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POST
/
quantlib
/
models
/
dupire
/
price
Dupire Local Volatility Model
curl --request POST \
  --url https://finceptbackend.share.zrok.io/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"
}
'
{
  "success": true,
  "data": {
    "price": 4.76,
    "option_type": "call"
  }
}

Authorizations

​
X-API-Key
string
header
required

API key for authentication. Get your key at https://finceptbackend.share.zrok.io/auth/register

Body

application/json
​
strike
number
required

Option strike price

​
T
number
required

Time to maturity in years

​
spot
number

Current spot price of the underlying asset

​
r
number
default:0

Risk-free rate (annualized)

​
q
number
default:0

Dividend yield (annualized)

​
sigma
number
default:0.2

Flat local volatility (annualized). In full Dupire, this would be σ(K,T)

​
option_type
enum<string>
default:call

Option type

Available options:
call,
put

Response

Successfully priced option with Dupire model

​
success
boolean
Example:

true

​
data
object
Example:
{ "price": 4.76, "option_type": "call" }