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POST
/
quantlib
/
solver
/
calibration
/
vasicek
Calibrate Vasicek Short Rate Model
curl --request POST \
  --url https://api.fincept.in/quantlib/solver/calibration/vasicek \
  --header 'Content-Type: application/json' \
  --header 'X-API-Key: <api-key>' \
  --data '
{
  "zero_rates": [
    0.02,
    0.025,
    0.03,
    0.035,
    0.04,
    0.042
  ],
  "times": [
    0.5,
    1,
    2,
    3,
    5,
    7
  ],
  "initial_a": 0.1,
  "initial_b": 0.05,
  "initial_sigma": 0.01
}
'
{
  "success": true,
  "data": {
    "a": 0.095,
    "b": 0.048,
    "sigma": 0.012,
    "error": 0.00023
  }
}

Authorizations

​
X-API-Key
string
header
required

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

Body

application/json
​
zero_rates
number[]
required

Array of zero rates observed in the market

Example:
[0.02, 0.025, 0.03, 0.035, 0.04, 0.042]
​
times
number[]
required

Array of times corresponding to each zero rate

Example:
[0.5, 1, 2, 3, 5, 7]
​
initial_a
number
default:0.1

Initial guess for mean reversion speed parameter

Example:

0.1

​
initial_b
number
default:0.05

Initial guess for long-term mean rate parameter

Example:

0.05

​
initial_sigma
number
default:0.01

Initial guess for volatility parameter

Example:

0.01

Response

Successful Response

​
success
boolean
Example:

true

​
data
object