Skip to main content
POST
/
quantlib
/
risk
/
sensitivities
/
cross-gamma
Calculate Cross-Gamma
curl --request POST \
  --url https://api.fincept.in/quantlib/risk/sensitivities/cross-gamma \
  --header 'Content-Type: application/json' \
  --header 'X-API-Key: <api-key>' \
  --data '
{
  "S": 105,
  "K": 100,
  "T": 0.75,
  "r": 0.045,
  "sigma": 0.22,
  "bump": 0.01
}
'
{
  "success": true,
  "data": {
    "cross_gamma": 0.0234
  }
}

Authorizations

​
X-API-Key
string
header
required

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

Body

application/json
​
S
number
default:100

Current underlying price

Example:

100

​
K
number
default:100

Strike price

Example:

100

​
T
number
default:1

Time to expiration in years

Example:

1

​
r
number
default:0.05

Risk-free rate

Example:

0.05

​
sigma
number
default:0.2

Volatility

Example:

0.2

​
bump
number
default:0.01

Bump size for finite difference calculation

Example:

0.01

Response

Cross-gamma calculation

​
success
boolean
Example:

true

​
data
object