Skip to main content
POST
/
quantlib
/
volatility
/
sabr
/
normal-vol
SABR Normal Volatility
curl --request POST \
  --url https://finceptbackend.share.zrok.io/quantlib/volatility/sabr/normal-vol \
  --header 'Content-Type: application/json' \
  --header 'X-API-Key: <api-key>' \
  --data '
{
  "forward": 0.02,
  "strike": 0.015,
  "expiry": 2,
  "alpha": 0.02,
  "beta": 0,
  "rho": -0.3,
  "nu": 0.4
}
'
{
  "success": true,
  "data": {
    "normal_vol": 0.0195,
    "forward": 0.02,
    "strike": 0.015,
    "expiry": 2
  }
}

Authorizations

​
X-API-Key
string
header
required

API key for authentication. Get your key at https://finceptbackend.share.zrok.io/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