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POST
/
quantlib
/
solver
/
finance
/
convexity-adjustment
Calculate Convexity Adjustment
curl --request POST \
  --url https://api.fincept.in/quantlib/solver/finance/convexity-adjustment \
  --header 'Content-Type: application/json' \
  --header 'X-API-Key: <api-key>' \
  --data '
{
  "forward_rate": 0.03,
  "volatility": 0.01,
  "t1": 1,
  "t2": 1.25,
  "model": "simple",
  "mean_reversion": 0.03
}
'
{
  "success": true,
  "data": {
    "adjustment": 0.0000125,
    "model": "simple"
  }
}

Authorizations

​
X-API-Key
string
header
required

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

Body

application/json
​
forward_rate
number
required

The forward rate as a decimal

Example:

0.03

​
volatility
number
required

Interest rate volatility as a decimal

Example:

0.01

​
t1
number
required

Time to futures expiry in years

Example:

1

​
t2
number
required

Time to underlying forward end in years

Example:

1.25

​
model
enum<string>
default:simple

Convexity adjustment model to use

Available options:
simple,
hull_white
Example:

"simple"

​
mean_reversion
number
default:0.03

Mean reversion parameter (used in Hull-White model)

Example:

0.03

Response

Successful Response

​
success
boolean
Example:

true

​
data
object