derivitec.core.client.DerivitecClient.run_var_report

DerivitecClient.run_var_report(portfolio_name, reporting_currency, run_date, market_data_override, confidence_level, horizon, historical_start_date_rule, market_data_environment_names=None, pricing_date=None, market_date=None, portfolio_date_time=None, first_observation_date=None, report_name='Historical VaR Report', historical_end_date_rule=None, last_observation_date=None)[source]

Trigger a var report run.

Parameters:

  • portfolio_name (str) – The portfolio name.

  • reporting_currency (str) – The reporting currency.

  • run_date (datetime.datetime) – The run date.

  • market_data_override (derivitec.market_data.types.MarketDataOverride) – The market data override.

  • confidence_level (float) – The confidence level.

  • horizon (int) – The horizon

  • historical_start_date_rule (str) – The historical start date rule.

  • market_data_environment_names (list of str) – The market data environment names in order of preference (optional: any items in this list will be followed by Organisation Level then Derivitec Data)

  • first_observation_date (datetime.datetime) – The first observation date.

  • pricing_date (datetime.datetime) – The pricing date.

  • market_date (datetime.datetime) – The market_date.

  • portfolio_date_time (datetime.datetime) – The portfolio date time.

  • report_name (str) – The report name

  • historical_end_date_rule (str) – The historical end date rule

  • last_observation_date (datetime.datetime) – The last observation date

Return type:

derivitec.reports.response.ApiVarReportJobResponse

Code See run_var_report