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POST
Calibrate Vasicek Short Rate Model

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:
times
number[]
required

Array of times corresponding to each zero rate

Example:
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