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POST
/
quantlib
/
pricing
/
black76
/
floorlet
Black76 Floorlet Price
curl --request POST \
  --url https://api.fincept.in/quantlib/pricing/black76/floorlet \
  --header 'Content-Type: application/json' \
  --header 'X-API-Key: <api-key>' \
  --data '
{
  "forward_rate": 0.03,
  "strike": 0.025,
  "discount_factor": 0.95,
  "volatility": 0.2,
  "t_start": 1,
  "t_end": 1.25,
  "notional": 1000000
}
'
{
  "success": true,
  "data": {
    "floorlet_price": 156.78
  }
}

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