Portfolio
Mark a book of swaps and forwards to EOX curves, see its value at risk, and replay past market episodes on it.
Positions
One position per line, CSV with a header row:
id, dataset, code, contract, quantity, price, field, filters. Quantity is the total contract quantity
in the curve's unit (MWh, MMBtu, bbl…), negative for short; price is your fixed price (0 to value outright);
field defaults to mid; filters look like peak_hour=ON_PEAK;days=45. Up to 500 positions.
Your positions are not stored.
Risk
Positions
By curve
Scenarios
MTM = quantity × (curve price − trade price) × discount factor. Risk uses
day-on-day changes in each contract's own curve price over the curve dates every position shares: historical VaR
is the empirical loss quantile, parametric VaR the normal one; both scale by √horizon. Component VaRs add up to the
parametric VaR. The same numbers are in the API: POST /v1/analytics/mtm and /v1/analytics/risk
(reference). Scenarios hold each position at its tenor on today's curve and give it the
moves that tenor saw over each episode on EOX's own curve history, in the contract that sat there the day before;
the API is POST /v1/analytics/scenarios. To value options, heat-rate calls and PPAs, use
Valuation.