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POST
SABR Normal 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: -10 <= x <= 10
Example:

0.02

strike
number
required

Option strike price (can be negative for rates)

Required range: -10 <= x <= 10
Example:

0.015

expiry
number
required

Time to expiry in years

Required range: x >= 0
Example:

2

alpha
number
required

SABR alpha parameter

Required range: x >= 0
Example:

0.02

beta
number
required

SABR beta parameter (often 0 for normal model)

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

0

rho
number
required

SABR rho parameter (correlation)

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

-0.3

nu
number
required

SABR nu parameter (vol of vol)

Required range: x >= 0
Example:

0.4

Response

Successful Response

success
boolean
Example:

true

data
object