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POST
/
quantlib
/
pricing
/
basket-levy
Basket Option Price (Levy Approximation)
curl --request POST \
  --url https://finceptbackend.share.zrok.io/quantlib/pricing/basket-levy \
  --header 'Content-Type: application/json' \
  --header 'X-API-Key: <api-key>' \
  --data '
{
  "weights": [
    0.4,
    0.3,
    0.3
  ],
  "forwards": [
    105,
    98,
    110
  ],
  "sigmas": [
    0.25,
    0.3,
    0.28
  ],
  "correlations": [
    1,
    0.6,
    0.5,
    1,
    0.55,
    1
  ],
  "strike": 100,
  "risk_free_rate": 0.05,
  "time_to_maturity": 1
}
'
{
  "success": true,
  "data": {
    "basket_call_price": 9.876
  }
}

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
​
weights
number[]
required

Weights of each asset in the basket

Example:
[0.4, 0.3, 0.3]
​
forwards
number[]
required

Forward prices of basket assets

Example:
[105, 98, 110]
​
sigmas
number[]
required

Volatilities of basket assets (decimal format)

Example:
[0.25, 0.3, 0.28]
​
correlations
number[]
required

Flattened correlation matrix or upper triangle values

Example:
[1, 0.6, 0.5, 1, 0.55, 1]
​
strike
number
required

Strike price of the basket option

Example:

100

​
risk_free_rate
number
required

Risk-free interest rate (annualized, decimal format)

Example:

0.05

​
time_to_maturity
number
required

Time to expiration in years

Example:

1

Response

Successful calculation

​
success
boolean
Example:

true

​
data
object