Kirk Spread Option Price

curl --request POST \
  --url https://api.fincept.in/quantlib/pricing/kirk/spread-price \
  --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": {
    "spread_price": 5.234,
    "option_type": "call"
  }
}

quantlib-pricing

Kirk Spread Option Price

Price a spread option using Kirk’s approximation. A spread option has payoff based on the difference between two asset prices: max(F1 - F2 - K, 0) for a call.

Use Cases:

Price crack spread options (oil refining: crude oil vs. refined products)
Value spark spread options (power generation: electricity vs. gas)
Price calendar spread options (same asset, different maturities)
Value commodity processing spreads
Inter-exchange arbitrage options

Model: Kirk’s approximation is accurate when F2 >> K (typical for most practical cases).

Tier: Standard (2 credits/request) [Tier: PRO, Credits: 5]

POST

quantlib

pricing

kirk

spread-price

Kirk Spread Option Price

curl --request POST \
  --url https://api.fincept.in/quantlib/pricing/kirk/spread-price \
  --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": {
    "spread_price": 5.234,
    "option_type": "call"
  }
}

Authorizations

X-API-Key

string

header

required

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

Body

application/json

number

required

Forward price of first asset

Example:

105

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

Show child attributes

Shifted Lognormal Option Price

Kirk Spread Option Greeks