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POST
/
quantlib
/
models
/
hull-white
/
calibrate
Hull-White Model Calibration
curl --request POST \
  --url https://finceptbackend.share.zrok.io/quantlib/models/hull-white/calibrate \
  --header 'Content-Type: application/json' \
  --header 'X-API-Key: <api-key>' \
  --data '
{
  "kappa": 0.15,
  "sigma": 0.012,
  "r0": 0.025,
  "market_tenors": [
    0.5,
    1,
    2,
    5,
    10
  ],
  "market_rates": [
    0.0275,
    0.03,
    0.0345,
    0.04,
    0.045
  ]
}
'
{
  "success": true,
  "data": {
    "model": "hull_white",
    "calibrated_bonds": [
      {
        "maturity": 0.5,
        "bond_price": 98.64
      },
      {
        "maturity": 1,
        "bond_price": 97.04
      },
      {
        "maturity": 2,
        "bond_price": 93.32
      },
      {
        "maturity": 5,
        "bond_price": 81.87
      },
      {
        "maturity": 10,
        "bond_price": 64.07
      }
    ]
  }
}

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
​
market_tenors
number[]
required

Array of market rate tenors in years (e.g., [0.5, 1, 2, 5, 10])

​
market_rates
number[]
required

Corresponding market rates (yields) for each tenor, annualized

​
kappa
number
default:0.1

Mean reversion speed parameter (fixed during calibration)

​
sigma
number
default:0.01

Volatility parameter (fixed during calibration)

​
r0
number
default:0.03

Initial short rate

Response

Successfully calibrated Hull-White model

​
success
boolean
Example:

true

​
data
object
Example:
{
  "model": "hull_white",
  "calibrated_bonds": [
    { "maturity": 0.5, "bond_price": 98.64 },
    { "maturity": 1, "bond_price": 97.04 },
    { "maturity": 2, "bond_price": 93.32 },
    { "maturity": 5, "bond_price": 81.87 },
    { "maturity": 10, "bond_price": 64.07 }
  ]
}