> ## Documentation Index
> Fetch the complete documentation index at: https://docs.fincept.in/llms.txt
> Use this file to discover all available pages before exploring further.

# Basket Option Price (Levy Approximation)

> Price a basket call option using Levy's moment-matching approximation. A basket option has payoff based on a weighted sum of multiple assets.

**Payoff:** max(Σ w_i × F_i - K, 0)

**Use Cases:**
- Price index options (equity indices, commodity baskets)
- Value portfolio options
- Price multi-asset structured products
- Hedge basket exposures
- Price custom index derivatives

**Method:** Uses moment matching to approximate the basket distribution with a lognormal distribution.

**Note:** Accuracy depends on correlation structure and relative asset weights.

**Tier:** Standard (2 credits/request) [Tier: PRO, Credits: 5]



## OpenAPI

````yaml api-specs/pricing.json post /quantlib/pricing/basket-levy
openapi: 3.1.0
info:
  title: FinceptQuantLib API - Pricing Module
  description: >-
    Advanced options pricing models including Black-Scholes, Black76, Bachelier,
    Kirk spread options, and binomial trees. Standard Tier access required (2
    credits per request).
  version: 3.0.0
  contact:
    name: Fincept API Support
    url: https://fincept.in
servers:
  - url: https://api.fincept.in
    description: Fincept API Production Server
security:
  - APIKeyHeader: []
tags:
  - name: quantlib-pricing
    description: Advanced options pricing models and Greeks calculation
    x-displayName: Pricing
paths:
  /quantlib/pricing/basket-levy:
    post:
      tags:
        - quantlib-pricing
      summary: Basket Option Price (Levy Approximation)
      description: >-
        Price a basket call option using Levy's moment-matching approximation. A
        basket option has payoff based on a weighted sum of multiple assets.


        **Payoff:** max(Σ w_i × F_i - K, 0)


        **Use Cases:**

        - Price index options (equity indices, commodity baskets)

        - Value portfolio options

        - Price multi-asset structured products

        - Hedge basket exposures

        - Price custom index derivatives


        **Method:** Uses moment matching to approximate the basket distribution
        with a lognormal distribution.


        **Note:** Accuracy depends on correlation structure and relative asset
        weights.


        **Tier:** Standard (2 credits/request) [Tier: PRO, Credits: 5]
      operationId: basket_levy
      requestBody:
        required: true
        content:
          application/json:
            schema:
              $ref: '#/components/schemas/BasketLevyRequest'
            example:
              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
      responses:
        '200':
          description: Successful calculation
          content:
            application/json:
              schema:
                type: object
                properties:
                  success:
                    type: boolean
                    example: true
                  data:
                    type: object
                    properties:
                      basket_call_price:
                        type: number
                        description: Basket call option price
                        example: 9.876
        '401':
          $ref: '#/components/responses/UnauthorizedError'
        '402':
          $ref: '#/components/responses/InsufficientCreditsError'
        '422':
          $ref: '#/components/responses/ValidationError'
components:
  schemas:
    BasketLevyRequest:
      type: object
      required:
        - weights
        - forwards
        - sigmas
        - correlations
        - strike
        - risk_free_rate
        - time_to_maturity
      properties:
        weights:
          type: array
          items:
            type: number
          description: Weights of each asset in the basket
          example:
            - 0.4
            - 0.3
            - 0.3
        forwards:
          type: array
          items:
            type: number
          description: Forward prices of basket assets
          example:
            - 105
            - 98
            - 110
        sigmas:
          type: array
          items:
            type: number
          description: Volatilities of basket assets (decimal format)
          example:
            - 0.25
            - 0.3
            - 0.28
        correlations:
          type: array
          items:
            type: number
          description: Flattened correlation matrix or upper triangle values
          example:
            - 1
            - 0.6
            - 0.5
            - 1
            - 0.55
            - 1
        strike:
          type: number
          description: Strike price of the basket option
          example: 100
        risk_free_rate:
          type: number
          description: Risk-free interest rate (annualized, decimal format)
          example: 0.05
        time_to_maturity:
          type: number
          description: Time to expiration in years
          example: 1
  responses:
    UnauthorizedError:
      description: Authentication information is missing or invalid
      content:
        application/json:
          schema:
            type: object
            properties:
              detail:
                type: string
                example: Invalid API key
    InsufficientCreditsError:
      description: Insufficient API credits for this request
      content:
        application/json:
          schema:
            type: object
            properties:
              detail:
                type: string
                example: >-
                  Insufficient credits. This endpoint costs 2 credits per
                  request.
    ValidationError:
      description: Request validation failed
      content:
        application/json:
          schema:
            type: object
            properties:
              detail:
                type: array
                items:
                  type: object
                  properties:
                    loc:
                      type: array
                      items:
                        type: string
                    msg:
                      type: string
                    type:
                      type: string
  securitySchemes:
    APIKeyHeader:
      type: apiKey
      in: header
      name: X-API-Key
      description: >-
        API key for authentication. Get your key at
        https://api.fincept.in/auth/register

````