Calculate Implied Repo Rate

curl --request POST \
  --url https://api.fincept.in/quantlib/solver/finance/implied-repo-rate \
  --header 'Content-Type: application/json' \
  --header 'X-API-Key: <api-key>' \
  --data '
{
  "spot": 100,
  "futures": 102,
  "time_to_expiry": 0.25,
  "income": 0.5,
  "storage_cost": 0.1
}
'

{
  "success": true,
  "data": {
    "implied_repo_rate": 0.064
  }
}

quantlib-solver

Calculate Implied Repo Rate

Calculate the implied repo rate from spot and futures prices. The implied repo rate is the break-even financing rate that makes cash-and-carry arbitrage unprofitable. It accounts for the cost of borrowing cash to buy the underlying, income received (dividends/coupons), and storage costs. Used extensively in bond futures trading to identify cheapest-to-deliver bonds and arbitrage opportunities. The difference between implied repo and actual repo rates signals trading opportunities. [Tier: STANDARD, Credits: 2]

POST

quantlib

solver

finance

implied-repo-rate

Calculate Implied Repo Rate

curl --request POST \
  --url https://api.fincept.in/quantlib/solver/finance/implied-repo-rate \
  --header 'Content-Type: application/json' \
  --header 'X-API-Key: <api-key>' \
  --data '
{
  "spot": 100,
  "futures": 102,
  "time_to_expiry": 0.25,
  "income": 0.5,
  "storage_cost": 0.1
}
'

{
  "success": true,
  "data": {
    "implied_repo_rate": 0.064
  }
}

Authorizations

X-API-Key

string

header

required

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

Body

application/json

spot

number

required

Current spot price

Example:

100

futures

number

required

Futures price

Example:

102

time_to_expiry

number

required

Time to futures expiry in years

Example:

0.25

income

number

default:0

Present value of income (dividends, coupons) received during holding period

Example:

0.5

storage_cost

number

default:0

Present value of storage/carrying costs during holding period

Example:

0.1

Response

Successful Response

success

boolean

Example:

true

data

object

Show child attributes

Calculate Cost of Carry

Convert Between Forward and Futures Rates