d64d1029bf
- Service var_service.py : calcul VaR Historique / Paramétrique / Monte Carlo stressé (vol ×1.5) + CVaR par méthode, deltas BS par position, fallback synthétique si yfinance indisponible - Router /api/var/compute : paramètres confidence, horizon, lookback, IV défaut - Page VaRAnalysis.tsx : cartes métriques %, montants EUR, histogramme retours, VaR glissante 30j, tableau positions + deltas, backtest Kupiec pass/fail - Route /var + nav sidebar « VaR Analyse » Co-Authored-By: Claude Sonnet 4.6 <noreply@anthropic.com>
21 lines
654 B
Python
21 lines
654 B
Python
from fastapi import APIRouter, Query
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from services.var_service import compute_var
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router = APIRouter(prefix="/api/var", tags=["var"])
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@router.get("/compute")
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def var_compute(
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confidence: float = Query(default=0.95, ge=0.90, le=0.99),
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horizon_days: int = Query(default=1, ge=1, le=30),
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lookback_days: int = Query(default=252, ge=60, le=504),
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default_iv: float = Query(default=0.20, ge=0.05, le=0.80),
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):
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"""Compute portfolio VaR using Black-Scholes delta approach."""
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return compute_var(
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confidence=confidence,
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horizon_days=horizon_days,
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lookback_days=lookback_days,
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default_iv=default_iv,
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)
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