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POST
Calibrate SABR 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
forward
number
required

Forward price of the underlying

Required range: x >= 0
Example:

100

expiry
number
required

Time to expiry in years

Required range: x >= 0
Example:

1

strikes
number[]
required

Array of market strike prices

Minimum array length: 3
Example:
market_vols
number[]
required

Array of market implied volatilities for each strike

Minimum array length: 3
Example:
beta
number

Fixed beta value (if provided, beta is not calibrated). Common: 0 (normal), 0.5 (CIR), 1 (lognormal)

Required range: 0 <= x <= 1
Example:

0.5

weights
number[]

Optional weights for each strike in calibration (e.g., vega-weighted)

Example:
method
enum<string>
default:least_squares

Optimization method: 'least_squares' (default), 'nelder_mead', 'powell'

Available options:
least_squares,
nelder_mead,
powell
Example:

"least_squares"

Response

Successful Response

success
boolean
Example:

true

data
object