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Farah Khashmanjenkins
Farah Khashman
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jenkins
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ORE-SWIG API example
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‎Examples/API/Dockerfiles/Dockerfile_restapi‎

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ARG python_version=3.7-rc-slim
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FROM python:${python_version}
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# Working directory
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WORKDIR /app
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# Copy needed files
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COPY oreApi.py restapi.py entrypoint-restapi.sh ./
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RUN pip install urllib3==1.26.7 &&\
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pip install --upgrade pip &&\
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pip install flask &&\
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pip install open-source-risk-engine &&\
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pip install pandas &&\
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pip install requests &&\
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mkdir -p Input &&\
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mkdir -p Output
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EXPOSE 3001/tcp
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ENTRYPOINT [ "/bin/bash", "/app/entrypoint-restapi.sh" ]

‎Examples/API/Dockerfiles/Dockerfile_simplefileserver‎

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ARG python_version=3.7-rc-slim
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FROM python:${python_version}
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# Working directory
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WORKDIR /app
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# Copy needed files
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COPY oreApi.py restapi.py entrypoint-restapi.sh ./
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RUN pip install --upgrade pip &&\
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pip install flask &&\
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mkdir -p Input &&\
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mkdir -p Output
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EXPOSE 3000/tcp
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ENTRYPOINT [ "/bin/bash", "/app/entrypoint-simplefileserver.sh" ]

‎Examples/API/Dockerfiles/docker-compose-build-restapi.yml‎

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version: '3'
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services:
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restapi:
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image: restapi:latest
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build:
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context: ..
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dockerfile: Dockerfiles/Dockerfile_restapi
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‎Examples/API/Dockerfiles/docker-compose-build-sfs.yml‎

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version: '3'
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services:
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simplefileserver:
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image: simplefileserver:latest
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build:
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context: ..
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dockerfile: Dockerfiles/Dockerfile_simplefileserver
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‎Examples/API/Dockerfiles/docker-compose-start.yml‎

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version: '3'
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services:
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restapi:
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image: restapi:latest
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networks:
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- postman
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ports:
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- "5001:5001"
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simplefileserver:
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image: simplefileserver:latest
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env_file:
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- docker-envfile.env
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environment:
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- INPUT_DIR=${INPUT_DIR:-./../Input}
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- OUTPUT_DIR=${OUTPUT_DIR:-./../Output}
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volumes:
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- "../entrypoint-simplefileserver.sh:/app/entrypoint-simplefileserver.sh"
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- "../simplefileserver.py:/app/simplefileserver.py"
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- "${INPUT_DIR:-./../Input}:/app/Input"
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- "${OUTPUT_DIR:-./../Output}:/app/Output"
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networks:
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- postman
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ports:
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- "5000:5000"
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networks:
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postman:

‎Examples/API/Dockerfiles/docker-envfile.env‎

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INPUT_DIR=./../Input
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OUTPUT_DIR=./../Output

‎Examples/API/Input/Example.json‎

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{
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"setup": {
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"inputPath": "Input",
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"outputPath": "Output",
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"resultsUri": "http://127.0.0.1:5000/report",
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"nThreads": 1,
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"asofDate": "2016-02-05",
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"implyTodaysFixings": "N",
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"logFile": "log.txt",
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"observationModel": "Disable",
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"marketData": "http://127.0.0.1:5000/file/market_20160205.txt",
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"fixingData": "http://127.0.0.1:5000/file/fixings_20160205.txt",
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"conventionsUri": "http://127.0.0.1:5000/file/conventions.xml",
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"pricingEnginesUri": "http://127.0.0.1:5000/file/pricingengine.xml",
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"portfolioUri": "http://127.0.0.1:5000/file/portfolio.xml",
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"marketConfigUri": "http://127.0.0.1:5000/file/todaysmarket.xml",
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"curveConfigUri": "http://127.0.0.1:5000/file/curveconfig.xml"
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},
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"markets": {
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"fxcalibration": "collateral_eur",
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"simulation": "collateral_eur",
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"pricing": "collateral_eur",
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"lgmcalibration": "collateral_inccy"
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},
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"analytics": {
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"npv": {
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"active": "Y",
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"baseCurrency": "EUR",
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"outputFileName": "npv.csv"
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},
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"cashflow": {
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"active": "Y",
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"outputFileName": "npv.csv"
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},
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"curves": {
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"active": "Y",
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"configuration": "default",
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"outputFileName": "curves.csv"
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},
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"simulation": {
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"active": "Y",
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"simulationConfigUri": "http://127.0.0.1:5000/file/simulation.xml",
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"pricingEnginesUri": "http://127.0.0.1:5000/file/pricingengine.xml",
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"baseCurrency": "EUR",
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"scenariodump": "scenariodump.csv",
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"CubeUri": "cube.csv.gz",
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"storeFlows": "N",
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"storeSurvivalProbabilities": "N"
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},
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"stress": {
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"active": "N"
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},
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"parametricVar": {
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"active": "N"
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},
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"simm": {
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"active": "N"
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},
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"sensitivity": {
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"active": "N"
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},
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"xva": {
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"active": "Y",
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"csaUri": "http://127.0.0.1:5000/file/netting.xml",
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"cubeFile": "cube.csv.gz",
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"scenarioFile": "scenariodata.csv.gz",
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"baseCurrency": "EUR",
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"exposureProfiles": "Y",
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"exposureProfilesByTrade": "Y",
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"quantile": 0.95,
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"calculationType": "Symmetric",
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"allocationMethod": "None",
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"marginalAllocationLimit": 1.0,
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"exerciseNextBreak": "N",
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"cva": "Y",
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"dva": "N",
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"dvaName": "BANK",
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"fva": "N",
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"fvaBorrowingCurve": "BANK_EUR_BORROW",
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"fvaLendingCurve": "BANK_EUR_LEND",
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"colva": "N",
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"collateralFloor": "N",
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"rawCubeOutputFile": "rawcube.csv",
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"netCubeOutputFile": "netcube.csv"
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}
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}
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}

‎Examples/API/Input/calendaradjustment.xml‎

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<CalendarAdjustments>
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<Calendar name= "DKK">
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<AdditionalHolidays>
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<Date>2019-05-31</Date>
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<Date>2019-12-24</Date>
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<Date>2019-12-31</Date>
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<Date>2020-05-22</Date>
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<Date>2020-12-24</Date>
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<Date>2020-12-31</Date>
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</AdditionalHolidays>
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<AdditionalBusinessDays/>
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</Calendar>
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<Calendar name= "CNH">
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<AdditionalHolidays>
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<Date>2019-02-04</Date>
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<Date>2019-02-05</Date>
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<Date>2019-02-06</Date>
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<Date>2019-02-07</Date>
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<Date>2019-02-08</Date>
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<Date>2019-04-05</Date>
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<Date>2019-05-01</Date>
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<Date>2019-05-02</Date>
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<Date>2019-05-03</Date>
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<Date>2019-06-07</Date>
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<Date>2019-09-13</Date>
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<Date>2019-10-01</Date>
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<Date>2019-10-02</Date>
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<Date>2019-10-03</Date>
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<Date>2019-10-04</Date>
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<Date>2019-10-07</Date>
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<Date>2020-01-24</Date>
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<Date>2020-01-27</Date>
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<Date>2020-01-28</Date>
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<Date>2020-01-29</Date>
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<Date>2020-01-30</Date>
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<Date>2020-04-06</Date>
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<Date>2020-05-01</Date>
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<Date>2020-06-25</Date>
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<Date>2020-06-26</Date>
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<Date>2020-10-01</Date>
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<Date>2020-10-02</Date>
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<Date>2020-10-05</Date>
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<Date>2020-10-06</Date>
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<Date>2020-10-07</Date>
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</AdditionalHolidays>
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<AdditionalBusinessDays/>
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</Calendar>
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<Calendar name= "Japan">
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<AdditionalHolidays>
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<Date>2019-04-30</Date>
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<Date>2019-05-01</Date>
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<Date>2019-05-02</Date>
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<Date>2019-10-22</Date>
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<Date>2020-02-24</Date>
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<Date>2020-07-23</Date>
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<Date>2020-07-24</Date>
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<Date>2020-08-10</Date>
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</AdditionalHolidays>
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<AdditionalBusinessDays>
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<Date>2019-12-23</Date>
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<Date>2020-07-20</Date>
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<Date>2020-08-11</Date>
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<Date>2020-10-12</Date>
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<Date>2020-12-23</Date>
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</AdditionalBusinessDays>
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</Calendar>
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<Calendar name= "FRA">
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<AdditionalHolidays/>
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<AdditionalBusinessDays>
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<Date>2019-06-20</Date>
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</AdditionalBusinessDays>
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</Calendar>
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<Calendar name= "ITL">
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<AdditionalHolidays>
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<Date>2019-04-19</Date>
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<Date>2020-04-10</Date>
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</AdditionalHolidays>
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<AdditionalBusinessDays/>
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</Calendar>
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<Calendar name= "NZD">
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<AdditionalHolidays>
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<Date>2019-01-28</Date>
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<Date>2020-01-27</Date>
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<Date>2020-04-27</Date>
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</AdditionalHolidays>
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<AdditionalBusinessDays/>
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</Calendar>
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<Calendar name= "SGD">
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<AdditionalHolidays>
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<Date>2019-02-05</Date>
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<Date>2019-02-06</Date>
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<Date>2019-05-20</Date>
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<Date>2019-06-05</Date>
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<Date>2019-08-12</Date>
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<Date>2019-10-28</Date>
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<Date>2020-01-27</Date>
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<Date>2020-05-07</Date>
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<Date>2020-05-25</Date>
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<Date>2020-07-31</Date>
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</AdditionalHolidays>
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<AdditionalBusinessDays/>
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</Calendar>
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<Calendar name= "SEK">
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<AdditionalHolidays>
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<Date>2019-06-06</Date>
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</AdditionalHolidays>
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<AdditionalBusinessDays/>
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</Calendar>
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<Calendar name= "CHF">
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<AdditionalHolidays>
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<Date>2019-12-24</Date>
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<Date>2019-12-31</Date>
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<Date>2020-12-24</Date>
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<Date>2020-12-31</Date>
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</AdditionalHolidays>
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<AdditionalBusinessDays/>
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</Calendar>
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</CalendarAdjustments>

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