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POST
/
quantlib
/
pricing
/
black76
/
swaption
Black76 Swaption Price
curl --request POST \
  --url https://finceptbackend.share.zrok.io/quantlib/pricing/black76/swaption \
  --header 'Content-Type: application/json' \
  --header 'X-API-Key: <api-key>' \
  --data '
{
  "forward_swap_rate": 0.04,
  "strike": 0.045,
  "annuity": 4.5,
  "volatility": 0.18,
  "t_expiry": 2,
  "is_payer": true,
  "notional": 1000000
}
'
{
  "success": true,
  "data": {
    "swaption_price": 12345.67,
    "is_payer": true
  }
}

Authorizations

​
X-API-Key
string
header
required

API key for authentication. Get your key at https://finceptbackend.share.zrok.io/auth/register

Body

application/json
​
forward_swap_rate
number
required

Forward swap rate (decimal format)

Example:

0.04

​
strike
number
required

Strike rate of the swaption (decimal format)

Example:

0.045

​
annuity
number
required

Present value of a basis point (PVBP) or annuity

Example:

4.5

​
volatility
number
required

Annualized swap rate volatility (decimal format)

Example:

0.18

​
t_expiry
number
required

Time to expiration in years

Example:

2

​
is_payer
boolean
default:true

True for payer swaption, false for receiver swaption

Example:

true

​
notional
number
default:1

Notional amount

Example:

1000000

Response

Successful calculation

​
success
boolean
Example:

true

​
data
object