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POST
/
quantlib
/
models
/
heston
/
implied-vol
Heston Implied Volatility
curl --request POST \
  --url https://finceptbackend.share.zrok.io/quantlib/models/heston/implied-vol \
  --header 'Content-Type: application/json' \
  --header 'X-API-Key: <api-key>' \
  --data '
{
  "S0": 100,
  "v0": 0.04,
  "r": 0.05,
  "kappa": 2,
  "theta": 0.04,
  "sigma_v": 0.3,
  "rho": -0.7,
  "strike": 95,
  "T": 1,
  "option_type": "put"
}
'
{
  "success": true,
  "data": {
    "implied_vol": 0.237,
    "strike": 95,
    "T": 1
  }
}

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
​
S0
number
required

Current asset price

​
v0
number
required

Initial variance (volatility squared)

​
r
number
required

Risk-free rate (annualized)

​
kappa
number
required

Variance mean reversion speed

​
theta
number
required

Long-term variance

​
sigma_v
number
required

Volatility of variance

​
rho
number
required

Stock-variance correlation

​
strike
number
required

Option strike price

​
T
number
required

Time to maturity in years

​
option_type
enum<string>
default:call

Option type

Available options:
call,
put

Response

Successfully calculated implied volatility

​
success
boolean
Example:

true

​
data
object
Example:
{
  "implied_vol": 0.237,
  "strike": 95,
  "T": 1
}