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POST
Black76 Caplet Price

Authorizations

X-API-Key
string
header
required

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

Body

application/json
forward_rate
number
required

Forward interest rate for the period (decimal format)

Example:

0.03

strike
number
required

Strike rate of the caplet/floorlet (decimal format)

Example:

0.035

discount_factor
number
required

Discount factor to present value

Example:

0.95

volatility
number
required

Annualized volatility of the forward rate (decimal format)

Example:

0.2

t_start
number
required

Start time of the accrual period in years

Example:

1

t_end
number
required

End time of the accrual period in years

Example:

1.25

notional
number
default:1

Notional amount

Example:

1000000

Response

Successful calculation

success
boolean
Example:

true

data
object