Portfolio Risk

curl --request POST \
  --url https://api.chicago.global/v1/portfolio/risk \
  --header 'Authorization: Bearer <token>' \
  --header 'Content-Type: application/json' \
  --data '
{
  "valuation_date": "2023-12-25",
  "currency": "<string>",
  "nav": 123,
  "positions": [
    {
      "id": "<string>",
      "underlying": "<string>",
      "quantity": 123,
      "spot": 123,
      "currency": "<string>",
      "option": {
        "strike": 123,
        "expiration": "2023-12-25",
        "implied_vol": 123,
        "risk_free_rate": 123,
        "dividend_yield": 123,
        "contract_size": 123,
        "payoff_type": "vanilla",
        "deliverable_type": "standard",
        "dividend_model": "continuous_yield",
        "price_unit": "per_underlying_unit"
      }
    }
  ],
  "scenarios": []
}
'

import requests

url = "https://api.chicago.global/v1/portfolio/risk"

payload = {
    "valuation_date": "2023-12-25",
    "currency": "<string>",
    "nav": 123,
    "positions": [
        {
            "id": "<string>",
            "underlying": "<string>",
            "quantity": 123,
            "spot": 123,
            "currency": "<string>",
            "option": {
                "strike": 123,
                "expiration": "2023-12-25",
                "implied_vol": 123,
                "risk_free_rate": 123,
                "dividend_yield": 123,
                "contract_size": 123,
                "payoff_type": "vanilla",
                "deliverable_type": "standard",
                "dividend_model": "continuous_yield",
                "price_unit": "per_underlying_unit"
            }
        }
    ],
    "scenarios": []
}
headers = {
    "Authorization": "Bearer <token>",
    "Content-Type": "application/json"
}

response = requests.post(url, json=payload, headers=headers)

print(response.text)

const options = {
  method: 'POST',
  headers: {Authorization: 'Bearer <token>', 'Content-Type': 'application/json'},
  body: JSON.stringify({
    valuation_date: '2023-12-25',
    currency: '<string>',
    nav: 123,
    positions: [
      {
        id: '<string>',
        underlying: '<string>',
        quantity: 123,
        spot: 123,
        currency: '<string>',
        option: {
          strike: 123,
          expiration: '2023-12-25',
          implied_vol: 123,
          risk_free_rate: 123,
          dividend_yield: 123,
          contract_size: 123,
          payoff_type: 'vanilla',
          deliverable_type: 'standard',
          dividend_model: 'continuous_yield',
          price_unit: 'per_underlying_unit'
        }
      }
    ],
    scenarios: []
  })
};

fetch('https://api.chicago.global/v1/portfolio/risk', options)
  .then(res => res.json())
  .then(res => console.log(res))
  .catch(err => console.error(err));

<?php

$curl = curl_init();

curl_setopt_array($curl, [
  CURLOPT_URL => "https://api.chicago.global/v1/portfolio/risk",
  CURLOPT_RETURNTRANSFER => true,
  CURLOPT_ENCODING => "",
  CURLOPT_MAXREDIRS => 10,
  CURLOPT_TIMEOUT => 30,
  CURLOPT_HTTP_VERSION => CURL_HTTP_VERSION_1_1,
  CURLOPT_CUSTOMREQUEST => "POST",
  CURLOPT_POSTFIELDS => json_encode([
    'valuation_date' => '2023-12-25',
    'currency' => '<string>',
    'nav' => 123,
    'positions' => [
        [
                'id' => '<string>',
                'underlying' => '<string>',
                'quantity' => 123,
                'spot' => 123,
                'currency' => '<string>',
                'option' => [
                                'strike' => 123,
                                'expiration' => '2023-12-25',
                                'implied_vol' => 123,
                                'risk_free_rate' => 123,
                                'dividend_yield' => 123,
                                'contract_size' => 123,
                                'payoff_type' => 'vanilla',
                                'deliverable_type' => 'standard',
                                'dividend_model' => 'continuous_yield',
                                'price_unit' => 'per_underlying_unit'
                ]
        ]
    ],
    'scenarios' => [
        
    ]
  ]),
  CURLOPT_HTTPHEADER => [
    "Authorization: Bearer <token>",
    "Content-Type: application/json"
  ],
]);

$response = curl_exec($curl);
$err = curl_error($curl);

curl_close($curl);

if ($err) {
  echo "cURL Error #:" . $err;
} else {
  echo $response;
}

package main

import (
	"fmt"
	"strings"
	"net/http"
	"io"
)

func main() {

	url := "https://api.chicago.global/v1/portfolio/risk"

	payload := strings.NewReader("{\n  \"valuation_date\": \"2023-12-25\",\n  \"currency\": \"<string>\",\n  \"nav\": 123,\n  \"positions\": [\n    {\n      \"id\": \"<string>\",\n      \"underlying\": \"<string>\",\n      \"quantity\": 123,\n      \"spot\": 123,\n      \"currency\": \"<string>\",\n      \"option\": {\n        \"strike\": 123,\n        \"expiration\": \"2023-12-25\",\n        \"implied_vol\": 123,\n        \"risk_free_rate\": 123,\n        \"dividend_yield\": 123,\n        \"contract_size\": 123,\n        \"payoff_type\": \"vanilla\",\n        \"deliverable_type\": \"standard\",\n        \"dividend_model\": \"continuous_yield\",\n        \"price_unit\": \"per_underlying_unit\"\n      }\n    }\n  ],\n  \"scenarios\": []\n}")

	req, _ := http.NewRequest("POST", url, payload)

	req.Header.Add("Authorization", "Bearer <token>")
	req.Header.Add("Content-Type", "application/json")

	res, _ := http.DefaultClient.Do(req)

	defer res.Body.Close()
	body, _ := io.ReadAll(res.Body)

	fmt.Println(string(body))

}

HttpResponse<String> response = Unirest.post("https://api.chicago.global/v1/portfolio/risk")
  .header("Authorization", "Bearer <token>")
  .header("Content-Type", "application/json")
  .body("{\n  \"valuation_date\": \"2023-12-25\",\n  \"currency\": \"<string>\",\n  \"nav\": 123,\n  \"positions\": [\n    {\n      \"id\": \"<string>\",\n      \"underlying\": \"<string>\",\n      \"quantity\": 123,\n      \"spot\": 123,\n      \"currency\": \"<string>\",\n      \"option\": {\n        \"strike\": 123,\n        \"expiration\": \"2023-12-25\",\n        \"implied_vol\": 123,\n        \"risk_free_rate\": 123,\n        \"dividend_yield\": 123,\n        \"contract_size\": 123,\n        \"payoff_type\": \"vanilla\",\n        \"deliverable_type\": \"standard\",\n        \"dividend_model\": \"continuous_yield\",\n        \"price_unit\": \"per_underlying_unit\"\n      }\n    }\n  ],\n  \"scenarios\": []\n}")
  .asString();

require 'uri'
require 'net/http'

url = URI("https://api.chicago.global/v1/portfolio/risk")

http = Net::HTTP.new(url.host, url.port)
http.use_ssl = true

request = Net::HTTP::Post.new(url)
request["Authorization"] = 'Bearer <token>'
request["Content-Type"] = 'application/json'
request.body = "{\n  \"valuation_date\": \"2023-12-25\",\n  \"currency\": \"<string>\",\n  \"nav\": 123,\n  \"positions\": [\n    {\n      \"id\": \"<string>\",\n      \"underlying\": \"<string>\",\n      \"quantity\": 123,\n      \"spot\": 123,\n      \"currency\": \"<string>\",\n      \"option\": {\n        \"strike\": 123,\n        \"expiration\": \"2023-12-25\",\n        \"implied_vol\": 123,\n        \"risk_free_rate\": 123,\n        \"dividend_yield\": 123,\n        \"contract_size\": 123,\n        \"payoff_type\": \"vanilla\",\n        \"deliverable_type\": \"standard\",\n        \"dividend_model\": \"continuous_yield\",\n        \"price_unit\": \"per_underlying_unit\"\n      }\n    }\n  ],\n  \"scenarios\": []\n}"

response = http.request(request)
puts response.read_body

{
  "detail": [
    {
      "loc": [
        "<string>"
      ],
      "msg": "<string>",
      "type": "<string>",
      "input": "<unknown>",
      "ctx": {}
    }
  ]
}

POST

portfolio

risk

Portfolio Risk

curl --request POST \
  --url https://api.chicago.global/v1/portfolio/risk \
  --header 'Authorization: Bearer <token>' \
  --header 'Content-Type: application/json' \
  --data '
{
  "valuation_date": "2023-12-25",
  "currency": "<string>",
  "nav": 123,
  "positions": [
    {
      "id": "<string>",
      "underlying": "<string>",
      "quantity": 123,
      "spot": 123,
      "currency": "<string>",
      "option": {
        "strike": 123,
        "expiration": "2023-12-25",
        "implied_vol": 123,
        "risk_free_rate": 123,
        "dividend_yield": 123,
        "contract_size": 123,
        "payoff_type": "vanilla",
        "deliverable_type": "standard",
        "dividend_model": "continuous_yield",
        "price_unit": "per_underlying_unit"
      }
    }
  ],
  "scenarios": []
}
'

import requests

url = "https://api.chicago.global/v1/portfolio/risk"

payload = {
    "valuation_date": "2023-12-25",
    "currency": "<string>",
    "nav": 123,
    "positions": [
        {
            "id": "<string>",
            "underlying": "<string>",
            "quantity": 123,
            "spot": 123,
            "currency": "<string>",
            "option": {
                "strike": 123,
                "expiration": "2023-12-25",
                "implied_vol": 123,
                "risk_free_rate": 123,
                "dividend_yield": 123,
                "contract_size": 123,
                "payoff_type": "vanilla",
                "deliverable_type": "standard",
                "dividend_model": "continuous_yield",
                "price_unit": "per_underlying_unit"
            }
        }
    ],
    "scenarios": []
}
headers = {
    "Authorization": "Bearer <token>",
    "Content-Type": "application/json"
}

response = requests.post(url, json=payload, headers=headers)

print(response.text)

const options = {
  method: 'POST',
  headers: {Authorization: 'Bearer <token>', 'Content-Type': 'application/json'},
  body: JSON.stringify({
    valuation_date: '2023-12-25',
    currency: '<string>',
    nav: 123,
    positions: [
      {
        id: '<string>',
        underlying: '<string>',
        quantity: 123,
        spot: 123,
        currency: '<string>',
        option: {
          strike: 123,
          expiration: '2023-12-25',
          implied_vol: 123,
          risk_free_rate: 123,
          dividend_yield: 123,
          contract_size: 123,
          payoff_type: 'vanilla',
          deliverable_type: 'standard',
          dividend_model: 'continuous_yield',
          price_unit: 'per_underlying_unit'
        }
      }
    ],
    scenarios: []
  })
};

fetch('https://api.chicago.global/v1/portfolio/risk', options)
  .then(res => res.json())
  .then(res => console.log(res))
  .catch(err => console.error(err));

<?php

$curl = curl_init();

curl_setopt_array($curl, [
  CURLOPT_URL => "https://api.chicago.global/v1/portfolio/risk",
  CURLOPT_RETURNTRANSFER => true,
  CURLOPT_ENCODING => "",
  CURLOPT_MAXREDIRS => 10,
  CURLOPT_TIMEOUT => 30,
  CURLOPT_HTTP_VERSION => CURL_HTTP_VERSION_1_1,
  CURLOPT_CUSTOMREQUEST => "POST",
  CURLOPT_POSTFIELDS => json_encode([
    'valuation_date' => '2023-12-25',
    'currency' => '<string>',
    'nav' => 123,
    'positions' => [
        [
                'id' => '<string>',
                'underlying' => '<string>',
                'quantity' => 123,
                'spot' => 123,
                'currency' => '<string>',
                'option' => [
                                'strike' => 123,
                                'expiration' => '2023-12-25',
                                'implied_vol' => 123,
                                'risk_free_rate' => 123,
                                'dividend_yield' => 123,
                                'contract_size' => 123,
                                'payoff_type' => 'vanilla',
                                'deliverable_type' => 'standard',
                                'dividend_model' => 'continuous_yield',
                                'price_unit' => 'per_underlying_unit'
                ]
        ]
    ],
    'scenarios' => [
        
    ]
  ]),
  CURLOPT_HTTPHEADER => [
    "Authorization: Bearer <token>",
    "Content-Type: application/json"
  ],
]);

$response = curl_exec($curl);
$err = curl_error($curl);

curl_close($curl);

if ($err) {
  echo "cURL Error #:" . $err;
} else {
  echo $response;
}

package main

import (
	"fmt"
	"strings"
	"net/http"
	"io"
)

func main() {

	url := "https://api.chicago.global/v1/portfolio/risk"

	payload := strings.NewReader("{\n  \"valuation_date\": \"2023-12-25\",\n  \"currency\": \"<string>\",\n  \"nav\": 123,\n  \"positions\": [\n    {\n      \"id\": \"<string>\",\n      \"underlying\": \"<string>\",\n      \"quantity\": 123,\n      \"spot\": 123,\n      \"currency\": \"<string>\",\n      \"option\": {\n        \"strike\": 123,\n        \"expiration\": \"2023-12-25\",\n        \"implied_vol\": 123,\n        \"risk_free_rate\": 123,\n        \"dividend_yield\": 123,\n        \"contract_size\": 123,\n        \"payoff_type\": \"vanilla\",\n        \"deliverable_type\": \"standard\",\n        \"dividend_model\": \"continuous_yield\",\n        \"price_unit\": \"per_underlying_unit\"\n      }\n    }\n  ],\n  \"scenarios\": []\n}")

	req, _ := http.NewRequest("POST", url, payload)

	req.Header.Add("Authorization", "Bearer <token>")
	req.Header.Add("Content-Type", "application/json")

	res, _ := http.DefaultClient.Do(req)

	defer res.Body.Close()
	body, _ := io.ReadAll(res.Body)

	fmt.Println(string(body))

}

HttpResponse<String> response = Unirest.post("https://api.chicago.global/v1/portfolio/risk")
  .header("Authorization", "Bearer <token>")
  .header("Content-Type", "application/json")
  .body("{\n  \"valuation_date\": \"2023-12-25\",\n  \"currency\": \"<string>\",\n  \"nav\": 123,\n  \"positions\": [\n    {\n      \"id\": \"<string>\",\n      \"underlying\": \"<string>\",\n      \"quantity\": 123,\n      \"spot\": 123,\n      \"currency\": \"<string>\",\n      \"option\": {\n        \"strike\": 123,\n        \"expiration\": \"2023-12-25\",\n        \"implied_vol\": 123,\n        \"risk_free_rate\": 123,\n        \"dividend_yield\": 123,\n        \"contract_size\": 123,\n        \"payoff_type\": \"vanilla\",\n        \"deliverable_type\": \"standard\",\n        \"dividend_model\": \"continuous_yield\",\n        \"price_unit\": \"per_underlying_unit\"\n      }\n    }\n  ],\n  \"scenarios\": []\n}")
  .asString();

require 'uri'
require 'net/http'

url = URI("https://api.chicago.global/v1/portfolio/risk")

http = Net::HTTP.new(url.host, url.port)
http.use_ssl = true

request = Net::HTTP::Post.new(url)
request["Authorization"] = 'Bearer <token>'
request["Content-Type"] = 'application/json'
request.body = "{\n  \"valuation_date\": \"2023-12-25\",\n  \"currency\": \"<string>\",\n  \"nav\": 123,\n  \"positions\": [\n    {\n      \"id\": \"<string>\",\n      \"underlying\": \"<string>\",\n      \"quantity\": 123,\n      \"spot\": 123,\n      \"currency\": \"<string>\",\n      \"option\": {\n        \"strike\": 123,\n        \"expiration\": \"2023-12-25\",\n        \"implied_vol\": 123,\n        \"risk_free_rate\": 123,\n        \"dividend_yield\": 123,\n        \"contract_size\": 123,\n        \"payoff_type\": \"vanilla\",\n        \"deliverable_type\": \"standard\",\n        \"dividend_model\": \"continuous_yield\",\n        \"price_unit\": \"per_underlying_unit\"\n      }\n    }\n  ],\n  \"scenarios\": []\n}"

response = http.request(request)
puts response.read_body

{
  "detail": [
    {
      "loc": [
        "<string>"
      ],
      "msg": "<string>",
      "type": "<string>",
      "input": "<unknown>",
      "ctx": {}
    }
  ]
}

Full instantaneous, single-currency repricing of a portfolio of supplied vanilla positions (stocks, ETFs, and European or American options), from caller-supplied spot and implied-vol inputs. Synchronous — no job ID.

This never substitutes option deltas into historical returns, and uses no live market data. Every price and Greek comes from what you send in the request. A baseline scenario (no shocks) is always included alongside any scenarios you supply.

Request Body

Field	Type	Required	Description
`valuation_date`	string (date)	Yes	As-of date for the repricing.
`currency`	string	Yes	3-letter currency code. Must match every position’s `currency`.
`nav`	number	Yes	Portfolio NAV, must be positive.
`positions`	array of `Holding`	Yes	1–100 positions. Position `id` values must be unique.
`scenarios`	array of `Scenario`	No	0–20 scenarios. IDs must be unique and not `baseline` (reserved).

Holding object:

Field	Type	Required	Description
`id`	string	Yes	Caller-assigned position identifier, unique within the request.
`asset_type`	string	Yes	`stock`, `etf`, or `option`.
`underlying`	string	Yes	RIC of the underlying.
`quantity`	number	Yes	Signed position size. Integer-valued for options.
`spot`	number	Yes	Spot price, must be positive. Positions sharing an `underlying` must share the same `spot`.
`currency`	string	Yes	3-letter code, must match the request’s `currency`.
`option`	`Contract` object	Required only when `asset_type` is `option`	Option terms (see below).

Contract object (option terms). Every field below is required whenever option is present; there are no optional or defaulted fields in this object:

Field	Type	Description
`option_type`	string	`call` or `put`.
`option_style`	string	`european` or `american`.
`strike`	number	Positive.
`expiration`	string (date)	Must be after `valuation_date`.
`implied_vol`	number	Positive.
`risk_free_rate`	number
`dividend_yield`	number
`contract_size`	integer	1–100,000.
`settlement_type`	string	`am` or `pm`.
`underlying_type`	string	`equity`, `index`, or `etf`.
`payoff_type`	string	`vanilla` (only value accepted).
`deliverable_type`	string	`standard` (only value accepted).
`dividend_model`	string	`continuous_yield` (only value accepted).
`price_unit`	string	`per_underlying_unit` (only value accepted).

Scenario object:

Field	Type	Required	Description
`id`	string	Yes	Unique, not `baseline`.
`spot_shocks`	object	No	Map of underlying RIC to fractional spot shock (must exceed `-1`). Up to 100 entries.
`vol_shocks`	object	No	Map of underlying RIC to additive implied-vol shock. Up to 100 entries.

Request-size caps: positions × (scenarios + 1) ≤ 500 position-scenarios, and American-style option valuations ≤ 40 across the request (scaled by scenario count). A scenario naming an underlying not in positions is rejected.

Response

Every position, in every scenario, carries base_greeks and position_risk, whether it’s a stock, ETF, or option. If no position has asset_type: "option", these are computed directly (exact stock arithmetic) and come out trivial for stocks and ETFs (delta 1, all other Greeks 0, as in the example below). With any option position, every position in the request is priced through the same options-pricing path instead, so Greeks stay additive across the book.

{
  "schema_version": 1,
  "valuation_date": "2026-11-04",
  "currency": "USD",
  "nav": 1000000,
  "assumptions": [
    "instantaneous",
    "single_currency_no_fx_conversion",
    "whole_day_actual_365",
    "continuous_dividend_yield",
    "flat_rates",
    "fixed_strike_additive_volatility",
    "model_to_model_pnl",
    "no_constituent_lookthrough"
  ],
  "market_status": "not_checked",
  "underlying_exposures": [
    { "underlying": "AAPL.O", "delta_equivalent_units": 500, "dollar_delta": 95000, "delta_weight": 0.095 }
  ],
  "scenarios": [
    {
      "id": "baseline",
      "total_pnl": 0,
      "pnl_fraction_nav": 0,
      "delta_gamma_pnl": 0,
      "approximation_residual": 0,
      "approximation_status": "measured_spot_only_residual_not_bound",
      "positions": [
        {
          "position_id": "pos-1",
          "underlying": "AAPL.O",
          "asset_type": "stock",
          "quantity": 500,
          "multiplier": 1,
          "base_price": 190,
          "base_greeks": { "delta": 1, "gamma": 0, "vega": 0, "theta": 0, "rho": 0 },
          "position_risk": { "delta_equivalent_units": 500, "dollar_delta": 95000, "gamma_per_price_unit_squared": 0, "vega_per_vol_point": 0, "theta_per_calendar_day": 0, "rho_per_rate_point": 0 },
          "scenario_price": 190,
          "pnl": 0,
          "delta_gamma_pnl": 0
        }
      ]
    }
  ],
  "input_source": "caller_supplied_unverified",
  "positions": [ { "id": "pos-1", "asset_type": "stock", "underlying": "AAPL.O", "quantity": 500, "spot": 190, "currency": "USD", "option": null } ]
}

With an option position, each scenario’s positions[] row also carries contract_eligibility and pricing_diagnostics; see the response example for exact field presence, which varies by position.

Errors

Status	Code	When
`422`	`invalid_pricing_inputs`	Request fails pricing validation.
`422`	`pricing_unresolved`	A price could not be resolved; `pricing_diagnostics` explains why.
`503`	`pricing_unavailable`	Option pricing is unavailable (option positions only; stock-only requests are unaffected).

Authorizations

Authorization

string

header

required

Bearer authentication header of the form Bearer <token>, where <token> is your auth token.

Body

application/json

valuation_date

string<date>

required

currency

string

required

Pattern: ^[A-Z]{3}$

nav

number

required

positions

Positions · object[]

required

Required array length: 1 - 100 elements

Show child attributes

scenarios

Scenarios · object[]

Maximum array length: 20

Show child attributes

Response

Successful Response

Last modified on November 6, 2026

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Portfolio Risk

Request Body

Response

Errors

Authorizations

Body

Response

​Request Body

​Response

​Errors

Authorizations

Body

Response

Request Body

Response

Errors