Calculate Incremental VaR
curl --request POST \
--url https://api.fincept.in/quantlib/risk/var/incremental \
--header 'Content-Type: application/json' \
--header 'X-API-Key: <api-key>' \
--data '
{
"portfolio_returns": [
0.008,
-0.012,
0.015,
-0.005,
0.009
],
"new_position_returns": [
0.025,
-0.035,
0.018,
-0.008,
0.02
],
"position_weight": 0.15,
"confidence": 0.95,
"portfolio_value": 5000000
}
'import requests
url = "https://api.fincept.in/quantlib/risk/var/incremental"
payload = {
"portfolio_returns": [0.008, -0.012, 0.015, -0.005, 0.009],
"new_position_returns": [0.025, -0.035, 0.018, -0.008, 0.02],
"position_weight": 0.15,
"confidence": 0.95,
"portfolio_value": 5000000
}
headers = {
"X-API-Key": "<api-key>",
"Content-Type": "application/json"
}
response = requests.post(url, json=payload, headers=headers)
print(response.text)const options = {
method: 'POST',
headers: {'X-API-Key': '<api-key>', 'Content-Type': 'application/json'},
body: JSON.stringify({
portfolio_returns: [0.008, -0.012, 0.015, -0.005, 0.009],
new_position_returns: [0.025, -0.035, 0.018, -0.008, 0.02],
position_weight: 0.15,
confidence: 0.95,
portfolio_value: 5000000
})
};
fetch('https://api.fincept.in/quantlib/risk/var/incremental', options)
.then(res => res.json())
.then(res => console.log(res))
.catch(err => console.error(err));<?php
$curl = curl_init();
curl_setopt_array($curl, [
CURLOPT_URL => "https://api.fincept.in/quantlib/risk/var/incremental",
CURLOPT_RETURNTRANSFER => true,
CURLOPT_ENCODING => "",
CURLOPT_MAXREDIRS => 10,
CURLOPT_TIMEOUT => 30,
CURLOPT_HTTP_VERSION => CURL_HTTP_VERSION_1_1,
CURLOPT_CUSTOMREQUEST => "POST",
CURLOPT_POSTFIELDS => json_encode([
'portfolio_returns' => [
0.008,
-0.012,
0.015,
-0.005,
0.009
],
'new_position_returns' => [
0.025,
-0.035,
0.018,
-0.008,
0.02
],
'position_weight' => 0.15,
'confidence' => 0.95,
'portfolio_value' => 5000000
]),
CURLOPT_HTTPHEADER => [
"Content-Type: application/json",
"X-API-Key: <api-key>"
],
]);
$response = curl_exec($curl);
$err = curl_error($curl);
curl_close($curl);
if ($err) {
echo "cURL Error #:" . $err;
} else {
echo $response;
}package main
import (
"fmt"
"strings"
"net/http"
"io"
)
func main() {
url := "https://api.fincept.in/quantlib/risk/var/incremental"
payload := strings.NewReader("{\n \"portfolio_returns\": [\n 0.008,\n -0.012,\n 0.015,\n -0.005,\n 0.009\n ],\n \"new_position_returns\": [\n 0.025,\n -0.035,\n 0.018,\n -0.008,\n 0.02\n ],\n \"position_weight\": 0.15,\n \"confidence\": 0.95,\n \"portfolio_value\": 5000000\n}")
req, _ := http.NewRequest("POST", url, payload)
req.Header.Add("X-API-Key", "<api-key>")
req.Header.Add("Content-Type", "application/json")
res, _ := http.DefaultClient.Do(req)
defer res.Body.Close()
body, _ := io.ReadAll(res.Body)
fmt.Println(string(body))
}HttpResponse<String> response = Unirest.post("https://api.fincept.in/quantlib/risk/var/incremental")
.header("X-API-Key", "<api-key>")
.header("Content-Type", "application/json")
.body("{\n \"portfolio_returns\": [\n 0.008,\n -0.012,\n 0.015,\n -0.005,\n 0.009\n ],\n \"new_position_returns\": [\n 0.025,\n -0.035,\n 0.018,\n -0.008,\n 0.02\n ],\n \"position_weight\": 0.15,\n \"confidence\": 0.95,\n \"portfolio_value\": 5000000\n}")
.asString();require 'uri'
require 'net/http'
url = URI("https://api.fincept.in/quantlib/risk/var/incremental")
http = Net::HTTP.new(url.host, url.port)
http.use_ssl = true
request = Net::HTTP::Post.new(url)
request["X-API-Key"] = '<api-key>'
request["Content-Type"] = 'application/json'
request.body = "{\n \"portfolio_returns\": [\n 0.008,\n -0.012,\n 0.015,\n -0.005,\n 0.009\n ],\n \"new_position_returns\": [\n 0.025,\n -0.035,\n 0.018,\n -0.008,\n 0.02\n ],\n \"position_weight\": 0.15,\n \"confidence\": 0.95,\n \"portfolio_value\": 5000000\n}"
response = http.request(request)
puts response.read_body{
"success": true,
"data": {
"incremental_var": 15250
}
}{
"detail": "Invalid API key"
}{
"detail": "Insufficient credits. This endpoint requires 5 credits."
}{
"detail": [
{
"loc": [
"<string>"
],
"msg": "<string>",
"type": "<string>"
}
]
}quantlib-risk
Calculate Incremental VaR
Calculates how much portfolio VaR increases when adding a new position. This measures the absolute change in VaR from including the new asset, helping traders and portfolio managers assess the risk impact of new trades before execution. [Tier: PRO, Credits: 5]
POST
/
quantlib
/
risk
/
var
/
incremental
Calculate Incremental VaR
curl --request POST \
--url https://api.fincept.in/quantlib/risk/var/incremental \
--header 'Content-Type: application/json' \
--header 'X-API-Key: <api-key>' \
--data '
{
"portfolio_returns": [
0.008,
-0.012,
0.015,
-0.005,
0.009
],
"new_position_returns": [
0.025,
-0.035,
0.018,
-0.008,
0.02
],
"position_weight": 0.15,
"confidence": 0.95,
"portfolio_value": 5000000
}
'import requests
url = "https://api.fincept.in/quantlib/risk/var/incremental"
payload = {
"portfolio_returns": [0.008, -0.012, 0.015, -0.005, 0.009],
"new_position_returns": [0.025, -0.035, 0.018, -0.008, 0.02],
"position_weight": 0.15,
"confidence": 0.95,
"portfolio_value": 5000000
}
headers = {
"X-API-Key": "<api-key>",
"Content-Type": "application/json"
}
response = requests.post(url, json=payload, headers=headers)
print(response.text)const options = {
method: 'POST',
headers: {'X-API-Key': '<api-key>', 'Content-Type': 'application/json'},
body: JSON.stringify({
portfolio_returns: [0.008, -0.012, 0.015, -0.005, 0.009],
new_position_returns: [0.025, -0.035, 0.018, -0.008, 0.02],
position_weight: 0.15,
confidence: 0.95,
portfolio_value: 5000000
})
};
fetch('https://api.fincept.in/quantlib/risk/var/incremental', options)
.then(res => res.json())
.then(res => console.log(res))
.catch(err => console.error(err));<?php
$curl = curl_init();
curl_setopt_array($curl, [
CURLOPT_URL => "https://api.fincept.in/quantlib/risk/var/incremental",
CURLOPT_RETURNTRANSFER => true,
CURLOPT_ENCODING => "",
CURLOPT_MAXREDIRS => 10,
CURLOPT_TIMEOUT => 30,
CURLOPT_HTTP_VERSION => CURL_HTTP_VERSION_1_1,
CURLOPT_CUSTOMREQUEST => "POST",
CURLOPT_POSTFIELDS => json_encode([
'portfolio_returns' => [
0.008,
-0.012,
0.015,
-0.005,
0.009
],
'new_position_returns' => [
0.025,
-0.035,
0.018,
-0.008,
0.02
],
'position_weight' => 0.15,
'confidence' => 0.95,
'portfolio_value' => 5000000
]),
CURLOPT_HTTPHEADER => [
"Content-Type: application/json",
"X-API-Key: <api-key>"
],
]);
$response = curl_exec($curl);
$err = curl_error($curl);
curl_close($curl);
if ($err) {
echo "cURL Error #:" . $err;
} else {
echo $response;
}package main
import (
"fmt"
"strings"
"net/http"
"io"
)
func main() {
url := "https://api.fincept.in/quantlib/risk/var/incremental"
payload := strings.NewReader("{\n \"portfolio_returns\": [\n 0.008,\n -0.012,\n 0.015,\n -0.005,\n 0.009\n ],\n \"new_position_returns\": [\n 0.025,\n -0.035,\n 0.018,\n -0.008,\n 0.02\n ],\n \"position_weight\": 0.15,\n \"confidence\": 0.95,\n \"portfolio_value\": 5000000\n}")
req, _ := http.NewRequest("POST", url, payload)
req.Header.Add("X-API-Key", "<api-key>")
req.Header.Add("Content-Type", "application/json")
res, _ := http.DefaultClient.Do(req)
defer res.Body.Close()
body, _ := io.ReadAll(res.Body)
fmt.Println(string(body))
}HttpResponse<String> response = Unirest.post("https://api.fincept.in/quantlib/risk/var/incremental")
.header("X-API-Key", "<api-key>")
.header("Content-Type", "application/json")
.body("{\n \"portfolio_returns\": [\n 0.008,\n -0.012,\n 0.015,\n -0.005,\n 0.009\n ],\n \"new_position_returns\": [\n 0.025,\n -0.035,\n 0.018,\n -0.008,\n 0.02\n ],\n \"position_weight\": 0.15,\n \"confidence\": 0.95,\n \"portfolio_value\": 5000000\n}")
.asString();require 'uri'
require 'net/http'
url = URI("https://api.fincept.in/quantlib/risk/var/incremental")
http = Net::HTTP.new(url.host, url.port)
http.use_ssl = true
request = Net::HTTP::Post.new(url)
request["X-API-Key"] = '<api-key>'
request["Content-Type"] = 'application/json'
request.body = "{\n \"portfolio_returns\": [\n 0.008,\n -0.012,\n 0.015,\n -0.005,\n 0.009\n ],\n \"new_position_returns\": [\n 0.025,\n -0.035,\n 0.018,\n -0.008,\n 0.02\n ],\n \"position_weight\": 0.15,\n \"confidence\": 0.95,\n \"portfolio_value\": 5000000\n}"
response = http.request(request)
puts response.read_body{
"success": true,
"data": {
"incremental_var": 15250
}
}{
"detail": "Invalid API key"
}{
"detail": "Insufficient credits. This endpoint requires 5 credits."
}{
"detail": [
{
"loc": [
"<string>"
],
"msg": "<string>",
"type": "<string>"
}
]
}Authorizations
API key for authentication. Get your key at https://api.fincept.in/auth/register
Body
application/json
Historical returns of the existing portfolio
Example:
[0.01, -0.015, 0.008]
Historical returns of the position to be added
Example:
[0.02, -0.025, 0.012]
Weight of new position as fraction of total portfolio value
Required range:
0 <= x <= 1Example:
0.1
Example:
0.99
Example:
1000000
⌘I
