Skip to main content
POST
/
quantlib
/
regulatory
/
ifrs9
/
ecl-lifetime
curl --request POST \
  --url https://finceptbackend.share.zrok.io/quantlib/regulatory/ifrs9/ecl-lifetime \
  --header 'Content-Type: application/json' \
  --header 'X-API-Key: <api-key>' \
  --data '
{
  "pd_curve": [
    0.015,
    0.02,
    0.025,
    0.03,
    0.035
  ],
  "lgd": 0.45,
  "ead_curve": [
    1000000,
    800000,
    600000,
    400000,
    200000
  ],
  "discount_rates": [
    0.055,
    0.055,
    0.055,
    0.055,
    0.055
  ]
}
'
{
  "success": true,
  "data": {
    "lifetime_ecl": 65250
  }
}

Authorizations

​
X-API-Key
string
header
required

API key for authentication. Get your key at https://finceptbackend.share.zrok.io/auth/register

Body

application/json
​
pd_curve
number[]
required

Probability of Default for each period over the life of the instrument (e.g., annual PDs for a 5-year loan)

Required range: 0 <= x <= 1
Example:
[0.015, 0.02, 0.025, 0.03, 0.035]
​
lgd
number
required

Loss Given Default (0-1) - assumed constant over life

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

0.45

​
ead_curve
number[]
required

Exposure at Default for each period (may decrease for amortizing loans or increase for revolving facilities)

Example:
[1000000, 800000, 600000, 400000, 200000]
​
discount_rates
number[]
required

Discount rates (effective interest rate) for each period for present value calculation

Example:
[0.055, 0.055, 0.055, 0.055, 0.055]

Response

Lifetime ECL calculated successfully

​
success
boolean
Example:

true

​
data
object