curl --request POST \
--url https://api.fincept.in/quantlib/volatility/local-vol/implied-to-local \
--header 'Content-Type: application/json' \
--header 'X-API-Key: <api-key>' \
--data '
{
"spot": 100,
"rate": 0.05,
"strike": 105,
"expiry": 1,
"implied_vol": 0.25,
"dk": 0.01,
"dt": 0.01
}
'import requests
url = "https://api.fincept.in/quantlib/volatility/local-vol/implied-to-local"
payload = {
"spot": 100,
"rate": 0.05,
"strike": 105,
"expiry": 1,
"implied_vol": 0.25,
"dk": 0.01,
"dt": 0.01
}
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({
spot: 100,
rate: 0.05,
strike: 105,
expiry: 1,
implied_vol: 0.25,
dk: 0.01,
dt: 0.01
})
};
fetch('https://api.fincept.in/quantlib/volatility/local-vol/implied-to-local', 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/volatility/local-vol/implied-to-local",
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([
'spot' => 100,
'rate' => 0.05,
'strike' => 105,
'expiry' => 1,
'implied_vol' => 0.25,
'dk' => 0.01,
'dt' => 0.01
]),
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/volatility/local-vol/implied-to-local"
payload := strings.NewReader("{\n \"spot\": 100,\n \"rate\": 0.05,\n \"strike\": 105,\n \"expiry\": 1,\n \"implied_vol\": 0.25,\n \"dk\": 0.01,\n \"dt\": 0.01\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/volatility/local-vol/implied-to-local")
.header("X-API-Key", "<api-key>")
.header("Content-Type", "application/json")
.body("{\n \"spot\": 100,\n \"rate\": 0.05,\n \"strike\": 105,\n \"expiry\": 1,\n \"implied_vol\": 0.25,\n \"dk\": 0.01,\n \"dt\": 0.01\n}")
.asString();require 'uri'
require 'net/http'
url = URI("https://api.fincept.in/quantlib/volatility/local-vol/implied-to-local")
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 \"spot\": 100,\n \"rate\": 0.05,\n \"strike\": 105,\n \"expiry\": 1,\n \"implied_vol\": 0.25,\n \"dk\": 0.01,\n \"dt\": 0.01\n}"
response = http.request(request)
puts response.read_body{
"success": true,
"data": {
"local_vol": 0.2465,
"implied_vol": 0.25,
"spot": 100,
"strike": 105,
"expiry": 1
}
}{
"detail": "Invalid API key"
}{
"detail": "Endpoint requires Standard tier or higher"
}{
"detail": [
{
"loc": [
"body",
"volatility"
],
"msg": "field required",
"type": "value_error.missing"
}
]
}Implied to Local Volatility Conversion
Convert implied volatility to local volatility using the Dupire formula. Calculates the instantaneous local volatility at a specific (strike, expiry) point from an implied volatility surface. Uses finite differences to approximate derivatives. Essential for building local volatility surfaces for exotic option pricing and Monte Carlo simulations. [Tier: PRO, Credits: 5]
curl --request POST \
--url https://api.fincept.in/quantlib/volatility/local-vol/implied-to-local \
--header 'Content-Type: application/json' \
--header 'X-API-Key: <api-key>' \
--data '
{
"spot": 100,
"rate": 0.05,
"strike": 105,
"expiry": 1,
"implied_vol": 0.25,
"dk": 0.01,
"dt": 0.01
}
'import requests
url = "https://api.fincept.in/quantlib/volatility/local-vol/implied-to-local"
payload = {
"spot": 100,
"rate": 0.05,
"strike": 105,
"expiry": 1,
"implied_vol": 0.25,
"dk": 0.01,
"dt": 0.01
}
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({
spot: 100,
rate: 0.05,
strike: 105,
expiry: 1,
implied_vol: 0.25,
dk: 0.01,
dt: 0.01
})
};
fetch('https://api.fincept.in/quantlib/volatility/local-vol/implied-to-local', 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/volatility/local-vol/implied-to-local",
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([
'spot' => 100,
'rate' => 0.05,
'strike' => 105,
'expiry' => 1,
'implied_vol' => 0.25,
'dk' => 0.01,
'dt' => 0.01
]),
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/volatility/local-vol/implied-to-local"
payload := strings.NewReader("{\n \"spot\": 100,\n \"rate\": 0.05,\n \"strike\": 105,\n \"expiry\": 1,\n \"implied_vol\": 0.25,\n \"dk\": 0.01,\n \"dt\": 0.01\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/volatility/local-vol/implied-to-local")
.header("X-API-Key", "<api-key>")
.header("Content-Type", "application/json")
.body("{\n \"spot\": 100,\n \"rate\": 0.05,\n \"strike\": 105,\n \"expiry\": 1,\n \"implied_vol\": 0.25,\n \"dk\": 0.01,\n \"dt\": 0.01\n}")
.asString();require 'uri'
require 'net/http'
url = URI("https://api.fincept.in/quantlib/volatility/local-vol/implied-to-local")
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 \"spot\": 100,\n \"rate\": 0.05,\n \"strike\": 105,\n \"expiry\": 1,\n \"implied_vol\": 0.25,\n \"dk\": 0.01,\n \"dt\": 0.01\n}"
response = http.request(request)
puts response.read_body{
"success": true,
"data": {
"local_vol": 0.2465,
"implied_vol": 0.25,
"spot": 100,
"strike": 105,
"expiry": 1
}
}{
"detail": "Invalid API key"
}{
"detail": "Endpoint requires Standard tier or higher"
}{
"detail": [
{
"loc": [
"body",
"volatility"
],
"msg": "field required",
"type": "value_error.missing"
}
]
}Authorizations
API key for authentication. Get your key at https://api.fincept.in/auth/register
Body
Current spot price of the underlying
x >= 0100
Risk-free interest rate (continuously compounded)
-0.1 <= x <= 10.05
Strike price for local vol calculation
x >= 0105
Time to expiry in years
x >= 01
Implied volatility at (strike, expiry). For full surface conversion, use a volatility surface function
0 <= x <= 50.25
Strike increment for finite difference (as fraction of strike)
0.0001 <= x <= 0.10.01
Time increment for finite difference (in years)
0.0001 <= x <= 0.10.01
