Skip to main content
POST
Implied to Local Volatility Conversion

Authorizations

X-API-Key
string
header
required

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

Body

application/json
spot
number
required

Current spot price of the underlying

Required range: x >= 0
Example:

100

rate
number
required

Risk-free interest rate (continuously compounded)

Required range: -0.1 <= x <= 1
Example:

0.05

strike
number
required

Strike price for local vol calculation

Required range: x >= 0
Example:

105

expiry
number
required

Time to expiry in years

Required range: x >= 0
Example:

1

implied_vol
number
required

Implied volatility at (strike, expiry). For full surface conversion, use a volatility surface function

Required range: 0 <= x <= 5
Example:

0.25

dk
number
default:0.01

Strike increment for finite difference (as fraction of strike)

Required range: 0.0001 <= x <= 0.1
Example:

0.01

dt
number
default:0.01

Time increment for finite difference (in years)

Required range: 0.0001 <= x <= 0.1
Example:

0.01

Response

Successful Response

success
boolean
Example:

true

data
object