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POST
/
quantlib
/
models
/
short-rate
/
bond-option
Short Rate Bond Option Pricing
curl --request POST \
  --url https://finceptbackend.share.zrok.io/quantlib/models/short-rate/bond-option \
  --header 'Content-Type: application/json' \
  --header 'X-API-Key: <api-key>' \
  --data '
{
  "model": "vasicek",
  "kappa": 0.12,
  "theta": 0.05,
  "sigma": 0.015,
  "r0": 0.04,
  "T": 0.5
}
'
{
  "success": true,
  "data": {
    "call_price": 1.23,
    "put_price": 0.87,
    "model": "vasicek"
  }
}

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
​
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:
{
  "call_price": 1.23,
  "put_price": 0.87,
  "model": "vasicek"
}