Dupire Local Volatility Model
curl --request POST \
--url https://api.fincept.in/quantlib/models/dupire/price \
--header 'Content-Type: application/json' \
--header 'X-API-Key: <api-key>' \
--data '
{
"spot": 100,
"r": 0.05,
"q": 0.02,
"sigma": 0.25,
"strike": 105,
"T": 0.5,
"option_type": "call"
}
'import requests
url = "https://api.fincept.in/quantlib/models/dupire/price"
payload = {
"spot": 100,
"r": 0.05,
"q": 0.02,
"sigma": 0.25,
"strike": 105,
"T": 0.5,
"option_type": "call"
}
headers = {
"X-API-Key": "<api-key>",
"Content-Type": "application/json"
}
response = requests.post(url, json=payload, headers=headers)
print(response.text)const options = {
method: 'POST',
headers: {'X-API-Key': '<api-key>', 'Content-Type': 'application/json'},
body: JSON.stringify({
spot: 100,
r: 0.05,
q: 0.02,
sigma: 0.25,
strike: 105,
T: 0.5,
option_type: 'call'
})
};
fetch('https://api.fincept.in/quantlib/models/dupire/price', options)
.then(res => res.json())
.then(res => console.log(res))
.catch(err => console.error(err));<?php
$curl = curl_init();
curl_setopt_array($curl, [
CURLOPT_URL => "https://api.fincept.in/quantlib/models/dupire/price",
CURLOPT_RETURNTRANSFER => true,
CURLOPT_ENCODING => "",
CURLOPT_MAXREDIRS => 10,
CURLOPT_TIMEOUT => 30,
CURLOPT_HTTP_VERSION => CURL_HTTP_VERSION_1_1,
CURLOPT_CUSTOMREQUEST => "POST",
CURLOPT_POSTFIELDS => json_encode([
'spot' => 100,
'r' => 0.05,
'q' => 0.02,
'sigma' => 0.25,
'strike' => 105,
'T' => 0.5,
'option_type' => 'call'
]),
CURLOPT_HTTPHEADER => [
"Content-Type: application/json",
"X-API-Key: <api-key>"
],
]);
$response = curl_exec($curl);
$err = curl_error($curl);
curl_close($curl);
if ($err) {
echo "cURL Error #:" . $err;
} else {
echo $response;
}package main
import (
"fmt"
"strings"
"net/http"
"io"
)
func main() {
url := "https://api.fincept.in/quantlib/models/dupire/price"
payload := strings.NewReader("{\n \"spot\": 100,\n \"r\": 0.05,\n \"q\": 0.02,\n \"sigma\": 0.25,\n \"strike\": 105,\n \"T\": 0.5,\n \"option_type\": \"call\"\n}")
req, _ := http.NewRequest("POST", url, payload)
req.Header.Add("X-API-Key", "<api-key>")
req.Header.Add("Content-Type", "application/json")
res, _ := http.DefaultClient.Do(req)
defer res.Body.Close()
body, _ := io.ReadAll(res.Body)
fmt.Println(string(body))
}HttpResponse<String> response = Unirest.post("https://api.fincept.in/quantlib/models/dupire/price")
.header("X-API-Key", "<api-key>")
.header("Content-Type", "application/json")
.body("{\n \"spot\": 100,\n \"r\": 0.05,\n \"q\": 0.02,\n \"sigma\": 0.25,\n \"strike\": 105,\n \"T\": 0.5,\n \"option_type\": \"call\"\n}")
.asString();require 'uri'
require 'net/http'
url = URI("https://api.fincept.in/quantlib/models/dupire/price")
http = Net::HTTP.new(url.host, url.port)
http.use_ssl = true
request = Net::HTTP::Post.new(url)
request["X-API-Key"] = '<api-key>'
request["Content-Type"] = 'application/json'
request.body = "{\n \"spot\": 100,\n \"r\": 0.05,\n \"q\": 0.02,\n \"sigma\": 0.25,\n \"strike\": 105,\n \"T\": 0.5,\n \"option_type\": \"call\"\n}"
response = http.request(request)
puts response.read_body{
"success": true,
"data": {
"price": 4.76,
"option_type": "call"
}
}{
"detail": "Invalid API key"
}{
"detail": "Insufficient credits. This endpoint requires 5 credits. Current balance: 2 credits."
}{
"detail": [
{
"loc": [
"body",
"kappa"
],
"msg": "field required",
"type": "value_error.missing"
}
]
}quantlib-models
Dupire Local Volatility Model
Price European options using the Dupire local volatility model. Local volatility models assume volatility is a deterministic function of spot price and time, perfectly fitting observed market option prices. This endpoint uses a flat local volatility (constant across strikes and time) as a baseline, useful for comparing with stochastic volatility models or as a benchmark pricing tool. [Tier: ENTERPRISE, Credits: 10]
POST
/
quantlib
/
models
/
dupire
/
price
Dupire Local Volatility Model
curl --request POST \
--url https://api.fincept.in/quantlib/models/dupire/price \
--header 'Content-Type: application/json' \
--header 'X-API-Key: <api-key>' \
--data '
{
"spot": 100,
"r": 0.05,
"q": 0.02,
"sigma": 0.25,
"strike": 105,
"T": 0.5,
"option_type": "call"
}
'import requests
url = "https://api.fincept.in/quantlib/models/dupire/price"
payload = {
"spot": 100,
"r": 0.05,
"q": 0.02,
"sigma": 0.25,
"strike": 105,
"T": 0.5,
"option_type": "call"
}
headers = {
"X-API-Key": "<api-key>",
"Content-Type": "application/json"
}
response = requests.post(url, json=payload, headers=headers)
print(response.text)const options = {
method: 'POST',
headers: {'X-API-Key': '<api-key>', 'Content-Type': 'application/json'},
body: JSON.stringify({
spot: 100,
r: 0.05,
q: 0.02,
sigma: 0.25,
strike: 105,
T: 0.5,
option_type: 'call'
})
};
fetch('https://api.fincept.in/quantlib/models/dupire/price', options)
.then(res => res.json())
.then(res => console.log(res))
.catch(err => console.error(err));<?php
$curl = curl_init();
curl_setopt_array($curl, [
CURLOPT_URL => "https://api.fincept.in/quantlib/models/dupire/price",
CURLOPT_RETURNTRANSFER => true,
CURLOPT_ENCODING => "",
CURLOPT_MAXREDIRS => 10,
CURLOPT_TIMEOUT => 30,
CURLOPT_HTTP_VERSION => CURL_HTTP_VERSION_1_1,
CURLOPT_CUSTOMREQUEST => "POST",
CURLOPT_POSTFIELDS => json_encode([
'spot' => 100,
'r' => 0.05,
'q' => 0.02,
'sigma' => 0.25,
'strike' => 105,
'T' => 0.5,
'option_type' => 'call'
]),
CURLOPT_HTTPHEADER => [
"Content-Type: application/json",
"X-API-Key: <api-key>"
],
]);
$response = curl_exec($curl);
$err = curl_error($curl);
curl_close($curl);
if ($err) {
echo "cURL Error #:" . $err;
} else {
echo $response;
}package main
import (
"fmt"
"strings"
"net/http"
"io"
)
func main() {
url := "https://api.fincept.in/quantlib/models/dupire/price"
payload := strings.NewReader("{\n \"spot\": 100,\n \"r\": 0.05,\n \"q\": 0.02,\n \"sigma\": 0.25,\n \"strike\": 105,\n \"T\": 0.5,\n \"option_type\": \"call\"\n}")
req, _ := http.NewRequest("POST", url, payload)
req.Header.Add("X-API-Key", "<api-key>")
req.Header.Add("Content-Type", "application/json")
res, _ := http.DefaultClient.Do(req)
defer res.Body.Close()
body, _ := io.ReadAll(res.Body)
fmt.Println(string(body))
}HttpResponse<String> response = Unirest.post("https://api.fincept.in/quantlib/models/dupire/price")
.header("X-API-Key", "<api-key>")
.header("Content-Type", "application/json")
.body("{\n \"spot\": 100,\n \"r\": 0.05,\n \"q\": 0.02,\n \"sigma\": 0.25,\n \"strike\": 105,\n \"T\": 0.5,\n \"option_type\": \"call\"\n}")
.asString();require 'uri'
require 'net/http'
url = URI("https://api.fincept.in/quantlib/models/dupire/price")
http = Net::HTTP.new(url.host, url.port)
http.use_ssl = true
request = Net::HTTP::Post.new(url)
request["X-API-Key"] = '<api-key>'
request["Content-Type"] = 'application/json'
request.body = "{\n \"spot\": 100,\n \"r\": 0.05,\n \"q\": 0.02,\n \"sigma\": 0.25,\n \"strike\": 105,\n \"T\": 0.5,\n \"option_type\": \"call\"\n}"
response = http.request(request)
puts response.read_body{
"success": true,
"data": {
"price": 4.76,
"option_type": "call"
}
}{
"detail": "Invalid API key"
}{
"detail": "Insufficient credits. This endpoint requires 5 credits. Current balance: 2 credits."
}{
"detail": [
{
"loc": [
"body",
"kappa"
],
"msg": "field required",
"type": "value_error.missing"
}
]
}Authorizations
API key for authentication. Get your key at https://api.fincept.in/auth/register
Body
application/json
Option strike price
Time to maturity in years
Current spot price of the underlying asset
Risk-free rate (annualized)
Dividend yield (annualized)
Flat local volatility (annualized). In full Dupire, this would be σ(K,T)
Option type
Available options:
call, put ⌘I
