Skip to main content
POST
Black76 Swaption 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_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