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POST
/
quantlib
/
risk
/
evt
/
gev
Generalized Extreme Value (GEV) Distribution
curl --request POST \
  --url https://api.fincept.in/quantlib/risk/evt/gev \
  --header 'Content-Type: application/json' \
  --header 'X-API-Key: <api-key>' \
  --data '
{
  "data": [
    -0.08,
    -0.12,
    -0.05,
    -0.15,
    -0.09,
    -0.18,
    -0.11
  ],
  "fit_method": "mle",
  "return_periods": [
    10,
    50,
    100,
    250
  ]
}
'
{
  "success": true,
  "data": {
    "mu": -0.105,
    "sigma": 0.035,
    "xi": 0.18,
    "return_levels": {
      "10": -0.185,
      "50": -0.245,
      "100": -0.278,
      "250": -0.325
    }
  }
}

Authorizations

​
X-API-Key
string
header
required

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

Body

application/json
​
data
number[]
required

Block maxima (e.g., annual maximum losses)

Minimum array length: 20
Example:
[-0.08, -0.12, -0.05, -0.15]
​
fit_method
enum<string>
default:mle

Fitting method

Available options:
mle,
pwm
Example:

"mle"

​
return_periods
number[] | null

Return periods (in years) for which to calculate return levels

Example:
[10, 50, 100, 250]

Response

GEV fit results

​
success
boolean
Example:

true

​
data
object