Everysk PortEngine API

Portfolio Stress Test for developers

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Benefit from a flexible Rest API

Benefit from a flexible
Rest API

Use our integrated Data+Analytics

Use our integrated
Data+Analytics

Customize your ideal risk workflow

Customize your ideal
risk workflow

Programmatically Stress Test a multi-asset, multi-currency portfolio with longs and shorts in just a few seconds. In your language of choice.


STRESS TESTING

THE MOST GRANULAR PORTFOLIO STRESS TESTING ANALYTICS EVER PRODUCED

  • More than 200K securities can be used to stress test your portfolio.
  • Compute your portfolio's expected PL as a result of any shock, as well as worst and best outcomes (tail risks).
  • Break down those portfolio risks from a specific shock by: positions, various aggregations, as well as factor models.
curl -X POST \ 
     -H "Content-Type: application/json" \ 
     -u YOUR_ACCOUNT_SID:YOUR_AUTH_TOKEN \ 
     -d '{ \ 
                "tickerlist": { \ 
                    "id1": ["AAPL", 1000.0, ""], \ 
                    "id2": ["SIE:XETR", 750.0, ""], \ 
                    "id3": ["SPY 20170317 P218 6.10", 50.0, ""], \ 
                    "id4": ["SPY 20170317 P210 3.90", -50.0, ""], \ 
                    "id5": ["SPY 20170317 C230 1.65", -50.0, ""] \ 
                }, \ 
                "date": "20161129", \ 
                "shock": "IND:SPX", \ 
                "magnitude": -0.1 \ 
            }' \ 
     https://www.everysk.com/api/v1/st_aggregation
{ 
    "status": 200, 
    "message": "OK", 
    "response": { 
        "shock": "IND:SPX", 
        "magnitude": -0.10000000000000001, 
        "values": [ 
            { 
                "id": "id1", 
                "cvarneg": -0.12698833644390106, 
                "ev": -0.048793364316225052, 
                "cvarpos": 0.06385590136051178 
            }, 
            { 
                "id": "id2", 
                "cvarneg": -0.046152170747518539, 
                "ev": -0.050321150571107864, 
                "cvarpos": -0.038498613983392715 
            }, 
            { 
                "id": "id3", 
                "cvarneg": 0.058471489697694778, 
                "ev": 0.25768530368804932, 
                "cvarpos": 0.3891269862651825 
            }, 
            { 
                "id": "id4", 
                "cvarneg": -0.039468418806791306, 
                "ev": -0.17299547791481018, 
                "cvarpos": -0.26233664155006409 
            }, 
            { 
                "id": "id5", 
                "cvarneg": 0.012051614932715893, 
                "ev": 0.077505290508270264, 
                "cvarpos": 0.1104322075843811 
            } 
        ] 
    } 
}


RISK ATTRIBUTION

INSTANT CLARITY INTO HIDDEN PORTFOLIO RISK CONCENTRATIONS

curl -X POST \ 
     -H "Content-Type: application/json" \ 
     -u YOUR_ACCOUNT_SID:YOUR_AUTH_TOKEN \ 
     -d '{ \ 
                "tickerlist": { \ 
                    "id1": ["AAPL", 1000.0, ""], \ 
                    "id2": ["SIE:XETR", 750.0, ""], \ 
                    "id3": ["SPY 20170317 P218 6.10", 50.0, ""], \ 
                    "id4": ["SPY 20170317 P210 3.90", -50.0, ""], \ 
                    "id5": ["SPY 20170317 C230 1.65", -50.0, ""] \ 
                }, \ 
                "date": "20161129" \ 
            }' \ 
     https://www.everysk.com/api/v1/mctr_aggregation
{ 
    "status": 200, 
    "message": "OK", 
    "response": { 
        "values": [ 
            { 
                "id": "id1", 
                "mctr": 0.045066885650157928 
            }, 
            { 
                "id": "id2", 
                "mctr": -0.0074527356773614883 
            }, 
            { 
                "id": "id3", 
                "mctr": 0.12422529608011246 
            }, 
            { 
                "id": "id4", 
                "mctr": -0.081305034458637238 
            }, 
            { 
                "id": "id5", 
                "mctr": 0.064020827412605286 
            } 
        ] 
    } 
}
  • Marginal contribution to total risk from: positions, sectors, countries, market capitalization, liquidity, implied rating, duration and user-defined labels.
  • Marginal contribution to total risk from factor models which are defined on-the-fly from any security or index in our database.
  • Marginal contribution to total risk from longs, shorts, domestic and foreign securities, options and other customized buckets.


CHARACTERISTICS

LEVERAGE, LIQUIDITY AND MORE AT YOUR FINGERTIPS

  • Retrieve all relevant portfolio properties, in one API call: gross and net exposure, liquidity (days to unwind - DTU), forward looking volatility, value at risk (VaR), conditional VaR (CVaR).
  • Delta-adjusted exposures by each: position, sector, country, liquidity, market capitalization and user-defined labels.
curl -X POST \ 
     -H "Content-Type: application/json" \ 
     -u YOUR_ACCOUNT_SID:YOUR_AUTH_TOKEN \ 
     -d '{ \ 
                "tickerlist": { \ 
                    "id1": ["AAPL", 1000.0, ""], \ 
                    "id2": ["SIE:XETR", 750.0, ""], \ 
                    "id3": ["SPY 20170317 P218 6.10", 50.0, ""], \ 
                    "id4": ["SPY 20170317 P210 3.90", -50.0, ""], \ 
                    "id5": ["SPY 20170317 C230 1.65", -50.0, ""] \ 
                }, \ 
                "date": "20161129" \ 
            }' \ 
     https://www.everysk.com/api/v1/properties
{ 
    "status": 200, 
    "message": "OK",  
    "response": { 
        "values": { 
            "cvar": -0.045205502060369468, 
            "net_exposure": -0.99801421877771546, 
            "gross_exposure": 5.7067257609204356, 
            "expected_return": -0.063287683909551973, 
            "expected_volatility": 0.14363617555772909, 
            "var": -0.035484939565652018, 
            "liquidity": 0.00085208790180733699 
        } 
    } 
}

90

Exchanges

160K

Global Equities

+ETFs

+Mutual Funds

+Equity Options

40

Currencies

+FX Forwards

+FX Options

Corporate Bonds

+Term Loan

+Convertible Bonds

+Exchangeable Bonds

+Credit Default Swaps

Indices

+Index Options

Government Bonds

+Interest Rate Swaps

Futures

+Future Options

SUBSCRIPTION PLANS

API Plus Plan

  • REST API
  • Multi-currency portfolios
  • Portfolio base currency from a choice of 40 currencies
  • Coverage: Global stocks, ETFs, mutual funds, currencies, indices, corporate bonds, government bonds, term debt, convertibles and exchangeables. Derivatives including: equity options, FX forwards, futures, future options, index options, interest rate swaps and credit default swaps
  • Granular API calls to perform stress tests and risk attribution.
  • Simulate historical portfolios
  • 120 Request/minute Rate limit

WHAT HAPPENS WHEN I REQUEST A DEMO?

We will ask you some basic information such as your name and corporate email to be able to schedule a demo. If you decide to trial PortEngine API after the demo, we will provide you with an account at the appropriate subscription plan, free of charge. You will also receive an Account SID and a Token to access the API.

WHAT HAPPENS DURING THE TRIAL?

We will help you run some API calls with your portfolio and answer any questions you might still have. You have 7 days to use the API free of charge.

HOW TO BECOME A SUBSCRIBER?

At any point during the free trial you can become a subscriber of the plan highlighted in the PLANS page. After you confirm your subscription, you will receive an automatic invoice from Everysk and you will have 7 more days to pay.

HOW AM I GOING TO BE INVOICED?

Our annual subscriptions are invoiced every 3 months, in arrears. You will receive these invoices automatically. Payment can be either by: credit card, check or money wire. All the history of invoices can be found in your BILLING page.