curl --request POST \
--url https://api.fincept.in/quantlib/pricing/binomial/bermudan \
--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",
"exercise_dates": [
0.25,
0.5,
0.75,
1
],
"method": "CRR"
}
'import requests
url = "https://api.fincept.in/quantlib/pricing/binomial/bermudan"
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",
"exercise_dates": [0.25, 0.5, 0.75, 1],
"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',
exercise_dates: [0.25, 0.5, 0.75, 1],
method: 'CRR'
})
};
fetch('https://api.fincept.in/quantlib/pricing/binomial/bermudan', 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/bermudan",
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',
'exercise_dates' => [
0.25,
0.5,
0.75,
1
],
'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/bermudan"
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 \"exercise_dates\": [\n 0.25,\n 0.5,\n 0.75,\n 1\n ],\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/bermudan")
.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 \"exercise_dates\": [\n 0.25,\n 0.5,\n 0.75,\n 1\n ],\n \"method\": \"CRR\"\n}")
.asString();require 'uri'
require 'net/http'
url = URI("https://api.fincept.in/quantlib/pricing/binomial/bermudan")
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 \"exercise_dates\": [\n 0.25,\n 0.5,\n 0.75,\n 1\n ],\n \"method\": \"CRR\"\n}"
response = http.request(request)
puts response.read_body{
"success": true,
"data": {
"price": 7.923,
"exercise_dates": [
0.25,
0.5,
0.75,
1
],
"method": "CRR"
}
}{
"detail": "Invalid API key"
}{
"detail": "Insufficient credits. This endpoint costs 2 credits per request."
}{
"detail": [
{
"loc": [
"<string>"
],
"msg": "<string>",
"type": "<string>"
}
]
}Binomial Tree Bermudan Option
Price Bermudan options using binomial trees. Bermudan options can be exercised only on specific dates (a middle ground between European and American).
Exercise Dates: Must specify list of times (in years) when early exercise is permitted.
Use Cases:
- Price Bermudan swaptions (common in interest rate markets)
- Value callable bonds with specific call dates
- Price employee stock options with vesting schedules
- Structure custom exercise schedules
Example: A 1-year option exercisable quarterly: exercise_dates = [0.25, 0.5, 0.75, 1.0]
Tier: Standard (2 credits/request) [Tier: PRO, Credits: 5]
curl --request POST \
--url https://api.fincept.in/quantlib/pricing/binomial/bermudan \
--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",
"exercise_dates": [
0.25,
0.5,
0.75,
1
],
"method": "CRR"
}
'import requests
url = "https://api.fincept.in/quantlib/pricing/binomial/bermudan"
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",
"exercise_dates": [0.25, 0.5, 0.75, 1],
"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',
exercise_dates: [0.25, 0.5, 0.75, 1],
method: 'CRR'
})
};
fetch('https://api.fincept.in/quantlib/pricing/binomial/bermudan', 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/bermudan",
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',
'exercise_dates' => [
0.25,
0.5,
0.75,
1
],
'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/bermudan"
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 \"exercise_dates\": [\n 0.25,\n 0.5,\n 0.75,\n 1\n ],\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/bermudan")
.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 \"exercise_dates\": [\n 0.25,\n 0.5,\n 0.75,\n 1\n ],\n \"method\": \"CRR\"\n}")
.asString();require 'uri'
require 'net/http'
url = URI("https://api.fincept.in/quantlib/pricing/binomial/bermudan")
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 \"exercise_dates\": [\n 0.25,\n 0.5,\n 0.75,\n 1\n ],\n \"method\": \"CRR\"\n}"
response = http.request(request)
puts response.read_body{
"success": true,
"data": {
"price": 7.923,
"exercise_dates": [
0.25,
0.5,
0.75,
1
],
"method": "CRR"
}
}{
"detail": "Invalid API key"
}{
"detail": "Insufficient credits. This endpoint costs 2 credits per request."
}{
"detail": [
{
"loc": [
"<string>"
],
"msg": "<string>",
"type": "<string>"
}
]
}Authorizations
API key for authentication. Get your key at https://api.fincept.in/auth/register
Body
Current price of the underlying asset
100
Strike price of the option
105
Risk-free interest rate (annualized, decimal format)
0.05
Annualized volatility (decimal format)
0.25
Time to expiration in years
1
List of times (in years) when early exercise is allowed
[0.25, 0.5, 0.75, 1]
Continuous dividend yield (annualized, decimal format)
0.02
Number of time steps in the binomial tree
100
Type of option
call, put "call"
Binomial tree method
CRR, JR, LR, TIAN "CRR"
