curl --request POST \
  --url https://api.fincept.in/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
  }
}

{
  "detail": "Invalid API key"
}

{
  "detail": "Insufficient credits. This endpoint requires 5 credits."
}

{
  "detail": [
    {
      "loc": [
        "body",
        "cet1_capital"
      ],
      "msg": "field required",
      "type": "value_error.missing"
    }
  ]
}

quantlib-regulatory

Calculate Lifetime Expected Credit Loss

Calculates Lifetime Expected Credit Loss (ECL) for Stage 2 and Stage 3 financial assets under IFRS 9. Uses time-series curves of PD, EAD, and discount rates over the expected life of the instrument. Formula: sum over all periods of (PD_t * LGD * EAD_t * discount_factor_t). Lifetime ECL captures all expected credit losses over the remaining life of the instrument. Use this for Stage 2 (SICR) and Stage 3 (credit-impaired) loan loss provisioning and financial reporting. [Tier: ENTERPRISE, Credits: 10]

POST

quantlib

regulatory

ifrs9

ecl-lifetime

curl --request POST \
  --url https://api.fincept.in/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
  }
}

{
  "detail": "Invalid API key"
}

{
  "detail": "Insufficient credits. This endpoint requires 5 credits."
}

{
  "detail": [
    {
      "loc": [
        "body",
        "cet1_capital"
      ],
      "msg": "field required",
      "type": "value_error.missing"
    }
  ]
}

Authorizations

X-API-Key

string

header

required

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

Show child attributes

Free Tier (0 credits)

Basic Tier (1 credit)

Standard Tier (2 credits)

Pro Tier (5 credits)

Enterprise Tier (10 credits)

Calculate Lifetime Expected Credit Loss

Authorizations

Body

Response