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POST
/
quantlib
/
pricing
/
kirk
/
spread-greeks
Kirk Spread Option Greeks
curl --request POST \
  --url https://api.fincept.in/quantlib/pricing/kirk/spread-greeks \
  --header 'Content-Type: application/json' \
  --header 'X-API-Key: <api-key>' \
  --data '
{
  "F1": 105,
  "F2": 100,
  "strike": 3,
  "risk_free_rate": 0.05,
  "sigma1": 0.3,
  "sigma2": 0.25,
  "rho": 0.6,
  "time_to_maturity": 1,
  "option_type": "call"
}
'
{
  "success": true,
  "data": {
    "delta_F1": 0.6234,
    "delta_F2": -0.5123,
    "gamma": 0.0234,
    "vega1": 28.45,
    "vega2": 24.12,
    "theta": -0.0089
  }
}

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:
{
  "delta_F1": 0.6234,
  "delta_F2": -0.5123,
  "gamma": 0.0234,
  "vega1": 28.45,
  "vega2": 24.12,
  "theta": -0.0089
}