Portfolio calculations

Submit positions once to calculate clearing margin, portfolio analytics, stress tests, or ISDA SIMM.

The canonical field-level contract is the OpenAPI schema.

POST/portfolios

Calculate a portfolio

POST /portfolios accepts multiple accounts and position types in one request.

Common request fields

Name
portfolio
Type
array
Description
Required. The positions to calculate.
Name
calculation_type
Type
string
Description
margins, analytics, simm, all, or a comma-separated combination.
Name
currency_code
Type
string
Description
Reporting currency. Defaults to USD.
Name
risk_metrics
Type
object
Description
VaR, expected-shortfall, lookback, confidence, MPOR, and option revaluation settings.
Name
risk_free_rate
Type
number
Description
Optional portfolio-wide analytics override. If omitted, validated ETD options use their maturity-matched rate.
Name
stress_test_enabled
Type
boolean
Description
Run the scenarios available to the caller.

cURL

curl -sS "$C9_API_ENDPOINT/portfolios" \
  -H "Authorization: Bearer $C9_API_SECRET" \
  -H "Content-Type: application/json" \
  -d '{
    "calculation_type": "margins,analytics",
    "portfolio": [{
      "account_code": "RATES_1",
      "exchange_code": "CME",
      "contract_code": "SR3",
      "contract_type": "FUT",
      "contract_expiry": "MAR-28",
      "net_position": 25,
      "account_type": "H"
    }]
  }'

Always inspect exceptions and closest_matches. A request can succeed while individual positions are excluded or corrected.

Focused response fragments

The response contains one result object per account. Start with the summary fields:

{
  "account_code": "RATES_1",
  "currency_code": "USD",
  "initial_margin": 184250.75,
  "value_at_risk": 42110.22,
  "stress_loss": 88600.00,
  "dv01": -3125.40
}

Use the relevant drill-down instead of processing the whole response blindly:

{
  "margin_by_ccp": [
    { "clearing_org": "CME", "result_type": "span2", "initial_margin": 184250.75 }
  ],
  "exceptions": [],
  "closest_matches": []
}

Other focused sections include margin_by_contract, margin_by_span, margin_by_cmerates, margin_by_events, event_risk, scenario_analysis, stress_tests, and simm_metrics.

POST/portfolios/optimize

Optimize CME rates

POST /portfolios/optimize compares eligible CME listed-rates and cleared-rates allocations. Send the normal portfolio payload and set cross_margin: true on at least one eligible CME rates future.

{
  "data": [{
    "baseline": { "total": 3527745.46 },
    "optimized": { "total": 2992170.20, "saving": 535575.26, "saving_pct": 15.18 },
    "legs": [{ "contract_code": "SR3", "recommendation": "MOVE_TO_SEQ" }]
  }]
}

The CME cleared-rates engine must be enabled on the caller's licence.