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POST
Short Rate Bond Option Pricing

Authorizations

X-API-Key
string
header
required

API key for authentication. Get your key at https://api.fincept.in/auth/register

Body

application/json
model
enum<string>
default:vasicek

Short rate model for option pricing

Available options:
vasicek,
cir
kappa
number
default:0.1

Mean reversion speed

theta
number
default:0.05

Long-term mean rate

sigma
number
default:0.01

Rate volatility

r0
number
default:0.03

Initial short rate

T
number
default:1

Option maturity in years. The option expires at time T, giving the right to buy/sell a bond maturing at T+1

Response

Successfully priced bond options

success
boolean
Example:

true

data
object
Example: