Binomial Tree Barrier Option

curl --request POST \
  --url https://api.fincept.in/quantlib/pricing/binomial/barrier \
  --header 'Content-Type: application/json' \
  --header 'X-API-Key: <api-key>' \
  --data '
{
  "spot": 100,
  "strike": 105,
  "risk_free_rate": 0.05,
  "dividend_yield": 0.02,
  "volatility": 0.25,
  "time_to_maturity": 1,
  "n_steps": 100,
  "option_type": "call",
  "barrier": 95,
  "is_knock_in": false,
  "is_down": true,
  "rebate": 2,
  "method": "CRR"
}
'

import requests

url = "https://api.fincept.in/quantlib/pricing/binomial/barrier"

payload = {
    "spot": 100,
    "strike": 105,
    "risk_free_rate": 0.05,
    "dividend_yield": 0.02,
    "volatility": 0.25,
    "time_to_maturity": 1,
    "n_steps": 100,
    "option_type": "call",
    "barrier": 95,
    "is_knock_in": False,
    "is_down": True,
    "rebate": 2,
    "method": "CRR"
}
headers = {
    "X-API-Key": "<api-key>",
    "Content-Type": "application/json"
}

response = requests.post(url, json=payload, headers=headers)

print(response.text)

const options = {
  method: 'POST',
  headers: {'X-API-Key': '<api-key>', 'Content-Type': 'application/json'},
  body: JSON.stringify({
    spot: 100,
    strike: 105,
    risk_free_rate: 0.05,
    dividend_yield: 0.02,
    volatility: 0.25,
    time_to_maturity: 1,
    n_steps: 100,
    option_type: 'call',
    barrier: 95,
    is_knock_in: false,
    is_down: true,
    rebate: 2,
    method: 'CRR'
  })
};

fetch('https://api.fincept.in/quantlib/pricing/binomial/barrier', options)
  .then(res => res.json())
  .then(res => console.log(res))
  .catch(err => console.error(err));

<?php

$curl = curl_init();

curl_setopt_array($curl, [
  CURLOPT_URL => "https://api.fincept.in/quantlib/pricing/binomial/barrier",
  CURLOPT_RETURNTRANSFER => true,
  CURLOPT_ENCODING => "",
  CURLOPT_MAXREDIRS => 10,
  CURLOPT_TIMEOUT => 30,
  CURLOPT_HTTP_VERSION => CURL_HTTP_VERSION_1_1,
  CURLOPT_CUSTOMREQUEST => "POST",
  CURLOPT_POSTFIELDS => json_encode([
    'spot' => 100,
    'strike' => 105,
    'risk_free_rate' => 0.05,
    'dividend_yield' => 0.02,
    'volatility' => 0.25,
    'time_to_maturity' => 1,
    'n_steps' => 100,
    'option_type' => 'call',
    'barrier' => 95,
    'is_knock_in' => false,
    'is_down' => true,
    'rebate' => 2,
    'method' => 'CRR'
  ]),
  CURLOPT_HTTPHEADER => [
    "Content-Type: application/json",
    "X-API-Key: <api-key>"
  ],
]);

$response = curl_exec($curl);
$err = curl_error($curl);

curl_close($curl);

if ($err) {
  echo "cURL Error #:" . $err;
} else {
  echo $response;
}

package main

import (
	"fmt"
	"strings"
	"net/http"
	"io"
)

func main() {

	url := "https://api.fincept.in/quantlib/pricing/binomial/barrier"

	payload := strings.NewReader("{\n  \"spot\": 100,\n  \"strike\": 105,\n  \"risk_free_rate\": 0.05,\n  \"dividend_yield\": 0.02,\n  \"volatility\": 0.25,\n  \"time_to_maturity\": 1,\n  \"n_steps\": 100,\n  \"option_type\": \"call\",\n  \"barrier\": 95,\n  \"is_knock_in\": false,\n  \"is_down\": true,\n  \"rebate\": 2,\n  \"method\": \"CRR\"\n}")

	req, _ := http.NewRequest("POST", url, payload)

	req.Header.Add("X-API-Key", "<api-key>")
	req.Header.Add("Content-Type", "application/json")

	res, _ := http.DefaultClient.Do(req)

	defer res.Body.Close()
	body, _ := io.ReadAll(res.Body)

	fmt.Println(string(body))

}

HttpResponse<String> response = Unirest.post("https://api.fincept.in/quantlib/pricing/binomial/barrier")
  .header("X-API-Key", "<api-key>")
  .header("Content-Type", "application/json")
  .body("{\n  \"spot\": 100,\n  \"strike\": 105,\n  \"risk_free_rate\": 0.05,\n  \"dividend_yield\": 0.02,\n  \"volatility\": 0.25,\n  \"time_to_maturity\": 1,\n  \"n_steps\": 100,\n  \"option_type\": \"call\",\n  \"barrier\": 95,\n  \"is_knock_in\": false,\n  \"is_down\": true,\n  \"rebate\": 2,\n  \"method\": \"CRR\"\n}")
  .asString();

require 'uri'
require 'net/http'

url = URI("https://api.fincept.in/quantlib/pricing/binomial/barrier")

http = Net::HTTP.new(url.host, url.port)
http.use_ssl = true

request = Net::HTTP::Post.new(url)
request["X-API-Key"] = '<api-key>'
request["Content-Type"] = 'application/json'
request.body = "{\n  \"spot\": 100,\n  \"strike\": 105,\n  \"risk_free_rate\": 0.05,\n  \"dividend_yield\": 0.02,\n  \"volatility\": 0.25,\n  \"time_to_maturity\": 1,\n  \"n_steps\": 100,\n  \"option_type\": \"call\",\n  \"barrier\": 95,\n  \"is_knock_in\": false,\n  \"is_down\": true,\n  \"rebate\": 2,\n  \"method\": \"CRR\"\n}"

response = http.request(request)
puts response.read_body

{
  "success": true,
  "data": {
    "price": 6.234,
    "barrier": 95,
    "is_knock_in": false,
    "is_down": true
  }
}

{
  "detail": "Invalid API key"
}

{
  "detail": "Insufficient credits. This endpoint costs 2 credits per request."
}

{
  "detail": [
    {
      "loc": [
        "<string>"
      ],
      "msg": "<string>",
      "type": "<string>"
    }
  ]
}

quantlib-pricing

Binomial Tree Barrier Option

Price barrier options using binomial trees. Barrier options activate (knock-in) or terminate (knock-out) when the underlying crosses a barrier level.

Barrier Types:

Down-and-Out: Terminates if S drops below barrier (is_down=true, is_knock_in=false)
Down-and-In: Activates if S drops below barrier (is_down=true, is_knock_in=true)
Up-and-Out: Terminates if S rises above barrier (is_down=false, is_knock_in=false)
Up-and-In: Activates if S rises above barrier (is_down=false, is_knock_in=true)

Rebate: Fixed payment if knock-out occurs.

Use Cases:

Price structured products with barriers
Reduce option premium with knock-out features
Create path-dependent payoffs
Manage risk with barrier structures

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

POST

quantlib

pricing

binomial

barrier

Binomial Tree Barrier Option

curl --request POST \
  --url https://api.fincept.in/quantlib/pricing/binomial/barrier \
  --header 'Content-Type: application/json' \
  --header 'X-API-Key: <api-key>' \
  --data '
{
  "spot": 100,
  "strike": 105,
  "risk_free_rate": 0.05,
  "dividend_yield": 0.02,
  "volatility": 0.25,
  "time_to_maturity": 1,
  "n_steps": 100,
  "option_type": "call",
  "barrier": 95,
  "is_knock_in": false,
  "is_down": true,
  "rebate": 2,
  "method": "CRR"
}
'

import requests

url = "https://api.fincept.in/quantlib/pricing/binomial/barrier"

payload = {
    "spot": 100,
    "strike": 105,
    "risk_free_rate": 0.05,
    "dividend_yield": 0.02,
    "volatility": 0.25,
    "time_to_maturity": 1,
    "n_steps": 100,
    "option_type": "call",
    "barrier": 95,
    "is_knock_in": False,
    "is_down": True,
    "rebate": 2,
    "method": "CRR"
}
headers = {
    "X-API-Key": "<api-key>",
    "Content-Type": "application/json"
}

response = requests.post(url, json=payload, headers=headers)

print(response.text)

const options = {
  method: 'POST',
  headers: {'X-API-Key': '<api-key>', 'Content-Type': 'application/json'},
  body: JSON.stringify({
    spot: 100,
    strike: 105,
    risk_free_rate: 0.05,
    dividend_yield: 0.02,
    volatility: 0.25,
    time_to_maturity: 1,
    n_steps: 100,
    option_type: 'call',
    barrier: 95,
    is_knock_in: false,
    is_down: true,
    rebate: 2,
    method: 'CRR'
  })
};

fetch('https://api.fincept.in/quantlib/pricing/binomial/barrier', options)
  .then(res => res.json())
  .then(res => console.log(res))
  .catch(err => console.error(err));

<?php

$curl = curl_init();

curl_setopt_array($curl, [
  CURLOPT_URL => "https://api.fincept.in/quantlib/pricing/binomial/barrier",
  CURLOPT_RETURNTRANSFER => true,
  CURLOPT_ENCODING => "",
  CURLOPT_MAXREDIRS => 10,
  CURLOPT_TIMEOUT => 30,
  CURLOPT_HTTP_VERSION => CURL_HTTP_VERSION_1_1,
  CURLOPT_CUSTOMREQUEST => "POST",
  CURLOPT_POSTFIELDS => json_encode([
    'spot' => 100,
    'strike' => 105,
    'risk_free_rate' => 0.05,
    'dividend_yield' => 0.02,
    'volatility' => 0.25,
    'time_to_maturity' => 1,
    'n_steps' => 100,
    'option_type' => 'call',
    'barrier' => 95,
    'is_knock_in' => false,
    'is_down' => true,
    'rebate' => 2,
    'method' => 'CRR'
  ]),
  CURLOPT_HTTPHEADER => [
    "Content-Type: application/json",
    "X-API-Key: <api-key>"
  ],
]);

$response = curl_exec($curl);
$err = curl_error($curl);

curl_close($curl);

if ($err) {
  echo "cURL Error #:" . $err;
} else {
  echo $response;
}

package main

import (
	"fmt"
	"strings"
	"net/http"
	"io"
)

func main() {

	url := "https://api.fincept.in/quantlib/pricing/binomial/barrier"

	payload := strings.NewReader("{\n  \"spot\": 100,\n  \"strike\": 105,\n  \"risk_free_rate\": 0.05,\n  \"dividend_yield\": 0.02,\n  \"volatility\": 0.25,\n  \"time_to_maturity\": 1,\n  \"n_steps\": 100,\n  \"option_type\": \"call\",\n  \"barrier\": 95,\n  \"is_knock_in\": false,\n  \"is_down\": true,\n  \"rebate\": 2,\n  \"method\": \"CRR\"\n}")

	req, _ := http.NewRequest("POST", url, payload)

	req.Header.Add("X-API-Key", "<api-key>")
	req.Header.Add("Content-Type", "application/json")

	res, _ := http.DefaultClient.Do(req)

	defer res.Body.Close()
	body, _ := io.ReadAll(res.Body)

	fmt.Println(string(body))

}

HttpResponse<String> response = Unirest.post("https://api.fincept.in/quantlib/pricing/binomial/barrier")
  .header("X-API-Key", "<api-key>")
  .header("Content-Type", "application/json")
  .body("{\n  \"spot\": 100,\n  \"strike\": 105,\n  \"risk_free_rate\": 0.05,\n  \"dividend_yield\": 0.02,\n  \"volatility\": 0.25,\n  \"time_to_maturity\": 1,\n  \"n_steps\": 100,\n  \"option_type\": \"call\",\n  \"barrier\": 95,\n  \"is_knock_in\": false,\n  \"is_down\": true,\n  \"rebate\": 2,\n  \"method\": \"CRR\"\n}")
  .asString();

require 'uri'
require 'net/http'

url = URI("https://api.fincept.in/quantlib/pricing/binomial/barrier")

http = Net::HTTP.new(url.host, url.port)
http.use_ssl = true

request = Net::HTTP::Post.new(url)
request["X-API-Key"] = '<api-key>'
request["Content-Type"] = 'application/json'
request.body = "{\n  \"spot\": 100,\n  \"strike\": 105,\n  \"risk_free_rate\": 0.05,\n  \"dividend_yield\": 0.02,\n  \"volatility\": 0.25,\n  \"time_to_maturity\": 1,\n  \"n_steps\": 100,\n  \"option_type\": \"call\",\n  \"barrier\": 95,\n  \"is_knock_in\": false,\n  \"is_down\": true,\n  \"rebate\": 2,\n  \"method\": \"CRR\"\n}"

response = http.request(request)
puts response.read_body

{
  "success": true,
  "data": {
    "price": 6.234,
    "barrier": 95,
    "is_knock_in": false,
    "is_down": true
  }
}

{
  "detail": "Invalid API key"
}

{
  "detail": "Insufficient credits. This endpoint costs 2 credits per request."
}

{
  "detail": [
    {
      "loc": [
        "<string>"
      ],
      "msg": "<string>",
      "type": "<string>"
    }
  ]
}

Authorizations

X-API-Key

string

header

required

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

Body

application/json

spot

number

required

Current price of the underlying asset

Example:

100

strike

number

required

Strike price of the option

Example:

105

risk_free_rate

number

required

Risk-free interest rate (annualized, decimal format)

Example:

0.05

volatility

number

required

Annualized volatility (decimal format)

Example:

0.25

time_to_maturity

number

required

Time to expiration in years

Example:

1

barrier

number

required

Barrier level that triggers knock-in or knock-out

Example:

95

is_knock_in

boolean

required

True for knock-in barrier, false for knock-out barrier

is_down

boolean

required

True for down barrier, false for up barrier

dividend_yield

number

default:0

Continuous dividend yield (annualized, decimal format)

Example:

0.02

n_steps

integer

default:100

Number of time steps in the binomial tree

Example:

100

option_type

enum<string>

default:call

Type of option

Available options:

call,

put

Example:

"call"

rebate

number

default:0

Rebate paid if barrier option is knocked out

Example:

0

method

enum<string>

default:CRR

Binomial tree method

Available options:

CRR,

JR,

LR,

TIAN

Example:

"CRR"

Response

Successful calculation

success

boolean

Example:

true

data

object

Show child attributes

Free Tier (0 credits)

Basic Tier (1 credit)

Standard Tier (2 credits)

Pro Tier (5 credits)

Enterprise Tier (10 credits)

Binomial Tree Barrier Option

Authorizations

Body

Response