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POST
/
quantlib
/
risk
/
sensitivities
/
bucket-delta
Calculate Bucket Delta (DV01 by Tenor)
curl --request POST \
  --url https://api.fincept.in/quantlib/risk/sensitivities/bucket-delta \
  --header 'Content-Type: application/json' \
  --header 'X-API-Key: <api-key>' \
  --data '
{
  "positions": [
    {
      "tenor": 1,
      "notional": 2000000,
      "duration": 0.98
    },
    {
      "tenor": 3,
      "notional": 1500000,
      "duration": 2.85
    },
    {
      "tenor": 5,
      "notional": 1000000,
      "duration": 4.52
    },
    {
      "tenor": 10,
      "notional": 800000,
      "duration": 8.75
    }
  ],
  "bump_size": 0.0001
}
'
{
  "success": true,
  "data": {
    "1Y": 1960,
    "3Y": 4275,
    "5Y": 4520,
    "10Y": 7000,
    "total": 17755
  }
}

Authorizations

​
X-API-Key
string
header
required

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

Body

application/json
​
positions
object[]
required

List of fixed income positions with tenor information

Example:
[
  {
    "tenor": 2,
    "notional": 1000000,
    "duration": 1.9
  },
  {
    "tenor": 5,
    "notional": 500000,
    "duration": 4.5
  }
]
​
bump_size
number
default:0.0001

Rate bump size in decimal (e.g., 0.0001 for 1bp)

Example:

0.0001

Response

Bucket delta by tenor

​
success
boolean
Example:

true

​
data
object

DV01 by tenor bucket

Example:
{
  "1Y": 1960,
  "3Y": 4275,
  "5Y": 4520,
  "10Y": 7000
}