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POST
Calculate Parametric VaR

Authorizations

X-API-Key
string
header
required

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

Body

application/json
portfolio_value
number
required

Total portfolio value in currency units

Example:

1000000

volatility
number
required

Annualized volatility (standard deviation) as a decimal (e.g., 0.20 for 20%)

Required range: x >= 0
Example:

0.2

confidence
number
default:0.99

Confidence level for VaR calculation (e.g., 0.99 for 99%)

Required range: 0.5 <= x <= 0.999
Example:

0.99

horizon
integer
default:1

Time horizon in days for VaR calculation

Required range: x >= 1
Example:

1

Response

Successful VaR calculation

success
boolean
Example:

true

data
object