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POST
/
quantlib
/
risk
/
portfolio-risk
/
exposure-profile
Calculate Exposure Profile (EPE and PFE)
curl --request POST \
  --url https://api.fincept.in/quantlib/risk/portfolio-risk/exposure-profile \
  --header 'Content-Type: application/json' \
  --header 'X-API-Key: <api-key>' \
  --data '
{
  "paths": [
    [
      100000,
      110000,
      125000,
      135000,
      145000
    ],
    [
      100000,
      95000,
      105000,
      115000,
      130000
    ],
    [
      100000,
      105000,
      98000,
      110000,
      120000
    ],
    [
      100000,
      92000,
      88000,
      95000,
      105000
    ]
  ],
  "confidence": 0.95
}
'
{
  "success": true,
  "data": {
    "epe_profile": [
      100000,
      100500,
      104000,
      113750,
      125000
    ],
    "pfe_profile": [
      100000,
      109250,
      123250,
      133250,
      143250
    ]
  }
}

Authorizations

​
X-API-Key
string
header
required

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

Body

application/json
​
paths
number[][]
required

Simulated exposure paths (Monte Carlo scenarios)

Example:
[
  [100000, 105000, 110000],
  [100000, 98000, 103000]
]
​
confidence
number
default:0.95

Confidence level for PFE calculation

Example:

0.95

Response

Exposure profiles

​
success
boolean
Example:

true

​
data
object