SABR Probability Density
quantlib-volatility
SABR Probability Density
Calculate the risk-neutral probability density function implied by SABR parameters across multiple strike levels. Derived from the second derivative of call prices with respect to strike. Used for understanding market-implied distributions, calculating probabilities, and ensuring arbitrage-free surfaces. [Tier: PRO, Credits: 5]
POST
SABR Probability Density
Authorizations
API key for authentication. Get your key at https://api.fincept.in/auth/register
Body
application/json
Forward price of the underlying
Required range:
x >= 0Example:
100
Time to expiry in years
Required range:
x >= 0Example:
1
SABR alpha parameter
Required range:
x >= 0Example:
0.25
SABR beta parameter
Required range:
0 <= x <= 1Example:
0.5
SABR rho parameter
Required range:
-1 <= x <= 1Example:
-0.2
SABR nu parameter
Required range:
x >= 0Example:
0.3
Array of strike prices for density evaluation
Minimum array length:
3Example:
[85, 90, 95, 100, 105, 110, 115]