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POST
/
quantlib
/
pricing
/
margrabe
Margrabe Exchange Option Price
curl --request POST \
  --url https://finceptbackend.share.zrok.io/quantlib/pricing/margrabe \
  --header 'Content-Type: application/json' \
  --header 'X-API-Key: <api-key>' \
  --data '
{
  "S1": 105,
  "S2": 100,
  "q1": 0.02,
  "q2": 0.015,
  "sigma1": 0.3,
  "sigma2": 0.25,
  "rho": 0.6,
  "time_to_maturity": 1
}
'
{
  "success": true,
  "data": {
    "margrabe_call": 12.456,
    "margrabe_put": 7.234
  }
}

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
​
S1
number
required

Current price of first asset

Example:

105

​
S2
number
required

Current price of second asset

Example:

100

​
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

​
q1
number
default:0

Continuous dividend yield of first asset (decimal format)

Example:

0.02

​
q2
number
default:0

Continuous dividend yield of second asset (decimal format)

Example:

0.015

Response

Successful calculation

​
success
boolean
Example:

true

​
data
object