Skip to main content
POST
Short Rate Bond 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
maturities
number[]
required

Array of bond maturities in years (e.g., [0.25, 0.5, 1, 2, 5, 10] for 3M, 6M, 1Y, 2Y, 5Y, 10Y bonds)

model
enum<string>
default:vasicek

Short rate model to use. Vasicek allows negative rates, CIR ensures positive rates, Hull-White fits an initial term structure

Available options:
vasicek,
cir,
hull_white
kappa
number
default:0.1

Mean reversion speed (annualized). Higher values mean faster reversion to long-term rate. Typical range: 0.01-0.5

theta
number
default:0.05

Long-term mean rate (annualized). The rate towards which the short rate reverts. Typical range: 0.01-0.10 (1%-10%)

sigma
number
default:0.01

Volatility of the short rate (annualized). Controls the randomness of rate movements. Typical range: 0.005-0.02

r0
number
default:0.03

Initial short rate (annualized). Current spot rate. Typical range: 0.00-0.10 (0%-10%)

Response

Successfully calculated bond prices

success
boolean
Example:

true

data
object
Example: