Clarus Microservices

Software is moving from monolithic applications to microservices.

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SIMM, Margin, XVA, FRTB, Risk, Hedge, P&L, Compliance

Web API and AWS Cloud

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Code in Python, Perl, Node.js, R, Julia, C#, Java

Software Infrastructure for the future


Latest Posts

  • Aug, 6

    Creating a Swaps Dashboard using Python

    Clarus Microservices make it easy to get Swaps data Swap volumes can be retrieved from SDRs using simple Python This data can be displayed in Tables and Charts Our Sandbox allows you to try quickly in your Browser Introduction Under the Dodd-Frank Act, all swaps, whether cleared or uncleared, that are executed by US persons, […]

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    Jul, 25

    ISDA SIMM in Python Dashboards

    ISDA SIMM is the industry standard for calculating Initial Margin on non-cleared derivatives The Clarus Microservices API makes it very easy to compute ISDA SIMM™ from Python What-if trades can be easily added to determine the incremental change in SIMM Margin Before and after SIMM Margin levels can be easily displayed in charts and tables CRIF format risk sensitivties can […]

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  • Jul, 11

    A Dashboard for Interest Rate Risk

    Clarus Microservices make it very easy to create Dashboards Dashboards that perform new risk calculations (not just display old ones) Interest rate risk measures such as DV01 and IR Delta can be calculated Tables, Charts, Panels can be easily created with a single line of Python code Our Browser Sandbox allows you to try yourself Introduction […]

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    Jul, 4

    Creating a Dashboard for Margin Attribution

    Clarus Microservices make it very easy to create Dashboards Tables, Charts, Panels are easily created with python scripts A complex portfolio analytic such as Margin Attribution is presented Our Browser Sandbox allows you to try yourself Introduction Generally a firm will have a single margin account at a CCP, as this is most efficient for netting. […]

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  • Nov, 14

    Released: A Julia library for Clarus Microservices

    A Julia library has been developed and released to support Clarus Microservices. The library provides convenient access to Clarus Microservices. Source code is available on GitHub. In a previous blog, ‘Microservices: Swap Equivalents in Julia’ we showed that it was possible to call the Clarus API from Julia. We have generalised the code example in […]

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    Oct, 16

    Trade Validation: A simple version of FpML rule IRD12

    Trade representations in CSV or FpML often have issues with stubs. FpML validation rule IRD12 has simple alternative for a wide range of cases. A form of FpML IRD12 can be represented in XPath for a wide range of cases. During proof-of-concept trials we are often asked to load up a prospects portfolio; either a […]

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  • Aug, 2

    ISDA SIMM™ IN PYTHON

    The Clarus Microservices API makes it very easy to compute ISDA SIMM™ from Python The input data required is a CRIF file contain risk sensitivities What-if trades can be easily added to determine the incremental change in margin We provide a Sandbox within our API Reference page for you to try the API methods Before moving […]

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    Jun, 14

    Microservices: Swap equivalents in Julia

    Julia is a modern high-level, high-performance language for numerical computing. Clarus API functions are easily accessed in Julia. What is Julia? Julia is a relatively new computing language, combining the ease of development (similar to python and matlab) with a Just-In-Time compiler and other language features to deliver runtime performance close to that of C. […]

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  • May, 24

    Microservices for Derivatives: What You Need to Know

    It has been some months since I wrote about Microservices and the Amazon Cloud and as we have recently released a major new version, I wanted to elaborate further on the importance of this technology. Background Microservices are fine-grained services that can be used to rapidly assemble a more complex service, a system, or a user interface. Unlike libraries […]

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    May, 2

    Microservices for absolute beginners

    After a career in Capital Markets enterprise software, I recently joined Clarus and other than their great blogs, my reason for joining is that I buy into the vision of cloud based technology as the future for our domain. Micro-services delivering sophisticated analytical computation, easily consumed into a firms existing infrastructure, applications and Excel, will be […]

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