Multi Assets Indexes

The multi asset endpoints contain information on all multi asset indexes that Vinter calculates. There are three frequencies of every multi asset index.

Multi Assets Daily

For each multi asset index Vinter calculates an end-of-day value. This value is the official value for each index and is published at different times, specified by the index methodology. All multi asset index calculations are based on a specific reference rates series. Every reference series has a serial number as part of its symbol. For more information, please see the main section of the API documentation.

Multi Assets Hourly

All indexes also have an hourly frequency. The index values are published every hour. It works in the same way as the daily frequency, except the values are considered to be indicative.

Multi Assets Real Time

Finally, Vinter publishes a 10 second indicative feed for every index. This feed is based on our real time single asset feed. These values are also considered indicative.

Each record received from a multi asset endpoint contains the following information:

  • Index value

  • Current values

  • Rebalance values

  • Current weights

  • Rebalance weights

The index value is calculated based on the rebalance weights, rebalance values, and the current values. To derive the index value, you follow these steps:

  1. Divide the current value for each constituent with its rebalance value.

  2. Multiply the ratio from 1 with the constituent's rebalance weight.

  3. Sum the values from 2 across all index constituents.

  4. Multiply the value from 3 with the index rebalance value. The index rebalance value can be found in the rebalance value field.

The current weight field, also called drifted weights, is the ratio of the total index value allocated to a specific asset at the current date. It is calculated as follows.

  1. Divide the current value for each constituent with its rebalance value

  2. Multiply the ratio from 1 with the constituent's rebalance weight.

  3. Sum the values from 2 across all index constituents.

  4. The current weight for a constituent is its value from 1 divided by the value from 3.

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