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POST
SABR Implied Volatility

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