filter: type: string nullable: true $type: type: string enum: - Derivitec.Web.Core.Filters.StringFilter, Derivitec.Web.Core additionalProperties: false MarketDataErrorSummary: required: - $type type: object properties: bond_vol_surface_errors: type: array items: $ref: '#/components/schemas/BondVolSurfaceError' description: >- Failures collected while resolving bond volatility-surface market data. nullable: true bond_yield_curve_errors: type: array items: $ref: '#/components/schemas/BondYieldCurveError' description: Failures collected while resolving bond yield-curve market data. nullable: true bond_yield_curve_spread_errors: type: array items: $ref: '#/components/schemas/BondYieldCurveSpreadError' description: >- Failures collected while resolving bond yield-curve spread market data. nullable: true credit_event_errors: type: array items: $ref: '#/components/schemas/CreditEventError' description: Failures collected while resolving credit-event market data. nullable: true calendar_errors: type: array items: type: string description: Failures collected while resolving calendar market data. nullable: true cmdty_vol_surface_errors: type: array items: $ref: '#/components/schemas/CmdtyVolSurfaceError' description: >- Failures collected while resolving commodity volatility-surface market data. nullable: true commodity_errors: type: array items: $ref: '#/components/schemas/CommodityError' description: Failures collected while resolving commodity market data. nullable: true credit_index_correlation_errors: type: array items: $ref: '#/components/schemas/CreditIndexCorrelationError' description: >- Failures collected while resolving credit-index correlation market data. nullable: true credit_swaption_vol_cube_errors: type: array items: $ref: '#/components/schemas/CreditSwaptionVolCubeError' description: >- Failures collected while resolving credit swaption volatility-cube market data. nullable: true discount_curve_errors: type: array items: $ref: '#/components/schemas/DiscountCurveError' description: Failures collected while resolving discount-curve market data. nullable: true equity_asset_errors: type: array items: $ref: '#/components/schemas/EquityAssetError' description: Failures collected while resolving equity-asset market data. nullable: true equity_equity_correlation_errors: type: array items: $ref: '#/components/schemas/EquityEquityCorrelationError' description: >- Failures collected while resolving equity-to-equity correlation market data. nullable: true equity_fx_correlation_errors: type: array items: $ref: '#/components/schemas/EquityFxCorrelationError' description: >- Failures collected while resolving equity-to-FX correlation market data. nullable: true eq_ir_correlation_errors: type: array items: $ref: '#/components/schemas/EqIRCorrelationError' description: >- Failures collected while resolving equity-to-interest-rate correlation market data. nullable: true fx_fx_correlation_errors: type: array items: $ref: '#/components/schemas/FxFxCorrelationError' description: Failures collected while resolving FX-to-FX correlation market data. nullable: true equity_vol_index_errors: type: array items: $ref: '#/components/schemas/EquityVolIndexError' description: >- Failures collected while resolving equity volatility-index market data. nullable: true equity_vol_index_vol_surface_errors: type: array items: $ref: '#/components/schemas/EquityVolIndexVolSurfaceError' description: >- Failures collected while resolving equity volatility-index surface market data. nullable: true equity_vol_surface_errors: type: array items: $ref: '#/components/schemas/EquityVolSurfaceError' description: >- Failures collected while resolving equity volatility-surface market data. nullable: true equity_vol_of_var_curve_errors: type: array items: $ref: '#/components/schemas/EquityVolOfVarCurveError' description: >- Failures collected while resolving equity volatility-of-variance curve market data. nullable: true dividend_index_errors: type: array items: $ref: '#/components/schemas/DividendIndexError' description: Failures collected while resolving dividend-index market data. nullable: true dividend_index_vol_surface_errors: type: array items: $ref: '#/components/schemas/DividendIndexVolSurfaceError' description: >- Failures collected while resolving dividend-index volatility-surface market data. nullable: true fx_vol_of_var_curve_errors: type: array items: $ref: '#/components/schemas/FxVolOfVarCurveError' description: >- Failures collected while resolving FX volatility-of-variance curve market data. nullable: true fx_cross_errors: type: array items: $ref: '#/components/schemas/FxCrossError' description: Failures collected while resolving FX-cross market data. nullable: true fx_vol_surface_errors: type: array items: $ref: '#/components/schemas/FxVolSurfaceError' description: >- Failures collected while resolving FX volatility-surface market data. nullable: true andersen_buffum_parameters_errors: type: array items: $ref: '#/components/schemas/AndersenBuffumParametersError' description: >- Failures collected while resolving Andersen-Buffum parameter market data. nullable: true ir_futures_vol_cube_errors: type: array items: $ref: '#/components/schemas/IrFuturesVolCubeError' description: >- Failures collected while resolving interest-rate futures volatility-cube market data. nullable: true rate_asset_errors: type: array items: $ref: '#/components/schemas/RateAssetError' description: Failures collected while resolving rate-asset market data. nullable: true recovery_rate_errors: type: array items: $ref: '#/components/schemas/RecoveryRateError' description: Failures collected while resolving recovery-rate market data. nullable: true probability_of_default_errors: type: array items: $ref: '#/components/schemas/ProbabilityOfDefaultError' description: >- Failures collected while resolving probability-of-default market data. nullable: true amortisation_rate_errors: type: array items: $ref: '#/components/schemas/AmortisationRateError' description: Failures collected while resolving amortisation-rate market data. nullable: true survival_curve_errors: type: array items: $ref: '#/components/schemas/SurvivalCurveError' description: Failures collected while resolving survival-curve market data. nullable: true swaption_vol_cube_errors: type: array items: $ref: '#/components/schemas/SwaptionVolCubeError' description: >- Failures collected while resolving swaption volatility-cube market data. nullable: true $type: type: string enum: - >- Derivitec.Web.Core.MarketData.MarketDataErrorSummary, Derivitec.Web.Core additionalProperties: false description: Market-data failures grouped by the affected data category. PositionImportError: required: - $type type: object properties: message: type: string description: User-facing explanation of the import problem. nullable: true error_level: enum: - error - warning type: string description: Severity assigned to the import problem. row_data: type: object additionalProperties: type: string description: >- Non-empty submitted row values converted to strings and keyed by column name when the problem belongs to a row; absent for table-level problems. error_columns: type: array items: type: string description: Column names whose values are invalid in the returned row data. nullable: true error_group_name: type: string description: >- User-facing category used to group related import problems; defaults to an empty string. nullable: true $type: type: string enum: - >- Derivitec.Web.Core.Positions.PositionImportError, Derivitec.Web.Core additionalProperties: false description: >- Import problem with severity, optional affected-row context, invalid columns, and a display grouping. VarStatistics: required: - $type type: object properties: component_var: type: number description: >- Component contribution to portfolio value at risk, in the enclosing report's value units. format: double component_var_pct: type: number description: >- Component value at risk as a percentage of the calculation value base; grouped rows use the enclosing portfolio's initial value. format: double expected_shortfall: type: number description: Expected shortfall in the enclosing report's value units. format: double expected_shortfall_pct: type: number description: >- Expected shortfall as a percentage of the calculation value base; grouped rows use the enclosing portfolio's initial value. format: double id: type: string description: >- Identifier of the portfolio, tradable, scenario, or group represented by these statistics. nullable: true marginal_var: type: number description: Marginal value at risk in the enclosing report's value units. format: double marginal_var_pct: type: number description: >- Marginal value at risk as a percentage of the calculation value base; grouped rows use the enclosing portfolio's initial value. format: double mean: type: number description: >- Mean of the P&L observations used for these statistics, in the enclosing report's value units. format: double message: type: string description: >- Diagnostic message when the statistics are invalid or incomplete; otherwise empty. nullable: true name: type: string description: >- Human-readable name of the portfolio, tradable, scenario, or group represented by these statistics. nullable: true std_dev: type: number description: >- Standard deviation of the P&L observations, in the enclosing report's value units. format: double std_dev_pct: type: number description: >- P&L standard deviation as a percentage of the calculation value base; grouped rows use the enclosing portfolio's initial value. format: double valid: type: boolean description: Whether the returned statistics were calculated successfully. var: type: number description: >- Value at risk at the enclosing report's confidence level, in the report's value units. format: double var_pct: type: number description: >- Value at risk as a percentage of the calculation value base; grouped rows use the enclosing portfolio's initial value. format: double worst_day: type: string description: >- Observation date associated with the minimum P&L observation in the returned history. format: date-time worst_day_index: type: integer description: >- Zero-based index of the minimum P&L observation in the returned history. format: int32 example: 0 worst_loss: type: number description: >- Minimum P&L observation capped at zero, in the enclosing report's value units; zero when every observation is positive. format: double aum: type: number description: >- Value base associated with this statistics row; grouped percentage fields use the enclosing portfolio's initial value instead. format: double $type: type: string enum: - Derivitec.Web.Core.RiskEngine.VarStatistics, Derivitec.Web.Core additionalProperties: false description: >- Reports value-at-risk statistics for a portfolio, tradable, scenario, or aggregation group. 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' VarPositionInfo: required: - $type type: object properties: asset_id: type: string description: Asset identifier used to classify the position in VaR output. nullable: true asset_name: type: string description: Asset display name used to classify the position in VaR output. nullable: true issuer_name: type: string description: Issuer display name associated with the position instrument. nullable: true bond_issuer_type: type: string description: Bond-issuer category carried with the position for VaR grouping. nullable: true book_id: type: integer description: Book identifier carried with the position for VaR grouping. format: int32 book_name: type: string description: Book display name carried with the position for VaR grouping. nullable: true business_unit: type: string description: Business-unit label carried with the position for VaR grouping. nullable: true client: type: string description: Client label carried with the position for VaR grouping. nullable: true client_name: type: string description: Client display name carried with the position for VaR grouping. nullable: true client_parent_entity: type: string description: Parent-entity label associated with the position client. nullable: true client_tradable_id: type: string description: Client-supplied tradable identifier carried with the VaR position. nullable: true client_transaction_id: type: string description: >- Client-supplied transaction identifier carried with the VaR position. nullable: true commodity_id: type: string description: Commodity identifier used to classify the position in VaR output. nullable: true counterparty: type: string description: Counterparty label carried with the position for VaR grouping. nullable: true counterparty_account: type: string description: Counterparty-account label carried with the position. nullable: true counterparty_name: type: string description: Counterparty display name carried with the position. nullable: true date_label1: type: string description: >- Client-defined date attribute 1 carried with the VaR position; no time-zone convention is established here. format: date-time nullable: true date_label2: type: string description: >- Client-defined date attribute 2 carried with the VaR position; no time-zone convention is established here. format: date-time nullable: true dealer_name: type: string description: Dealer display name associated with the position. nullable: true dealer_status: type: string description: Dealer status associated with the position. nullable: true dealing_bank: type: string description: Dealing-bank label associated with the position. nullable: true dealing_bank_name: type: string description: Dealing-bank display name associated with the position. nullable: true decimal_label1: type: number description: >- Client-defined numeric attribute 1 carried with the VaR position; no unit is established here. format: double nullable: true decimal_label2: type: number description: >- Client-defined numeric attribute 2 carried with the VaR position; no unit is established here. format: double nullable: true decimal_label3: type: number description: >- Client-defined numeric attribute 3 carried with the VaR position; no unit is established here. format: double nullable: true decimal_label4: type: number description: >- Client-defined numeric attribute 4 carried with the VaR position; no unit is established here. format: double nullable: true decimal_label5: type: number description: >- Client-defined numeric attribute 5 carried with the VaR position; no unit is established here. format: double nullable: true decimal_label6: type: number description: >- Client-defined numeric attribute 6 carried with the VaR position; no unit is established here. format: double nullable: true decimal_label7: type: number description: >- Client-defined numeric attribute 7 carried with the VaR position; no unit is established here. format: double nullable: true decimal_label8: type: number description: >- Client-defined numeric attribute 8 carried with the VaR position; no unit is established here. format: double nullable: true decimal_label9: type: number description: >- Client-defined numeric attribute 9 carried with the VaR position; no unit is established here. format: double nullable: true decimal_label10: type: number description: >- Client-defined numeric attribute 10 carried with the VaR position; no unit is established here. format: double nullable: true entity: type: string description: Entity label carried with the position for VaR grouping. nullable: true equity_asset_code: type: string description: Equity asset code used to classify the position in VaR output. nullable: true exchange: type: string description: Exchange label associated with the position instrument. nullable: true futures_contract_size: type: number description: >- Futures contract size carried with the position; no unit is established here. format: double fx_cross: type: string description: Currency-pair label associated with the position. nullable: true fx_cross_id: type: string description: Identifier of the currency pair associated with the position. nullable: true holding: type: number description: >- Holding value carried with the VaR position; the contract does not define its unit. format: double instrument_code: type: string description: Instrument code used to identify the position in VaR output. nullable: true leg: type: string description: Instrument-leg label carried with the position. nullable: true level1_portfolio_id: type: integer description: >- Opaque identifier of portfolio hierarchy level 1 associated with the VaR position. format: int32 level1_portfolio_name: type: string description: >- Display name of portfolio hierarchy level 1 associated with the VaR position. nullable: true level2_portfolio_id: type: integer description: >- Opaque identifier of portfolio hierarchy level 2 associated with the VaR position. format: int32 level2_portfolio_name: type: string description: >- Display name of portfolio hierarchy level 2 associated with the VaR position. nullable: true level3_portfolio_id: type: integer description: >- Opaque identifier of portfolio hierarchy level 3 associated with the VaR position. format: int32 level3_portfolio_name: type: string description: >- Display name of portfolio hierarchy level 3 associated with the VaR position. nullable: true level4_portfolio_id: type: integer description: >- Opaque identifier of portfolio hierarchy level 4 associated with the VaR position. format: int32 level4_portfolio_name: type: string description: >- Display name of portfolio hierarchy level 4 associated with the VaR position. nullable: true level5_portfolio_id: type: integer description: >- Opaque identifier of portfolio hierarchy level 5 associated with the VaR position. format: int32 level5_portfolio_name: type: string description: >- Display name of portfolio hierarchy level 5 associated with the VaR position. nullable: true notes: type: string description: Free-text notes carried with the position. nullable: true quantity: type: number description: >- Position quantity carried with the VaR result; no unit is established here. format: double sector: type: string description: Sector classification carried with the position. nullable: true country_of_risk: type: string description: Country-of-risk label carried with the position for VaR grouping. nullable: true contract_currency: type: string description: >- Contract currency associated with the position; the code format is not constrained here. nullable: true security_type: type: string description: Security-type classification carried with the position. nullable: true strategy: type: string description: Strategy label carried with the position for VaR grouping. nullable: true structure: type: string description: Structure label carried with the position for VaR grouping. nullable: true sub_business_unit: type: string description: Sub-business-unit label carried with the position for VaR grouping. nullable: true team: type: string description: Team label carried with the position for VaR grouping. nullable: true tradable: type: string description: Tradable display value carried with the VaR position. nullable: true tradable_id: type: string description: Opaque tradable identifier associated with the VaR position. nullable: true product_type: type: string description: Product category used to classify the position in VaR output. nullable: true string_label1: type: string description: Client-defined text attribute 1 carried with the VaR position. nullable: true string_label2: type: string description: Client-defined text attribute 2 carried with the VaR position. nullable: true string_label3: type: string description: Client-defined text attribute 3 carried with the VaR position. nullable: true string_label4: type: string description: Client-defined text attribute 4 carried with the VaR position. nullable: true string_label5: type: string description: Client-defined text attribute 5 carried with the VaR position. nullable: true string_label6: type: string description: Client-defined text attribute 6 carried with the VaR position. nullable: true string_label7: type: string description: Client-defined text attribute 7 carried with the VaR position. nullable: true string_label8: type: string description: Client-defined text attribute 8 carried with the VaR position. nullable: true string_label9: type: string description: Client-defined text attribute 9 carried with the VaR position. nullable: true string_label10: type: string description: Client-defined text attribute 10 carried with the VaR position. nullable: true string_label11: type: string description: Client-defined text attribute 11 carried with the VaR position. nullable: true string_label12: type: string description: Client-defined text attribute 12 carried with the VaR position. nullable: true string_label13: type: string description: Client-defined text attribute 13 carried with the VaR position. nullable: true string_label14: type: string description: Client-defined text attribute 14 carried with the VaR position. nullable: true string_label15: type: string description: Client-defined text attribute 15 carried with the VaR position. nullable: true string_label16: type: string description: Client-defined text attribute 16 carried with the VaR position. nullable: true string_label17: type: string description: Client-defined text attribute 17 carried with the VaR position. nullable: true string_label18: type: string description: Client-defined text attribute 18 carried with the VaR position. nullable: true string_label19: type: string description: Client-defined text attribute 19 carried with the VaR position. nullable: true string_label20: type: string description: Client-defined text attribute 20 carried with the VaR position. nullable: true ctpty_string_label1: type: string description: Counterparty text attribute 1 carried with the VaR position. nullable: true ctpty_string_label2: type: string description: Counterparty text attribute 2 carried with the VaR position. nullable: true ctpty_string_label3: type: string description: Counterparty text attribute 3 carried with the VaR position. nullable: true calculated_string_label1: type: string description: Calculated text attribute 1 carried with the VaR position. nullable: true calculated_string_label2: type: string description: Calculated text attribute 2 carried with the VaR position. nullable: true calculated_string_label3: type: string description: Calculated text attribute 3 carried with the VaR position. nullable: true calculated_string_label4: type: string description: Calculated text attribute 4 carried with the VaR position. nullable: true $type: type: string enum: - Derivitec.Web.Core.Reports.VarPositionInfo, Derivitec.Web.Core additionalProperties: false description: Position-level information returned with VaR report data. PriceHistory: required: - $type type: object properties: final_prices: type: array items: type: number format: double description: >- Historical scenario prices in the same order as `final_prices_valid`; leading observation dates used for return lags may have no corresponding final price. nullable: true final_prices_valid: type: array items: type: boolean description: Validity flags aligned by index with `final_prices`. nullable: true initial_price: type: number description: >- Base price from which historical changes are evaluated, in the request's reporting currency. format: double initial_price_valid: type: boolean description: Whether `initial_price` is a valid calculated price. message: type: string description: >- Diagnostic message when a base or historical scenario price is unavailable or invalid; otherwise empty. nullable: true observation_dates: type: array items: type: string format: date-time description: Ordered historical observation dates used by the returned series. nullable: true $type: type: string enum: - Derivitec.Web.Core.RiskEngine.PriceHistory, Derivitec.Web.Core additionalProperties: false description: Represents base and historical scenario prices for one tradable. BondVolSurfaceError: required: - $type type: object properties: message: type: string description: Diagnostic message explaining the market-data failure. nullable: true reference_date: type: string description: Market-data reference date to which the failure applies. futures_market_id: type: string description: Futures market whose bond volatility surface failed. nullable: true bond_short_name: type: string description: Short name of the bond whose volatility surface failed. nullable: true $type: type: string enum: - >- Derivitec.Web.Core.MarketData.BondVolSurfaceError, Derivitec.Web.Core additionalProperties: false description: >- Identifies a bond volatility surface that could not be returned or processed. BondYieldCurveError: required: - $type type: object properties: message: type: string description: Diagnostic message explaining the market-data failure. nullable: true reference_date: type: string description: Market-data reference date to which the failure applies. currency: type: string description: Currency dimension of the curve that failed. nullable: true issuer_id: type: string description: Issuer selector. nullable: true debt_type: type: string description: >- Debt seniority or debt-type classification used to distinguish issuer curves. nullable: true issuer_name: type: string description: Issuer name included to locate the failed curve. nullable: true $type: type: string enum: - >- Derivitec.Web.Core.MarketData.BondYieldCurveError, Derivitec.Web.Core additionalProperties: false description: >- Identifies an issuer, currency, and debt-type curve that could not be returned or processed. BondYieldCurveSpreadError: required: - $type type: object properties: message: type: string description: Diagnostic message explaining the market-data failure. nullable: true reference_date: type: string description: Market-data reference date to which the failure applies. bond_id: type: string description: Bond selector. nullable: true isin: type: string description: ISIN included to locate the bond whose spread failed. nullable: true $type: type: string enum: - >- Derivitec.Web.Core.MarketData.BondYieldCurveSpreadError, Derivitec.Web.Core additionalProperties: false description: Identifies a bond for which a curve spread could not be produced. CreditEventError: required: - $type type: object properties: message: type: string description: Diagnostic message explaining the market-data failure. nullable: true reference_date: type: string description: Market-data reference date to which the failure applies. bond_id: type: string description: Bond selector. nullable: true default_date: type: string description: Default date for this observation. $type: type: string enum: - Derivitec.Web.Core.MarketData.CreditEventError, Derivitec.Web.Core additionalProperties: false description: Identifies a bond and default date for credit-event processing failure. CmdtyVolSurfaceError: required: - $type type: object properties: message: type: string description: Diagnostic message explaining the market-data failure. nullable: true reference_date: type: string description: Market-data reference date to which the failure applies. commodity_id: type: string description: Commodity whose volatility-surface processing failed. nullable: true commodity_name: type: string description: Name of the commodity whose volatility surface failed. nullable: true $type: type: string enum: - >- Derivitec.Web.Core.MarketData.CmdtyVolSurfaceError, Derivitec.Web.Core additionalProperties: false description: >- Identifies a commodity volatility surface that could not be returned or processed. CommodityError: required: - $type type: object properties: message: type: string description: Diagnostic message explaining the market-data failure. nullable: true reference_date: type: string description: Market-data reference date to which the failure applies. commodity_id: type: string description: Commodity whose data processing failed. nullable: true commodity_name: type: string description: Name of the commodity whose data processing failed. nullable: true $type: type: string enum: - Derivitec.Web.Core.MarketData.CommodityError, Derivitec.Web.Core additionalProperties: false description: Identifies commodity data that could not be returned or processed. CreditIndexCorrelationError: required: - $type type: object properties: message: type: string description: Diagnostic message explaining the market-data failure. nullable: true reference_date: type: string description: Market-data reference date to which the failure applies. index_id: type: string description: Credit index whose correlation processing failed. nullable: true index_name: type: string description: Name of the credit index whose correlation processing failed. nullable: true $type: type: string enum: - >- Derivitec.Web.Core.MarketData.CreditIndexCorrelationError, Derivitec.Web.Core additionalProperties: false description: Identifies a credit index whose correlation data could not be processed. CreditSwaptionVolCubeError: required: - $type type: object properties: message: type: string description: Diagnostic message explaining the market-data failure. nullable: true reference_date: type: string description: Market-data reference date to which the failure applies. credit_id: type: string description: Credit index whose volatility-cube processing failed. nullable: true name: type: string description: Display name. nullable: true $type: type: string enum: - >- Derivitec.Web.Core.MarketData.CreditSwaptionVolCubeError, Derivitec.Web.Core additionalProperties: false description: >- Identifies a credit-swaption volatility cube that could not be returned or processed. DiscountCurveError: required: - $type type: object properties: message: type: string description: Diagnostic message explaining the market-data failure. nullable: true reference_date: type: string description: Market-data reference date to which the failure applies. currency: type: string description: Currency of the curve that could not be returned or processed. nullable: true $type: type: string enum: - >- Derivitec.Web.Core.MarketData.DiscountCurveError, Derivitec.Web.Core additionalProperties: false description: Identifies a currency curve that could not be returned or processed. EquityAssetError: required: - $type type: object properties: message: type: string description: Diagnostic message explaining the market-data failure. nullable: true reference_date: type: string description: Market-data reference date to which the failure applies. asset_id: type: string description: Asset identifier of the affected equity. nullable: true asset_ric: type: string description: RIC recorded for the affected equity asset. nullable: true asset_x_ignite_code: type: string description: Xignite code recorded for the affected equity asset. nullable: true asset_edi_code: type: string description: EDI code recorded for the affected equity asset. nullable: true notes: type: string description: Diagnostic notes returned for the equity-asset failure. nullable: true $type: type: string enum: - Derivitec.Web.Core.MarketData.EquityAssetError, Derivitec.Web.Core additionalProperties: false description: >- Identifies an equity asset whose market data failed and carries diagnostic notes. EquityEquityCorrelationError: required: - $type type: object properties: message: type: string description: Diagnostic message explaining the market-data failure. nullable: true reference_date: type: string description: Market-data reference date to which the failure applies. asset1_id: type: string description: Asset identifier of the first equity in the failed pair. nullable: true asset1_name: type: string description: Display name of the first equity in the failed pair. nullable: true asset2_id: type: string description: Asset identifier of the second equity in the failed pair. nullable: true asset2_name: type: string description: Display name of the second equity in the failed pair. nullable: true $type: type: string enum: - >- Derivitec.Web.Core.MarketData.EquityEquityCorrelationError, Derivitec.Web.Core additionalProperties: false description: Identifies an equity pair for which correlation data failed. EquityFxCorrelationError: required: - $type type: object properties: message: type: string description: Diagnostic message explaining the market-data failure. nullable: true reference_date: type: string description: Market-data reference date to which the failure applies. eq_asset_id: type: string description: Asset identifier of the equity in the failed pair. nullable: true eq_asset_name: type: string description: Display name of the equity in the failed pair. nullable: true fx_cross_id: type: string description: FX-cross identifier in the failed pair. nullable: true $type: type: string enum: - >- Derivitec.Web.Core.MarketData.EquityFxCorrelationError, Derivitec.Web.Core additionalProperties: false description: Identifies an equity and FX cross for which correlation data failed. EqIRCorrelationError: required: - $type type: object properties: message: type: string description: Diagnostic message explaining the market-data failure. nullable: true reference_date: type: string description: Market-data reference date to which the failure applies. equity_id: type: string description: Equity identifier involved in the failed correlation lookup. nullable: true equity_name: type: string description: Display name of the equity involved in the failure. nullable: true fixing_instrument_id: type: string description: Interest-rate fixing-instrument code involved in the failure. nullable: true $type: type: string enum: - >- Derivitec.Web.Core.MarketData.EqIRCorrelationError, Derivitec.Web.Core additionalProperties: false description: >- Identifies an equity and fixing instrument for which equity-to-interest-rate correlation data failed. FxFxCorrelationError: required: - $type type: object properties: message: type: string description: Diagnostic message explaining the market-data failure. nullable: true reference_date: type: string description: Market-data reference date to which the failure applies. fx_cross1_id: type: string description: Identifier of the first FX cross in the failed pair. nullable: true fx_cross1_name: type: string description: Display name of the first FX cross in the failed pair. nullable: true fx_cross2_id: type: string description: Identifier of the second FX cross in the failed pair. nullable: true fx_cross2_name: type: string description: Display name of the second FX cross in the failed pair. nullable: true $type: type: string enum: - >- Derivitec.Web.Core.MarketData.FxFxCorrelationError, Derivitec.Web.Core additionalProperties: false description: Identifies an FX-pair combination for which correlation data failed. EquityVolIndexError: required: - $type type: object properties: message: type: string description: Diagnostic message explaining the market-data failure. nullable: true reference_date: type: string description: Market-data reference date to which the failure applies. eq_vol_index_id: type: string description: Identifier of the affected equity volatility index. nullable: true eq_vol_index_name: type: string description: Display name of the affected equity volatility index. nullable: true eq_vol_index_ric: type: string description: RIC recorded for the affected equity volatility index. nullable: true $type: type: string enum: - >- Derivitec.Web.Core.MarketData.EquityVolIndexError, Derivitec.Web.Core additionalProperties: false description: Identifies an equity volatility index whose market data failed. EquityVolIndexVolSurfaceError: required: - $type type: object properties: message: type: string description: Diagnostic message explaining the market-data failure. nullable: true reference_date: type: string description: Market-data reference date to which the failure applies. eq_vol_index_id: type: string description: Identifier of the affected equity volatility index. nullable: true eq_vol_index_ric: type: string description: RIC recorded for the affected equity volatility index. nullable: true $type: type: string enum: - >- Derivitec.Web.Core.MarketData.EquityVolIndexVolSurfaceError, Derivitec.Web.Core additionalProperties: false description: Identifies an equity volatility-index surface whose market data failed. EquityVolSurfaceError: required: - $type type: object properties: message: type: string description: Diagnostic message explaining the market-data failure. nullable: true reference_date: type: string description: Market-data reference date to which the failure applies. asset_id: type: string description: Asset identifier of the affected equity. nullable: true asset_ric: type: string description: RIC recorded for the affected equity. nullable: true $type: type: string enum: - >- Derivitec.Web.Core.MarketData.EquityVolSurfaceError, Derivitec.Web.Core additionalProperties: false description: Identifies an equity volatility surface whose market data failed. EquityVolOfVarCurveError: required: - $type type: object properties: message: type: string description: Diagnostic message explaining the market-data failure. nullable: true reference_date: type: string description: Market-data reference date to which the failure applies. eq_vol_of_var_index_id: type: string description: Identifier of the affected equity volatility-of-variance index. nullable: true eq_vol_of_var_index_ric: type: string description: RIC recorded for the affected equity volatility-of-variance index. nullable: true $type: type: string enum: - >- Derivitec.Web.Core.MarketData.EquityVolOfVarCurveError, Derivitec.Web.Core additionalProperties: false description: >- Identifies an equity volatility-of-variance curve whose market data failed. DividendIndexError: required: - $type type: object properties: message: type: string description: Diagnostic message explaining the market-data failure. nullable: true reference_date: type: string description: Market-data reference date to which the failure applies. dividend_index_id: type: string description: Dividend index whose processing failed. nullable: true dividend_index_name: type: string description: Name of the dividend index whose processing failed. nullable: true dividend_index_ric: type: string description: RIC of the dividend index whose processing failed. nullable: true $type: type: string enum: - >- Derivitec.Web.Core.MarketData.DividendIndexError, Derivitec.Web.Core additionalProperties: false description: >- Identifies a dividend index whose data could not be returned or processed. DividendIndexVolSurfaceError: required: - $type type: object properties: message: type: string description: Diagnostic message explaining the market-data failure. nullable: true reference_date: type: string description: Market-data reference date to which the failure applies. dividend_index_id: type: string description: Dividend index whose volatility-surface processing failed. nullable: true dividend_index_ric: type: string description: RIC of the dividend index whose volatility surface failed. nullable: true futures_expiry_code: type: string description: >- Underlying futures expiry for a mid-curve option error; otherwise null or empty. nullable: true $type: type: string enum: - >- Derivitec.Web.Core.MarketData.DividendIndexVolSurfaceError, Derivitec.Web.Core additionalProperties: false description: >- Identifies a dividend-index volatility surface, including an underlying futures expiry when relevant, that could not be processed. FxVolOfVarCurveError: required: - $type type: object properties: message: type: string description: Diagnostic message explaining the market-data failure. nullable: true reference_date: type: string description: Market-data reference date to which the failure applies. fx_vol_of_var_index_id: type: string description: Identifier of the affected FX volatility-of-variance index. nullable: true fx_vol_of_var_index_ric: type: string description: RIC recorded for the affected FX volatility-of-variance index. nullable: true $type: type: string enum: - >- Derivitec.Web.Core.MarketData.FxVolOfVarCurveError, Derivitec.Web.Core additionalProperties: false description: Identifies an FX volatility-of-variance curve whose market data failed. FxCrossError: required: - $type type: object properties: message: type: string description: Diagnostic message explaining the market-data failure. nullable: true reference_date: type: string description: Market-data reference date to which the failure applies. fx_cross_id: type: string description: FX-cross identifier whose market data failed. nullable: true $type: type: string enum: - Derivitec.Web.Core.MarketData.FxCrossError, Derivitec.Web.Core additionalProperties: false description: Identifies an FX cross whose market data failed. FxVolSurfaceError: required: - $type type: object properties: message: type: string description: Diagnostic message explaining the market-data failure. nullable: true reference_date: type: string description: Market-data reference date to which the failure applies. fx_cross_id: type: string description: FX-cross identifier whose volatility surface failed. nullable: true $type: type: string enum: - >- Derivitec.Web.Core.MarketData.FxVolSurfaceError, Derivitec.Web.Core additionalProperties: false description: Identifies an FX volatility surface whose market data failed. AndersenBuffumParametersError: required: - $type type: object properties: message: type: string description: Diagnostic message explaining the market-data failure. nullable: true reference_date: type: string description: Market-data reference date to which the failure applies. equity_id: type: string description: Equity whose parameter processing failed. nullable: true $type: type: string enum: - >- Derivitec.Web.Core.MarketData.AndersenBuffumParametersError, Derivitec.Web.Core additionalProperties: false description: >- Identifies an equity whose Andersen–Buffum parameters could not be processed. IrFuturesVolCubeError: required: - $type type: object properties: message: type: string description: Diagnostic message explaining the market-data failure. nullable: true reference_date: type: string description: Market-data reference date to which the failure applies. futures_market_id: type: string description: Code of the futures market whose cube failed. nullable: true name: type: string description: Display name recorded for the failed interest-rate futures cube. nullable: true $type: type: string enum: - >- Derivitec.Web.Core.MarketData.IrFuturesVolCubeError, Derivitec.Web.Core additionalProperties: false description: >- Identifies an interest-rate futures volatility cube whose market data failed. RateAssetError: required: - $type type: object properties: message: type: string description: Diagnostic message explaining the rate-asset failure. nullable: true rate_asset_id: type: string description: Rate-asset identifier to which the failure applies. nullable: true reference_date: type: string description: Market-data reference date to which the failure applies. $type: type: string enum: - Derivitec.Web.Core.MarketData.RateAssetError, Derivitec.Web.Core additionalProperties: false description: >- Interest-rate asset failure with its asset code, date, and diagnostic message. RecoveryRateError: required: - $type type: object properties: message: type: string description: Diagnostic message explaining the market-data failure. nullable: true reference_date: type: string description: Market-data reference date to which the failure applies. bond_id: type: string description: Bond identifier involved in the recovery-rate failure. nullable: true issuer_id: type: string description: Issuer identifier involved in the failure. nullable: true issuer_name: type: string description: Display name of the issuer involved in the failure. nullable: true debt_type: type: string description: Debt-type label involved in the failure. nullable: true $type: type: string enum: - >- Derivitec.Web.Core.MarketData.RecoveryRateError, Derivitec.Web.Core additionalProperties: false description: Identifies issuer, debt, and bond context for a recovery-rate failure. ProbabilityOfDefaultError: required: - $type type: object properties: message: type: string description: Diagnostic message explaining the market-data failure. nullable: true reference_date: type: string description: Market-data reference date to which the failure applies. asset_id: type: string description: Asset identifier whose probability-of-default data failed. nullable: true $type: type: string enum: - >- Derivitec.Web.Core.MarketData.ProbabilityOfDefaultError, Derivitec.Web.Core additionalProperties: false description: Identifies an asset whose probability-of-default market data failed. AmortisationRateError: required: - $type type: object properties: message: type: string description: Diagnostic message explaining the market-data failure. nullable: true reference_date: type: string description: Market-data reference date to which the failure applies. asset_id: type: string description: Asset selector. nullable: true $type: type: string enum: - >- Derivitec.Web.Core.MarketData.AmortisationRateError, Derivitec.Web.Core additionalProperties: false description: >- Identifies an asset whose amortisation-rate input could not be processed. SurvivalCurveError: required: - $type type: object properties: message: type: string description: Diagnostic message explaining the market-data failure. nullable: true reference_date: type: string description: Market-data reference date to which the failure applies. currency: type: string description: Currency code involved in the survival-curve failure. nullable: true debt_type: type: string description: Debt-type label involved in the failure. nullable: true default_type: type: string description: Default-type label involved in the failure. nullable: true issuer_id: type: string description: Issuer identifier involved in the failure. nullable: true issuer_name: type: string description: Display name of the issuer involved in the failure. nullable: true $type: type: string enum: - >- Derivitec.Web.Core.MarketData.SurvivalCurveError, Derivitec.Web.Core additionalProperties: false description: >- Identifies issuer, currency, debt, and default context for a survival-curve failure. SwaptionVolCubeError: required: - $type type: object properties: message: type: string description: Diagnostic message explaining the market-data failure. nullable: true reference_date: type: string description: Market-data reference date to which the failure applies. rate_asset_id: type: string description: Rate-asset identifier whose swaption volatility cube failed. nullable: true $type: type: string enum: - >- Derivitec.Web.Core.MarketData.SwaptionVolCubeError, Derivitec.Web.Core additionalProperties: false description: Identifies a rate asset whose swaption volatility cube failed. 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 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. 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. 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. 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' 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 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' 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 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. 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' 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. 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 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 ````