Quickstart Batch Risk APIs:  summary

Here is a sample and top level description of the key Risk APIs and associated inputs for configuring and running risk analyses. There is a detailed data dictionary for each input file. Please contact us for more details.  All risk outputs write to a BigQuery dataset configured for your company and can be accessed via the Google Cloud sdk (e.g. https://cloud.google.com/bigquery/docs/bq-command-line-tool) or BQ API (https://cloud.google.com/bigquery/docs/reference/rest). Security, logs etc APIs use the Google Cloud Platform APIs (e.g. https://cloud.google.com/iam/docs/reference/rest).

At the top level, the "QuickStart" APIs are:


Start Risk Job
https://app.swaggerhub.com/apis/vannarho/start-risk_job/1.0.0

Based on the market and risk / analysis parameters provided (as discussed below), this API starts a risk job within the K8 cluster, monitors and reports on it's status and then updates Big Query.

Upload Risk Params

https://app.swaggerhub.com/apis/vannarho/uploadRiskParams/1.0.0

This is the set of inputs around the nature of the analytics to be performed and the portfolio. 

The key inputs configurations are: 

   
Upload Market Params

https://app.swaggerhub.com/apis/vannarho/market-params_upload_api/1.0.0

This is the set of market data inputs which can be reused for different counterparty / portfolio analyses. 

It includes:


The way these interact for a hypothetical IT Swap is outlined in the diagram below. 



Curves Configuration for IR Swap (Example)

Worked Examples

To keep it simple, let's assume the following case:


See the example of the configurations required for Upload Risk Params and Upload Market Params using this simplified case.