QuantRisk

{'type': 'object', '$schema': 'http://json-schema.org/draft-07/schema#', 'required': ['positions'], 'properties': {'method': {'enum': ['historical', 'parametric', 'cornish_fisher'], 'type': 'string', 'default': 'historical', 'description': 'VaR calculation method. "historical" uses empirical return distribution, "parametric" assumes normality, "cornish_fisher" adjusts for skew and kurtosis. Default: "historical".'}, 'benchmark': {'type': 'string', 'default': 'SPY', 'maxLength': 10, 'minLength': 1, 'description': 'Benchmark ticker for beta calculation, e.g. SPY or QQQ. Default: SPY.'}, 'positions': {'type': 'array', 'items': {'type': 'object', 'required': ['ticker', 'quantity'], 'properties': {'ticker': {'type': 'string', 'pattern': '^[A-Z0-9.^-]{1,10}$', 'maxLength': 10, 'minLength': 1, 'description': 'Ticker symbol, e.g. AAPL or MSFT. Must be uppercase, 1-10 characters.'}, 'quantity': {'type': 'number', 'description': 'Number of shares held. Use a negative value to represent a short position.'}, 'cost_basis': {'anyOf': [{'type': 'number', 'exclusiveMinimum': 0}, {'type': 'null'}], 'description': 'Per-share cost basis in USD. Optional — used only for P&L calculations.'}}, 'additionalProperties': False}, 'maxItems': 500, 'minItems': 1, 'description': 'Array of portfolio positions. Each entry needs a ticker and quantity. Free tier: max 20 positions. Paid tier: up to 500.'}, 'horizon_days': {'type': 'integer', 'default': 1, 'maximum': 252, 'minimum': 1, 'description': 'Risk horizon in trading days. 1 = overnight, 21 ≈ 1 month, 252 ≈ 1 year. Default: 1.'}, 'lookback_days': {'type': 'integer', 'default': 252, 'maximum': 1260, 'minimum': 30, 'description': 'Number of historical trading days to use. 252 ≈ 1 year, 756 ≈ 3 years. Range: 30-1260. Default: 252.'}, 'confidence_level': {'type': 'number', 'default': 0.95, 'maximum': 0.99, 'minimum': 0.01, 'description': 'VaR confidence level as a decimal, e.g. 0.95 = 95%. Range: 0.01-0.99. Default: 0.95.'}}, 'additionalProperties': False}

{'type': 'object', '$schema': 'http://json-schema.org/draft-07/schema#', 'required': ['options'], 'properties': {'options': {'type': 'array', 'items': {'type': 'object', 'required': ['underlying', 'strike', 'expiry', 'option_type'], 'properties': {'style': {'enum': ['european', 'american'], 'type': 'string', 'default': 'european', 'description': 'Option exercise style. "european" can only be exercised at expiry (Black-Scholes). "american" can be exercised any time (binomial model). Default: "european".'}, 'expiry': {'type': 'string', 'pattern': '^\\d{4}-\\d{2}-\\d{2}$', 'description': 'Option expiry date in ISO 8601 format, e.g. 2026-12-19. Must be a future date.'}, 'strike': {'type': 'number', 'description': 'Option strike price in USD. Must be a positive number.', 'exclusiveMinimum': 0}, 'quantity': {'type': 'integer', 'default': 1, 'description': 'Number of contracts. Positive = long, negative = short. Default: 1.'}, 'underlying': {'type': 'string', 'pattern': '^[A-Z0-9.^-]{1,10}$', 'maxLength': 10, 'minLength': 1, 'description': 'Ticker symbol of the underlying asset, e.g. AAPL.'}, 'option_type': {'enum': ['call', 'put'], 'type': 'string', 'description': 'Option type: "call" gives the right to buy, "put" gives the right to sell.'}, 'market_price': {'anyOf': [{'type': 'number', 'exclusiveMinimum': 0}, {'type': 'null'}], 'description': 'Current market price of the option in USD. Required when implied_volatility is not provided.'}, 'implied_volatility': {'anyOf': [{'type': 'number', 'exclusiveMinimum': 0}, {'type': 'null'}], 'description': 'Implied volatility as a decimal, e.g. 0.25 = 25%. If omitted or null, it is computed from market_price.'}}, 'additionalProperties': False}, 'maxItems': 100, 'minItems': 1, 'description': 'Array of option positions to calculate Greeks for. 1-100 options. Results include per-option Greeks and aggregated portfolio Greeks.'}, 'risk_free_rate': {'type': 'number', 'default': 0.05, 'maximum': 1, 'minimum': 0, 'description': 'Annualized risk-free rate as a decimal, e.g. 0.05 = 5%. Used in Black-Scholes and binomial pricing models. Default: 0.05.'}}, 'additionalProperties': False}

{'type': 'object', '$schema': 'http://json-schema.org/draft-07/schema#', 'required': ['portfolios'], 'properties': {'portfolios': {'type': 'array', 'items': {'type': 'object', 'required': ['name', 'positions'], 'properties': {'name': {'type': 'string', 'maxLength': 50, 'minLength': 1, 'description': "Human-readable label for this portfolio, e.g. 'Current' or 'Rebalanced'. 1-50 chars."}, 'positions': {'type': 'array', 'items': {'type': 'object', 'required': ['ticker', 'quantity'], 'properties': {'ticker': {'type': 'string', 'pattern': '^[A-Z0-9.^-]{1,10}$', 'maxLength': 10, 'minLength': 1, 'description': 'Ticker symbol, e.g. AAPL or MSFT. Must be uppercase, 1-10 characters.'}, 'quantity': {'type': 'number', 'description': 'Number of shares held. Use a negative value to represent a short position.'}, 'cost_basis': {'anyOf': [{'type': 'number', 'exclusiveMinimum': 0}, {'type': 'null'}], 'description': 'Per-share cost basis in USD. Optional — used only for P&L calculations.'}}, 'additionalProperties': False}, 'maxItems': 500, 'minItems': 1, 'description': 'Positions in this portfolio. 1-500 entries.'}}, 'additionalProperties': False}, 'maxItems': 5, 'minItems': 2, 'description': 'Two to five named portfolios to compare head-to-head. Each needs a unique name and a list of positions. Min: 2, max: 5.'}, 'period_days': {'type': 'integer', 'default': 252, 'maximum': 1260, 'minimum': 30, 'description': 'Lookback period in trading days used for return and risk calculations. 252 = ~1 year. Range: 30-1260. Default: 252.'}, 'confidence_level': {'type': 'number', 'default': 0.95, 'maximum': 0.99, 'minimum': 0.01, 'description': 'VaR confidence level as a decimal, e.g. 0.95 = 95%. Range: 0.01-0.99. Default: 0.95.'}}, 'additionalProperties': False}

{'type': 'object', '$schema': 'http://json-schema.org/draft-07/schema#', 'required': ['tickers'], 'properties': {'method': {'enum': ['pearson', 'spearman', 'kendall'], 'type': 'string', 'default': 'pearson', 'description': 'Correlation method. "pearson" = linear correlation (standard), "spearman" = rank-based (robust to outliers), "kendall" = concordance-based. Default: "pearson".'}, 'tickers': {'type': 'array', 'items': {'type': 'string', 'pattern': '^[A-Z0-9.^-]{1,10}$', 'maxLength': 10, 'minLength': 1}, 'maxItems': 50, 'minItems': 2, 'description': 'Tickers to include in the correlation matrix. Minimum 2, maximum 50. Free tier: max 10 tickers. Paid tier: up to 50.'}, 'lookback_days': {'type': 'integer', 'default': 252, 'maximum': 1260, 'minimum': 30, 'description': 'Historical window for computing correlations in trading days. 30 = ~6 weeks, 252 = ~1 year. Range: 30-1260. Default: 252.'}}, 'additionalProperties': False}

{'type': 'object', '$schema': 'http://json-schema.org/draft-07/schema#', 'required': ['positions'], 'properties': {'seed': {'anyOf': [{'type': 'integer', 'exclusiveMinimum': 0}, {'type': 'null'}], 'description': 'Random seed for reproducible results. Omit for a fresh random run each time.'}, 'model': {'enum': ['gbm', 'jump_diffusion'], 'type': 'string', 'default': 'gbm', 'description': 'Stochastic process model. "gbm" = Geometric Brownian Motion (standard), "jump_diffusion" = adds jump risk for fat-tail scenarios. Default: "gbm".'}, 'num_paths': {'type': 'integer', 'default': 10000, 'maximum': 100000, 'minimum': 100, 'description': 'Number of simulation paths to run. More paths = more accurate but slower. Free tier: max 1,000. Paid tier: up to 100,000. Default: 10,000.'}, 'positions': {'type': 'array', 'items': {'type': 'object', 'required': ['ticker', 'quantity'], 'properties': {'ticker': {'type': 'string', 'pattern': '^[A-Z0-9.^-]{1,10}$', 'maxLength': 10, 'minLength': 1, 'description': 'Ticker symbol, e.g. AAPL or MSFT. Must be uppercase, 1-10 characters.'}, 'quantity': {'type': 'number', 'description': 'Number of shares held. Use a negative value to represent a short position.'}, 'cost_basis': {'anyOf': [{'type': 'number', 'exclusiveMinimum': 0}, {'type': 'null'}], 'description': 'Per-share cost basis in USD. Optional — used only for P&L calculations.'}}, 'additionalProperties': False}, 'maxItems': 500, 'minItems': 1, 'description': 'Array of portfolio positions. Free tier: max 20 positions. Paid tier: up to 500.'}, 'horizon_days': {'type': 'integer', 'default': 21, 'maximum': 252, 'minimum': 1, 'description': 'Simulation horizon in trading days. 21 ≈ 1 month, 63 ≈ 1 quarter, 252 ≈ 1 year. Default: 21.'}, 'lookback_days': {'type': 'integer', 'default': 252, 'maximum': 1260, 'minimum': 30, 'description': 'Historical window used to estimate drift and volatility parameters. Range: 30-1260 trading days. Default: 252.'}}, 'additionalProperties': False}

{'type': 'object', '$schema': 'http://json-schema.org/draft-07/schema#', 'required': ['tickers'], 'properties': {'tickers': {'type': 'array', 'items': {'type': 'string', 'pattern': '^[A-Z0-9.^-]{1,10}$', 'maxLength': 10, 'minLength': 1}, 'maxItems': 50, 'minItems': 2, 'description': 'Universe of tickers to optimize across. Must be 2-50 tickers. The optimizer will determine the best weights within this set.'}, 'objective': {'enum': ['max_sharpe', 'min_variance', 'target_return'], 'type': 'string', 'default': 'max_sharpe', 'description': 'Optimization objective. "max_sharpe" = maximize risk-adjusted return, "min_variance" = minimize portfolio volatility, "target_return" = hit a specific return with minimum risk. Default: "max_sharpe".'}, 'constraints': {'type': 'object', 'properties': {'max_weight': {'type': 'number', 'default': 1, 'maximum': 1, 'minimum': 0, 'description': 'Maximum allocation weight per asset as a decimal. 0.1 = max 10% in any single asset. Range: 0.0-1.0. Default: 1.0.'}, 'min_weight': {'type': 'number', 'default': 0, 'maximum': 1, 'minimum': 0, 'description': 'Minimum allocation weight per asset as a decimal. 0.0 = no minimum (asset may be excluded). Range: 0.0-1.0. Default: 0.0.'}, 'sector_max': {'anyOf': [{'type': 'object', 'additionalProperties': {'type': 'number', 'maximum': 1, 'minimum': 0}}, {'type': 'null'}], 'description': 'Maximum total portfolio weight per sector, e.g. { Technology: 0.30 } = max 30% in tech. Keys should be GICS sector names.'}}, 'description': 'Optional weight constraints. See ConstraintsInput for details.', 'additionalProperties': False}, 'lookback_days': {'type': 'integer', 'default': 756, 'maximum': 1260, 'minimum': 252, 'description': 'Historical window for estimating return and covariance. 252 = 1 year, 756 = 3 years, 1260 = 5 years. Range: 252-1260. Default: 756.'}, 'target_return': {'anyOf': [{'type': 'number', 'exclusiveMinimum': 0}, {'type': 'null'}], 'description': 'Required when objective is "target_return". Annualized return as a decimal, e.g. 0.12 = 12% annual return target.'}, 'risk_free_rate': {'type': 'number', 'default': 0.05, 'maximum': 1, 'minimum': 0, 'description': 'Annualized risk-free rate as a decimal, e.g. 0.05 = 5%. Used in Sharpe ratio calculation. Default: 0.05.'}}, 'additionalProperties': False}

{'type': 'object', '$schema': 'http://json-schema.org/draft-07/schema#', 'required': ['positions'], 'properties': {'benchmark': {'type': 'string', 'default': 'SPY', 'maxLength': 10, 'minLength': 1, 'description': 'Benchmark ticker for relative performance metrics (Information Ratio, Tracking Error, Beta). Default: SPY.'}, 'positions': {'type': 'array', 'items': {'type': 'object', 'required': ['ticker', 'quantity'], 'properties': {'ticker': {'type': 'string', 'pattern': '^[A-Z0-9.^-]{1,10}$', 'maxLength': 10, 'minLength': 1, 'description': 'Ticker symbol, e.g. AAPL or MSFT. Must be uppercase, 1-10 characters.'}, 'quantity': {'type': 'number', 'description': 'Number of shares held. Use a negative value to represent a short position.'}, 'cost_basis': {'anyOf': [{'type': 'number', 'exclusiveMinimum': 0}, {'type': 'null'}], 'description': 'Per-share cost basis in USD. Optional — used only for P&L calculations.'}}, 'additionalProperties': False}, 'maxItems': 500, 'minItems': 1, 'description': 'Array of portfolio positions. Free tier: max 20 positions (basic ratios only). Paid tier: up to 500 positions with full factor attribution.'}, 'period_days': {'type': 'integer', 'default': 252, 'maximum': 1260, 'minimum': 30, 'description': 'Measurement period in trading days. 252 = ~1 year. Range: 30-1260. Default: 252.'}, 'risk_free_rate': {'type': 'number', 'default': 0.05, 'maximum': 1, 'minimum': 0, 'description': 'Annualized risk-free rate as a decimal, e.g. 0.05 = 5%. Used in Sharpe, Sortino, and Treynor ratios. Default: 0.05.'}}, 'additionalProperties': False}

{'type': 'object', '$schema': 'http://json-schema.org/draft-07/schema#', 'required': ['tickers'], 'properties': {'days': {'type': 'integer', 'default': 252, 'maximum': 1260, 'minimum': 1, 'description': 'Number of historical trading days to return. Free tier: max 252 days (~1 year). Paid tier: up to 1260 days (~5 years). Default: 252.'}, 'tickers': {'type': 'array', 'items': {'type': 'string', 'pattern': '^[A-Z0-9.^-]{1,10}$', 'maxLength': 10, 'minLength': 1}, 'maxItems': 20, 'minItems': 1, 'description': 'Ticker symbols to fetch price history for. Free tier: max 1 ticker. Paid tier: up to 20 tickers.'}, 'interval': {'enum': ['daily', 'weekly', 'monthly'], 'type': 'string', 'default': 'daily', 'description': 'Price interval. "daily" returns one OHLCV row per trading day, "weekly" aggregates to weekly bars, "monthly" aggregates to monthly bars. Default: "daily".'}}, 'additionalProperties': False}

{'type': 'object', '$schema': 'http://json-schema.org/draft-07/schema#', 'required': ['positions'], 'properties': {'positions': {'type': 'array', 'items': {'type': 'object', 'required': ['ticker', 'quantity'], 'properties': {'ticker': {'type': 'string', 'pattern': '^[A-Z0-9.^-]{1,10}$', 'maxLength': 10, 'minLength': 1, 'description': 'Ticker symbol, e.g. AAPL or MSFT. Must be uppercase, 1-10 characters.'}, 'quantity': {'type': 'number', 'description': 'Number of shares held. Use a negative value to represent a short position.'}, 'cost_basis': {'anyOf': [{'type': 'number', 'exclusiveMinimum': 0}, {'type': 'null'}], 'description': 'Per-share cost basis in USD. Optional — used only for P&L calculations.'}}, 'additionalProperties': False}, 'maxItems': 500, 'minItems': 1, 'description': 'Array of portfolio positions to analyze. Returns GICS sector weights, market cap breakdown, and concentration metrics.'}}, 'additionalProperties': False}

{'type': 'object', '$schema': 'http://json-schema.org/draft-07/schema#', 'required': ['positions'], 'properties': {'positions': {'type': 'array', 'items': {'type': 'object', 'required': ['ticker', 'quantity'], 'properties': {'ticker': {'type': 'string', 'pattern': '^[A-Z0-9.^-]{1,10}$', 'maxLength': 10, 'minLength': 1, 'description': 'Ticker symbol, e.g. AAPL or MSFT. Must be uppercase, 1-10 characters.'}, 'quantity': {'type': 'number', 'description': 'Number of shares held. Use a negative value to represent a short position.'}, 'cost_basis': {'anyOf': [{'type': 'number', 'exclusiveMinimum': 0}, {'type': 'null'}], 'description': 'Per-share cost basis in USD. Optional — used only for P&L calculations.'}}, 'additionalProperties': False}, 'maxItems': 500, 'minItems': 1, 'description': 'Array of portfolio positions. Free tier: max 20 positions and historical scenarios only. Paid tier: up to 500 positions plus custom shocks.'}, 'scenarios': {'type': 'array', 'items': {'enum': ['gfc_2008', 'covid_2020', 'dot_com_2000', 'black_monday_1987', 'taper_tantrum_2013', 'rate_hike_2022', 'volmageddon_2018', 'euro_crisis_2011'], 'type': 'string'}, 'default': ['gfc_2008', 'covid_2020'], 'description': 'Historical scenarios to run. Available values: gfc_2008, covid_2020, dot_com_2000, black_monday_1987, taper_tantrum_2013, rate_hike_2022, volmageddon_2018, euro_crisis_2011. Default: [gfc_2008, covid_2020].'}, 'custom_shocks': {'anyOf': [{'type': 'array', 'items': {'type': 'object', 'required': ['name'], 'properties': {'name': {'type': 'string', 'maxLength': 50, 'minLength': 1, 'description': "Name for this custom scenario, e.g. 'Rate spike +300bps'. 1-50 characters."}, 'market_shock': {'type': 'number', 'maximum': 1, 'minimum': -1, 'description': 'Broad market shock applied to all positions not covered by ticker_shocks or sector_shocks. e.g. -0.10 = market down 10%. Range: -1.0 to 1.0.'}, 'sector_shocks': {'type': 'object', 'description': 'Per-sector shocks applied to all positions in that sector. e.g. { Technology: -0.15 }. Range: -1.0 to 1.0.', 'additionalProperties': {'type': 'number', 'maximum': 1, 'minimum': -1}}, 'ticker_shocks': {'type': 'object', 'description': 'Per-ticker price shocks as decimals, e.g. { AAPL: -0.20 } = AAPL drops 20%. Range: -1.0 to 1.0.', 'additionalProperties': {'type': 'number', 'maximum': 1, 'minimum': -1}}}, 'additionalProperties': False}}, {'type': 'null'}], 'description': 'Custom shock definitions. PAID tier only. Each shock specifies ticker-level, sector-level, or market-wide price changes.'}}, 'additionalProperties': False}