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POST
/
quantlib
/
models
/
svi
/
calibrate
SVI Volatility Surface Calibration
curl --request POST \
  --url https://finceptbackend.share.zrok.io/quantlib/models/svi/calibrate \
  --header 'Content-Type: application/json' \
  --header 'X-API-Key: <api-key>' \
  --data '
{
  "strikes": [
    90,
    95,
    100,
    105,
    110
  ],
  "market_vols": [
    0.28,
    0.24,
    0.22,
    0.23,
    0.26
  ],
  "forward": 100.5,
  "T": 0.5
}
'
{
  "success": true,
  "data": {
    "fitted_vols": [
      0.279,
      0.241,
      0.22,
      0.229,
      0.258
    ],
    "total_variances": [
      0.0389,
      0.029,
      0.0242,
      0.0262,
      0.0333
    ]
  }
}

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
​
strikes
number[]
required

Array of option strike prices from market data (e.g., [90, 95, 100, 105, 110])

​
market_vols
number[]
required

Corresponding market implied volatilities (annualized, e.g., [0.28, 0.24, 0.22, 0.23, 0.26])

​
forward
number
required

Forward price of the underlying at maturity T (F = S * exp((r-q)*T))

​
T
number
required

Time to maturity in years (same for all strikes in this slice)

Response

Successfully calibrated SVI model

​
success
boolean
Example:

true

​
data
object
Example:
{
  "fitted_vols": [0.279, 0.241, 0.22, 0.229, 0.258],
  "total_variances": [0.0389, 0.029, 0.0242, 0.0262, 0.0333]
}