Calculate Marginal VaR
curl --request POST \
--url https://api.fincept.in/quantlib/risk/var/marginal \
--header 'Content-Type: application/json' \
--header 'X-API-Key: <api-key>' \
--data '
{
"portfolio_returns": [
0.01,
-0.018,
0.012,
-0.006,
0.014
],
"new_position_returns": [
0.015,
-0.028,
0.02,
-0.01,
0.018
],
"position_weight": 0.2,
"confidence": 0.95
}
'import requests
url = "https://api.fincept.in/quantlib/risk/var/marginal"
payload = {
"portfolio_returns": [0.01, -0.018, 0.012, -0.006, 0.014],
"new_position_returns": [0.015, -0.028, 0.02, -0.01, 0.018],
"position_weight": 0.2,
"confidence": 0.95
}
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: [0.01, -0.018, 0.012, -0.006, 0.014],
new_position_returns: [0.015, -0.028, 0.02, -0.01, 0.018],
position_weight: 0.2,
confidence: 0.95
})
};
fetch('https://api.fincept.in/quantlib/risk/var/marginal', 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/marginal",
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' => [
0.01,
-0.018,
0.012,
-0.006,
0.014
],
'new_position_returns' => [
0.015,
-0.028,
0.02,
-0.01,
0.018
],
'position_weight' => 0.2,
'confidence' => 0.95
]),
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/marginal"
payload := strings.NewReader("{\n \"portfolio_returns\": [\n 0.01,\n -0.018,\n 0.012,\n -0.006,\n 0.014\n ],\n \"new_position_returns\": [\n 0.015,\n -0.028,\n 0.02,\n -0.01,\n 0.018\n ],\n \"position_weight\": 0.2,\n \"confidence\": 0.95\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/marginal")
.header("X-API-Key", "<api-key>")
.header("Content-Type", "application/json")
.body("{\n \"portfolio_returns\": [\n 0.01,\n -0.018,\n 0.012,\n -0.006,\n 0.014\n ],\n \"new_position_returns\": [\n 0.015,\n -0.028,\n 0.02,\n -0.01,\n 0.018\n ],\n \"position_weight\": 0.2,\n \"confidence\": 0.95\n}")
.asString();require 'uri'
require 'net/http'
url = URI("https://api.fincept.in/quantlib/risk/var/marginal")
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 0.01,\n -0.018,\n 0.012,\n -0.006,\n 0.014\n ],\n \"new_position_returns\": [\n 0.015,\n -0.028,\n 0.02,\n -0.01,\n 0.018\n ],\n \"position_weight\": 0.2,\n \"confidence\": 0.95\n}"
response = http.request(request)
puts response.read_body{
"success": true,
"data": {
"marginal_var": 102350.5
}
}{
"detail": "Invalid API key"
}{
"detail": "Insufficient credits. This endpoint requires 5 credits."
}{
"detail": [
{
"loc": [
"<string>"
],
"msg": "<string>",
"type": "<string>"
}
]
}quantlib-risk
Calculate Marginal VaR
Calculates the rate of change in portfolio VaR for a small increase in position size. This is the derivative of VaR with respect to position weight, useful for understanding how sensitive portfolio risk is to changes in a specific position. Critical for dynamic hedging and position sizing decisions. [Tier: PRO, Credits: 5]
POST
/
quantlib
/
risk
/
var
/
marginal
Calculate Marginal VaR
curl --request POST \
--url https://api.fincept.in/quantlib/risk/var/marginal \
--header 'Content-Type: application/json' \
--header 'X-API-Key: <api-key>' \
--data '
{
"portfolio_returns": [
0.01,
-0.018,
0.012,
-0.006,
0.014
],
"new_position_returns": [
0.015,
-0.028,
0.02,
-0.01,
0.018
],
"position_weight": 0.2,
"confidence": 0.95
}
'import requests
url = "https://api.fincept.in/quantlib/risk/var/marginal"
payload = {
"portfolio_returns": [0.01, -0.018, 0.012, -0.006, 0.014],
"new_position_returns": [0.015, -0.028, 0.02, -0.01, 0.018],
"position_weight": 0.2,
"confidence": 0.95
}
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: [0.01, -0.018, 0.012, -0.006, 0.014],
new_position_returns: [0.015, -0.028, 0.02, -0.01, 0.018],
position_weight: 0.2,
confidence: 0.95
})
};
fetch('https://api.fincept.in/quantlib/risk/var/marginal', 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/marginal",
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' => [
0.01,
-0.018,
0.012,
-0.006,
0.014
],
'new_position_returns' => [
0.015,
-0.028,
0.02,
-0.01,
0.018
],
'position_weight' => 0.2,
'confidence' => 0.95
]),
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/marginal"
payload := strings.NewReader("{\n \"portfolio_returns\": [\n 0.01,\n -0.018,\n 0.012,\n -0.006,\n 0.014\n ],\n \"new_position_returns\": [\n 0.015,\n -0.028,\n 0.02,\n -0.01,\n 0.018\n ],\n \"position_weight\": 0.2,\n \"confidence\": 0.95\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/marginal")
.header("X-API-Key", "<api-key>")
.header("Content-Type", "application/json")
.body("{\n \"portfolio_returns\": [\n 0.01,\n -0.018,\n 0.012,\n -0.006,\n 0.014\n ],\n \"new_position_returns\": [\n 0.015,\n -0.028,\n 0.02,\n -0.01,\n 0.018\n ],\n \"position_weight\": 0.2,\n \"confidence\": 0.95\n}")
.asString();require 'uri'
require 'net/http'
url = URI("https://api.fincept.in/quantlib/risk/var/marginal")
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 0.01,\n -0.018,\n 0.012,\n -0.006,\n 0.014\n ],\n \"new_position_returns\": [\n 0.015,\n -0.028,\n 0.02,\n -0.01,\n 0.018\n ],\n \"position_weight\": 0.2,\n \"confidence\": 0.95\n}"
response = http.request(request)
puts response.read_body{
"success": true,
"data": {
"marginal_var": 102350.5
}
}{
"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 being analyzed
Example:
[0.02, -0.025, 0.012]
Current weight of the position in the portfolio
Example:
0.1
Example:
0.99
⌘I
