Introduction

The typical Vector Risk workflow is an end-of-day risk calculation with reports displayed and exported from the Vector Risk GUI.

A second potential workflow is the intra-day calculation of PFE or xVA credit exposure on a trade or trades to enable pre-deal checks. This type of workflow requires a fast return trip from the trading system which is possible through Vector Risk’s secure web services.

We will assume on-boarding of the customer has been completed and there is an environment set up in Vector Risk to accept data for a particular customer (this environment might already be doing end of day portfolio risk calculations for the customer).

The end-to-end process for a pre-deal check then involves the following steps:

• Call the pre-deal web service and include a trade file with one or more trades pre-mapped to the Vector Risk format. This call is asynchronous.
• Use asmx (soap) calls to monitor the Status of the pre-deal task in the workflow. On completion the task status will change from “In Progress” to “Success”.
• Retrieve a report from the system (with another soap call). This report will contain one of the following:
  a) the maximum PFE, as well as a PFE profile through time.
  b) the marginal and incremental CVA and DVA.

Initiating the pre-deal check

The ashx call has five input parameters: q, e, d, g, and datafile. When calling the service with curl, each of these inputs will be preceeded by a -F flag.

Input Parameter	Details
q=predeal	Setting the “q” flag (short for query) to “predeal” tells DailyProcess.ashx that we are initiating a pre-deal check.
e=org.env.level	The “e” flag specifies the exact workflow environment. An environment has three components. For example “ABCBank.xVA.Production” means: Organisation=ABCBank Environment=xVA Level=Production
d=date  (yyyy-MM-dd)	This is the calculation date for the workflow. An environment contains workflows for multiple dates and this parameter selects the correct one.
g=guid  (or any unique identifier)	This flag contains the unique identifier (supplied by the caller) for this pre-deal check. This could be a guid, but it is advisable to supply something easier to work with. An example identifier might be: TimeStamp + product + SourceID This has the advantage of being readable and ordered in the GUI views in the order the pre-deal checks were made.
datafile=@name	This parameter is a string containing the trade data. The @ in front of it tells the system that it is actually a file being sent. The system will save the file into a temporary location on the server. Typically the csv format is the easiest to map to. The system will convert the file from csv into Vector Risk objects on loading into the system. Once loaded, the data can be viewed in the GUI in an xml tree format. Note: When loading csv data the command includes the parameter:  type=text/csv. If loading xml data, the command would instead use:  type=text/xml.

Monitoring progress

Use the asmx web service “GetStatus” in DailyProcess.asmx to monitor progress of tasks in a workflow. Our interest here is to be alerted when the pre-deal check is complete so we can retrieve results.

Input Parameter	Details
Soap Header	The body of the soap envelope contains a GetStatus object with three input parameters: environment, date and statusToGet. Eg: In the example below: • environment should be configured as org.env.level • date should have the format yyyy-MM-dd. • statusToGet = all <soapenv:Envelope xmlns:soapenv='http://schemas.xmlsoap.org/soap/envelope/' xmlns:web='http://boundaryrider.com.au/webservices/'>    <soapenv:Header/>    <soapenv:Body>       <web:GetStatus>          <web:environmentName>$environment</web:environmentName>          <web:environmentDate>$date</web:environmentDate>          <web:statusToGet>all</web:statusToGet>       </web:GetStatus>    </soapenv:Body> </soapenv:Envelope>
Soap call	The soap call specifies: • soap_url • userpass (username and password separated by “:”) • Content-Type = text/xml • charset = utf-8 • soapaction (GetStatus)  • soapheader (above) Curl example: curl.exe -s ` "https://workflow.ch.vectorrisk.com/DailyProcess.asmx" `  -u $userpass `  -H 'Content-Type: text/xml; charset=utf-8'   -H 'SOAPAction: http://boundaryrider.com.au/webservices/GetStatus' `  -d $soapheader
Response object	The response is a list of objects (one per task) containing details of each task in the workflow. We are generally most interested in the “Status” field. The Status may be one of the following: • Pending • InProgress • Success • Failure • Locked The user (or calling system) can now poll the web service in a loop (sleeping for some seconds between each poll) until the pre-deal task status is successful.  Note: When the next pre-deal check is initiated the PreDealCheck task status is reset to “Pending” so the GetStatus loop can start polling all over again. The system supports multiple simultaneous pre-deal requests to the same environment.

Retrieving Results (asmx)

Use the asmx web service “RetrieveCalculationResults” in DailyProcess.asmx to retrieve the credit exposure results specific to this pre-deal check.

Input Parameter	Details
Soap Header	The body of the soap envelope contains a RetrieveCalculationResults object with three input parameters: environment, date and taskName. Eg: In the example below: • environment should be configured as org.env.level • date should have the format yyyy-MM-dd. • calculationDescription = unique identifier originally supplied in the “g” flag <soapenv:Envelope xmlns:soapenv='http://schemas.xmlsoap.org/soap/envelope/' xmlns:web='http://boundaryrider.com.au/webservices/'>    <soapenv:Header/>    <soapenv:Body>       <web:RetrieveCalculationResults>         <web:environmentName>$environment</web:environmentName>         <web:environmentDate>$date</web:environmentDate>         <web:taskName>PreDealCheck</web:taskName>         <web:calculationDescription>$desc</web:calculationDescription>         <web:fullResult>true</web:fullResult>       </web:RetrieveCalculationResults>    </soapenv:Body> </soapenv:Envelope>
Soap call	The soap call specifies: • soap_url • userpass (username and password separated by “:”) • Content-Type = text/xml • charset = utf-8 • soapaction (RetrieveCalculationResults)  • soapheader (above) Curl example: curl.exe -s ` "https://workflow.trunk.vectorrisk.com/DailyProcess.asmx" `  -u $userpass `  -H 'Content-Type: text/xml; charset=utf-8'   -H 'SOAPAction: http://boundaryrider.com.au/webservices/RetrieveCalculationResults' `  -d  $soapheader
Response object	The response is a string containing an object containing the maximum PFE and profile, or CVA/DVA depending on the configuration for the pre-deal check task. This configuration is maintained inside Vector Risk and viewable in the GUI. A snippet of the result for a PFE pre-deal check looks like this: <Exposure>   <statistic>PFEMax</statistic>   <type>Default</type>   <term>0</term>   <result>87304.68</result> </Exposure>