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:
Upload Market Params: https://app.swaggerhub.com/apis/vannarho/market-params_upload_api/1.0.0
Upload Risk Params: https://app.swaggerhub.com/apis/vannarho/risk-params_upload_api/1.0.0
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.
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:
vannarho.xml: the master configuration file
portfolio.xml: details of the trades
netting.xml: CSA details
pricingengine.xml: pricing engines to use per trade type
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:
market.txt: the market quotes for the AsOf date
fixings.txt: historical prices to build curves
todaysmarket.xml: specification of the different curves to use when pricing
curveconfig.xml: The configuration of various term structures required to price a portfolio
conventions.xml: The conventions to associate with a set market quotes in the construction of termstructures
The way these interact for a hypothetical IT Swap is outlined in the diagram below.
To keep it simple, let's assume the following case:
Portfolio: Composite of two Equity Swaps
Market: Pseudo market as of 25/02/2021
Analytics requested: NPV
See the example of the configurations required for Upload Risk Params and Upload Market Params using this simplified case.