Full FX correlation matrix across all pairs

Extraits de code

curl "https://api.oanor.com/fxcorrelation-api/v1/matrix" \
  -H "x-oanor-key: oanor_test_..."

await fetch("https://api.oanor.com/fxcorrelation-api/v1/matrix", {
  headers: { "x-oanor-key": "oanor_test_..." }
});

$ch = curl_init("https://api.oanor.com/fxcorrelation-api/v1/matrix");
curl_setopt($ch, CURLOPT_HTTPHEADER, ["x-oanor-key: oanor_test_..."]);
curl_setopt($ch, CURLOPT_RETURNTRANSFER, true);
$out = curl_exec($ch);

import requests
requests.get(
    "https://api.oanor.com/fxcorrelation-api/v1/matrix",
    headers={"x-oanor-key": "oanor_test_..."}
)

Exemple de réponse

Une réponse réelle de ce endpoint, capturée lors du dernier contrôle de santé.

{
    "data": {
        "note": "Pairwise Pearson correlation of daily log returns over window_days, aligned on common trading days. +1 = pairs move together (stacking the same risk); -1 = they move oppositely (a hedge); near 0 = independent. Read fresh per call, nothing cached.",
        "count": 14,
        "pairs": [
            "EURUSD",
            "GBPUSD",
            "USDJPY",
            "USDCHF",
            "AUDUSD",
            "USDCAD",
            "NZDUSD",
            "EURGBP",
            "EURJPY",
            "GBPJPY",
            "EURCHF",
            "AUDJPY",
            "USDMXN",
            "USDCNY"
        ],
        "matrix": {
            "AUDJPY": {
                "AUDJPY": 1,
                "AUDUSD": 0.785,
                "EURCHF": 0.076,
                "EURGBP": -0.049,
                "EURJPY": 0.664,
                "EURUSD": 0.631,
                "GBPJPY": 0.662,
                "GBPUSD": 0.537,
                "NZDUSD": 0.598,
                "USDCAD": -0.46,
                "USDCHF": -0.48,
                "USDCNY": -0.23,
                "USDJPY": -0.005,
                "USDMXN": -0.633
            },
            "AUDUSD": {
                "AUDJPY": 0.785,
                "AUDUSD": 1,
                "EURCHF": -0.086,
                "EURGBP": -0.244,
                "EURJPY": 0.194,
                "EURUSD": 0.871,
                "GBPJPY": 0.331,
                "GBPUSD": 0.822,
                "NZDUSD": 0.857,
                "USDCAD": -0.649,
                "USDCHF": -0.776,
                "USDCNY": -0.4,
                "USDJPY": -0.622,
                "USDMXN": -0.833
            },
            "EURCHF": {
                "AUDJPY": 0.076,
                "AUDUSD": -0.086,
                "EURCHF": 1,
                "EURGBP": 0.24,
                "EURJPY": 0.293,
                "EURUSD": 0.014,
                "GBPJPY": 0.141,
                "GBPUSD": -0.097,
                "NZDUSD": -0.222,
                "USDCAD": 0.357,
                "USDCHF": 0.543,
                "USDCNY": 0.191,
                "USDJPY": 0.238,
                "USDMXN": 0.007
            },
            "EURGBP": {
                "AUDJPY": -0.049,
                "AUDUSD": -0.244,
                "EURCHF": 0.24,
                "EURGBP": 1,
                "EURJPY": 0.217,
                "EURUSD": -0.161,
                "GBPJPY": -0.381,
                "GBPUSD": -0.596,
                "NZDUSD": -0.292,
                "USDCAD": 0.227,
                "USDCHF": 0.274,
                "USDCNY": 0.063,
                "USDJPY": 0.333,
                "USDMXN": 0.255
            },
            "EURJPY": {
                "AUDJPY": 0.664,
                "AUDUSD": 0.194,
                "EURCHF": 0.293,
                "EURGBP": 0.217,
                "EURJPY": 1,
                "EURUSD": 0.353,
                "GBPJPY": 0.819,
                "GBPUSD": 0.188,
                "NZDUSD": 0.117,
                "USDCAD"
…