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POST
Kirk Spread Option Greeks

Authorizations

X-API-Key
string
header
required

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

Body

application/json
F1
number
required

Forward price of first asset

Example:

105

F2
number
required

Forward price of second asset

Example:

100

strike
number
required

Strike price of the spread option

Example:

3

risk_free_rate
number
required

Risk-free interest rate (annualized, decimal format)

Example:

0.05

sigma1
number
required

Annualized volatility of first asset (decimal format)

Example:

0.3

sigma2
number
required

Annualized volatility of second asset (decimal format)

Example:

0.25

rho
number
required

Correlation between the two assets

Example:

0.6

time_to_maturity
number
required

Time to expiration in years

Example:

1

option_type
enum<string>
default:call

Type of spread option

Available options:
call,
put
Example:

"call"

Response

Successful calculation

success
boolean
Example:

true

data
object

All calculated Greeks as key-value pairs

Example: