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POST
/
quantlib
/
volatility
/
sabr
/
implied-vol
SABR Implied Volatility
curl --request POST \
  --url https://api.fincept.in/quantlib/volatility/sabr/implied-vol \
  --header 'Content-Type: application/json' \
  --header 'X-API-Key: <api-key>' \
  --data '
{
  "forward": 100,
  "strike": 102,
  "expiry": 1,
  "alpha": 0.25,
  "beta": 0.5,
  "rho": -0.2,
  "nu": 0.3
}
'
{
  "success": true,
  "data": {
    "implied_vol": 0.2423,
    "forward": 100,
    "strike": 102,
    "expiry": 1
  }
}

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

​
strike
number
required

Option strike price

Required range: x >= 0
Example:

102

​
expiry
number
required

Time to expiry in years

Required range: x >= 0
Example:

1

​
alpha
number
required

SABR alpha parameter (overall volatility level)

Required range: x >= 0
Example:

0.25

​
beta
number
required

SABR beta parameter (0=normal, 1=lognormal, 0.5=CIR). Controls backbone shape

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

0.5

​
rho
number
required

SABR rho parameter (correlation between forward and volatility). Controls skew

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

-0.2

​
nu
number
required

SABR nu parameter (volatility of volatility). Controls smile curvature

Required range: x >= 0
Example:

0.3

Response

Successful Response

​
success
boolean
Example:

true

​
data
object