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POST
Basket Option Price (Levy Approximation)

Authorizations

X-API-Key
string
header
required

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

Body

application/json
weights
number[]
required

Weights of each asset in the basket

Example:
forwards
number[]
required

Forward prices of basket assets

Example:
sigmas
number[]
required

Volatilities of basket assets (decimal format)

Example:
correlations
number[]
required

Flattened correlation matrix or upper triangle values

Example:
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