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POST
Calculate Convexity Adjustment

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