curl --request POST \
--url https://api.fincept.in/quantlib/solver/finance/forward-futures-conversion \
--header 'Content-Type: application/json' \
--header 'X-API-Key: <api-key>' \
--data '
{
"rate": 0.03,
"volatility": 0.01,
"t1": 1,
"t2": 1.25,
"direction": "forward_to_futures",
"model": "simple",
"mean_reversion": 0.03
}
'import requests
url = "https://api.fincept.in/quantlib/solver/finance/forward-futures-conversion"
payload = {
"rate": 0.03,
"volatility": 0.01,
"t1": 1,
"t2": 1.25,
"direction": "forward_to_futures",
"model": "simple",
"mean_reversion": 0.03
}
headers = {
"X-API-Key": "<api-key>",
"Content-Type": "application/json"
}
response = requests.post(url, json=payload, headers=headers)
print(response.text)const options = {
method: 'POST',
headers: {'X-API-Key': '<api-key>', 'Content-Type': 'application/json'},
body: JSON.stringify({
rate: 0.03,
volatility: 0.01,
t1: 1,
t2: 1.25,
direction: 'forward_to_futures',
model: 'simple',
mean_reversion: 0.03
})
};
fetch('https://api.fincept.in/quantlib/solver/finance/forward-futures-conversion', options)
.then(res => res.json())
.then(res => console.log(res))
.catch(err => console.error(err));<?php
$curl = curl_init();
curl_setopt_array($curl, [
CURLOPT_URL => "https://api.fincept.in/quantlib/solver/finance/forward-futures-conversion",
CURLOPT_RETURNTRANSFER => true,
CURLOPT_ENCODING => "",
CURLOPT_MAXREDIRS => 10,
CURLOPT_TIMEOUT => 30,
CURLOPT_HTTP_VERSION => CURL_HTTP_VERSION_1_1,
CURLOPT_CUSTOMREQUEST => "POST",
CURLOPT_POSTFIELDS => json_encode([
'rate' => 0.03,
'volatility' => 0.01,
't1' => 1,
't2' => 1.25,
'direction' => 'forward_to_futures',
'model' => 'simple',
'mean_reversion' => 0.03
]),
CURLOPT_HTTPHEADER => [
"Content-Type: application/json",
"X-API-Key: <api-key>"
],
]);
$response = curl_exec($curl);
$err = curl_error($curl);
curl_close($curl);
if ($err) {
echo "cURL Error #:" . $err;
} else {
echo $response;
}package main
import (
"fmt"
"strings"
"net/http"
"io"
)
func main() {
url := "https://api.fincept.in/quantlib/solver/finance/forward-futures-conversion"
payload := strings.NewReader("{\n \"rate\": 0.03,\n \"volatility\": 0.01,\n \"t1\": 1,\n \"t2\": 1.25,\n \"direction\": \"forward_to_futures\",\n \"model\": \"simple\",\n \"mean_reversion\": 0.03\n}")
req, _ := http.NewRequest("POST", url, payload)
req.Header.Add("X-API-Key", "<api-key>")
req.Header.Add("Content-Type", "application/json")
res, _ := http.DefaultClient.Do(req)
defer res.Body.Close()
body, _ := io.ReadAll(res.Body)
fmt.Println(string(body))
}HttpResponse<String> response = Unirest.post("https://api.fincept.in/quantlib/solver/finance/forward-futures-conversion")
.header("X-API-Key", "<api-key>")
.header("Content-Type", "application/json")
.body("{\n \"rate\": 0.03,\n \"volatility\": 0.01,\n \"t1\": 1,\n \"t2\": 1.25,\n \"direction\": \"forward_to_futures\",\n \"model\": \"simple\",\n \"mean_reversion\": 0.03\n}")
.asString();require 'uri'
require 'net/http'
url = URI("https://api.fincept.in/quantlib/solver/finance/forward-futures-conversion")
http = Net::HTTP.new(url.host, url.port)
http.use_ssl = true
request = Net::HTTP::Post.new(url)
request["X-API-Key"] = '<api-key>'
request["Content-Type"] = 'application/json'
request.body = "{\n \"rate\": 0.03,\n \"volatility\": 0.01,\n \"t1\": 1,\n \"t2\": 1.25,\n \"direction\": \"forward_to_futures\",\n \"model\": \"simple\",\n \"mean_reversion\": 0.03\n}"
response = http.request(request)
puts response.read_body{
"success": true,
"data": {
"futures_rate": 0.030012,
"forward_rate": 0.03
}
}{
"detail": "Invalid API key"
}{
"detail": "Endpoint requires Basic tier or higher"
}{
"detail": [
{}
]
}Convert Between Forward and Futures Rates
Convert between forward rates and futures rates accounting for the convexity adjustment due to daily marking-to-market of futures. Futures contracts are marked to market daily, creating a funding advantage/disadvantage compared to forwards depending on interest rate movements. This leads to a systematic difference between futures and forward rates. Supports both simple and Hull-White models for the adjustment. Essential for pricing Eurodollar futures, Treasury futures, and understanding forward-futures arbitrage. [Tier: STANDARD, Credits: 2]
curl --request POST \
--url https://api.fincept.in/quantlib/solver/finance/forward-futures-conversion \
--header 'Content-Type: application/json' \
--header 'X-API-Key: <api-key>' \
--data '
{
"rate": 0.03,
"volatility": 0.01,
"t1": 1,
"t2": 1.25,
"direction": "forward_to_futures",
"model": "simple",
"mean_reversion": 0.03
}
'import requests
url = "https://api.fincept.in/quantlib/solver/finance/forward-futures-conversion"
payload = {
"rate": 0.03,
"volatility": 0.01,
"t1": 1,
"t2": 1.25,
"direction": "forward_to_futures",
"model": "simple",
"mean_reversion": 0.03
}
headers = {
"X-API-Key": "<api-key>",
"Content-Type": "application/json"
}
response = requests.post(url, json=payload, headers=headers)
print(response.text)const options = {
method: 'POST',
headers: {'X-API-Key': '<api-key>', 'Content-Type': 'application/json'},
body: JSON.stringify({
rate: 0.03,
volatility: 0.01,
t1: 1,
t2: 1.25,
direction: 'forward_to_futures',
model: 'simple',
mean_reversion: 0.03
})
};
fetch('https://api.fincept.in/quantlib/solver/finance/forward-futures-conversion', options)
.then(res => res.json())
.then(res => console.log(res))
.catch(err => console.error(err));<?php
$curl = curl_init();
curl_setopt_array($curl, [
CURLOPT_URL => "https://api.fincept.in/quantlib/solver/finance/forward-futures-conversion",
CURLOPT_RETURNTRANSFER => true,
CURLOPT_ENCODING => "",
CURLOPT_MAXREDIRS => 10,
CURLOPT_TIMEOUT => 30,
CURLOPT_HTTP_VERSION => CURL_HTTP_VERSION_1_1,
CURLOPT_CUSTOMREQUEST => "POST",
CURLOPT_POSTFIELDS => json_encode([
'rate' => 0.03,
'volatility' => 0.01,
't1' => 1,
't2' => 1.25,
'direction' => 'forward_to_futures',
'model' => 'simple',
'mean_reversion' => 0.03
]),
CURLOPT_HTTPHEADER => [
"Content-Type: application/json",
"X-API-Key: <api-key>"
],
]);
$response = curl_exec($curl);
$err = curl_error($curl);
curl_close($curl);
if ($err) {
echo "cURL Error #:" . $err;
} else {
echo $response;
}package main
import (
"fmt"
"strings"
"net/http"
"io"
)
func main() {
url := "https://api.fincept.in/quantlib/solver/finance/forward-futures-conversion"
payload := strings.NewReader("{\n \"rate\": 0.03,\n \"volatility\": 0.01,\n \"t1\": 1,\n \"t2\": 1.25,\n \"direction\": \"forward_to_futures\",\n \"model\": \"simple\",\n \"mean_reversion\": 0.03\n}")
req, _ := http.NewRequest("POST", url, payload)
req.Header.Add("X-API-Key", "<api-key>")
req.Header.Add("Content-Type", "application/json")
res, _ := http.DefaultClient.Do(req)
defer res.Body.Close()
body, _ := io.ReadAll(res.Body)
fmt.Println(string(body))
}HttpResponse<String> response = Unirest.post("https://api.fincept.in/quantlib/solver/finance/forward-futures-conversion")
.header("X-API-Key", "<api-key>")
.header("Content-Type", "application/json")
.body("{\n \"rate\": 0.03,\n \"volatility\": 0.01,\n \"t1\": 1,\n \"t2\": 1.25,\n \"direction\": \"forward_to_futures\",\n \"model\": \"simple\",\n \"mean_reversion\": 0.03\n}")
.asString();require 'uri'
require 'net/http'
url = URI("https://api.fincept.in/quantlib/solver/finance/forward-futures-conversion")
http = Net::HTTP.new(url.host, url.port)
http.use_ssl = true
request = Net::HTTP::Post.new(url)
request["X-API-Key"] = '<api-key>'
request["Content-Type"] = 'application/json'
request.body = "{\n \"rate\": 0.03,\n \"volatility\": 0.01,\n \"t1\": 1,\n \"t2\": 1.25,\n \"direction\": \"forward_to_futures\",\n \"model\": \"simple\",\n \"mean_reversion\": 0.03\n}"
response = http.request(request)
puts response.read_body{
"success": true,
"data": {
"futures_rate": 0.030012,
"forward_rate": 0.03
}
}{
"detail": "Invalid API key"
}{
"detail": "Endpoint requires Basic tier or higher"
}{
"detail": [
{}
]
}Authorizations
API key for authentication. Get your key at https://api.fincept.in/auth/register
Body
Input rate (forward or futures rate) as a decimal
0.03
Interest rate volatility as a decimal
0.01
Time to futures expiry in years
1
Time to underlying forward end in years
1.25
Conversion direction
forward_to_futures, futures_to_forward "forward_to_futures"
Model for convexity adjustment
simple, hull_white "simple"
Mean reversion parameter (used in Hull-White model)
0.03
