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POST
/
quantlib
/
volatility
/
sabr
/
dynamics
SABR Smile Dynamics
curl --request POST \
  --url https://finceptbackend.share.zrok.io/quantlib/volatility/sabr/dynamics \
  --header 'Content-Type: application/json' \
  --header 'X-API-Key: <api-key>' \
  --data '
{
  "forward": 100,
  "expiry": 1,
  "alpha": 0.25,
  "beta": 0.5,
  "rho": -0.2,
  "nu": 0.3,
  "strike": 100,
  "forward_shift": 1
}
'
{
  "success": true,
  "data": {
    "sticky_strike_vol": 0.25,
    "sticky_delta_vol": 0.2485,
    "forward_shift": 1
  }
}

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

Current forward price of the underlying

Required range: x >= 0
Example:

100

​
expiry
number
required

Time to expiry in years

Required range: x >= 0
Example:

1

​
alpha
number
required

SABR alpha parameter

Required range: x >= 0
Example:

0.25

​
beta
number
required

SABR beta parameter

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

0.5

​
rho
number
required

SABR rho parameter

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

-0.2

​
nu
number
required

SABR nu parameter

Required range: x >= 0
Example:

0.3

​
strike
number
required

Strike price for volatility evaluation

Required range: x >= 0
Example:

100

​
forward_shift
number
default:0.01

Change in forward price (e.g., 0.01 for +1 unit, -0.01 for -1 unit)

Example:

1

Response

Successful Response

​
success
boolean
Example:

true

​
data
object