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POST
/
quantlib
/
risk
/
var
/
parametric
Calculate Parametric VaR
curl --request POST \
  --url https://api.fincept.in/quantlib/risk/var/parametric \
  --header 'Content-Type: application/json' \
  --header 'X-API-Key: <api-key>' \
  --data '
{
  "portfolio_value": 10000000,
  "volatility": 0.18,
  "confidence": 0.95,
  "horizon": 10
}
'
{
  "success": true,
  "data": {
    "var": 935812.46,
    "confidence": 0.95,
    "horizon": 10
  }
}

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