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POST
Convert Between Forward and Futures Rates

Authorizations

X-API-Key
string
header
required

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

Body

application/json
rate
number
required

Input rate (forward or futures 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

direction
enum<string>
default:forward_to_futures

Conversion direction

Available options:
forward_to_futures,
futures_to_forward
Example:

"forward_to_futures"

model
enum<string>
default:simple

Model for convexity adjustment

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