SABR Smile Dynamics
curl --request POST \
--url https://api.fincept.in/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
}
'import requests
url = "https://api.fincept.in/quantlib/volatility/sabr/dynamics"
payload = {
"forward": 100,
"expiry": 1,
"alpha": 0.25,
"beta": 0.5,
"rho": -0.2,
"nu": 0.3,
"strike": 100,
"forward_shift": 1
}
headers = {
"X-API-Key": "<api-key>",
"Content-Type": "application/json"
}
response = requests.post(url, json=payload, headers=headers)
print(response.text)const options = {
method: 'POST',
headers: {'X-API-Key': '<api-key>', 'Content-Type': 'application/json'},
body: JSON.stringify({
forward: 100,
expiry: 1,
alpha: 0.25,
beta: 0.5,
rho: -0.2,
nu: 0.3,
strike: 100,
forward_shift: 1
})
};
fetch('https://api.fincept.in/quantlib/volatility/sabr/dynamics', options)
.then(res => res.json())
.then(res => console.log(res))
.catch(err => console.error(err));<?php
$curl = curl_init();
curl_setopt_array($curl, [
CURLOPT_URL => "https://api.fincept.in/quantlib/volatility/sabr/dynamics",
CURLOPT_RETURNTRANSFER => true,
CURLOPT_ENCODING => "",
CURLOPT_MAXREDIRS => 10,
CURLOPT_TIMEOUT => 30,
CURLOPT_HTTP_VERSION => CURL_HTTP_VERSION_1_1,
CURLOPT_CUSTOMREQUEST => "POST",
CURLOPT_POSTFIELDS => json_encode([
'forward' => 100,
'expiry' => 1,
'alpha' => 0.25,
'beta' => 0.5,
'rho' => -0.2,
'nu' => 0.3,
'strike' => 100,
'forward_shift' => 1
]),
CURLOPT_HTTPHEADER => [
"Content-Type: application/json",
"X-API-Key: <api-key>"
],
]);
$response = curl_exec($curl);
$err = curl_error($curl);
curl_close($curl);
if ($err) {
echo "cURL Error #:" . $err;
} else {
echo $response;
}package main
import (
"fmt"
"strings"
"net/http"
"io"
)
func main() {
url := "https://api.fincept.in/quantlib/volatility/sabr/dynamics"
payload := strings.NewReader("{\n \"forward\": 100,\n \"expiry\": 1,\n \"alpha\": 0.25,\n \"beta\": 0.5,\n \"rho\": -0.2,\n \"nu\": 0.3,\n \"strike\": 100,\n \"forward_shift\": 1\n}")
req, _ := http.NewRequest("POST", url, payload)
req.Header.Add("X-API-Key", "<api-key>")
req.Header.Add("Content-Type", "application/json")
res, _ := http.DefaultClient.Do(req)
defer res.Body.Close()
body, _ := io.ReadAll(res.Body)
fmt.Println(string(body))
}HttpResponse<String> response = Unirest.post("https://api.fincept.in/quantlib/volatility/sabr/dynamics")
.header("X-API-Key", "<api-key>")
.header("Content-Type", "application/json")
.body("{\n \"forward\": 100,\n \"expiry\": 1,\n \"alpha\": 0.25,\n \"beta\": 0.5,\n \"rho\": -0.2,\n \"nu\": 0.3,\n \"strike\": 100,\n \"forward_shift\": 1\n}")
.asString();require 'uri'
require 'net/http'
url = URI("https://api.fincept.in/quantlib/volatility/sabr/dynamics")
http = Net::HTTP.new(url.host, url.port)
http.use_ssl = true
request = Net::HTTP::Post.new(url)
request["X-API-Key"] = '<api-key>'
request["Content-Type"] = 'application/json'
request.body = "{\n \"forward\": 100,\n \"expiry\": 1,\n \"alpha\": 0.25,\n \"beta\": 0.5,\n \"rho\": -0.2,\n \"nu\": 0.3,\n \"strike\": 100,\n \"forward_shift\": 1\n}"
response = http.request(request)
puts response.read_body{
"success": true,
"data": {
"sticky_strike_vol": 0.25,
"sticky_delta_vol": 0.2485,
"forward_shift": 1
}
}{
"detail": "Invalid API key"
}{
"detail": "Endpoint requires Standard tier or higher"
}{
"detail": [
{
"loc": [
"body",
"volatility"
],
"msg": "field required",
"type": "value_error.missing"
}
]
}quantlib-volatility
SABR Smile Dynamics
Analyze SABR smile dynamics under forward price movements. Calculates sticky-strike volatility (vol remains constant at each strike) and sticky-delta volatility (vol moves with the option’s delta) for a shifted forward. Essential for hedging volatility exposure and understanding how the smile evolves with underlying price changes. [Tier: PRO, Credits: 5]
POST
/
quantlib
/
volatility
/
sabr
/
dynamics
SABR Smile Dynamics
curl --request POST \
--url https://api.fincept.in/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
}
'import requests
url = "https://api.fincept.in/quantlib/volatility/sabr/dynamics"
payload = {
"forward": 100,
"expiry": 1,
"alpha": 0.25,
"beta": 0.5,
"rho": -0.2,
"nu": 0.3,
"strike": 100,
"forward_shift": 1
}
headers = {
"X-API-Key": "<api-key>",
"Content-Type": "application/json"
}
response = requests.post(url, json=payload, headers=headers)
print(response.text)const options = {
method: 'POST',
headers: {'X-API-Key': '<api-key>', 'Content-Type': 'application/json'},
body: JSON.stringify({
forward: 100,
expiry: 1,
alpha: 0.25,
beta: 0.5,
rho: -0.2,
nu: 0.3,
strike: 100,
forward_shift: 1
})
};
fetch('https://api.fincept.in/quantlib/volatility/sabr/dynamics', options)
.then(res => res.json())
.then(res => console.log(res))
.catch(err => console.error(err));<?php
$curl = curl_init();
curl_setopt_array($curl, [
CURLOPT_URL => "https://api.fincept.in/quantlib/volatility/sabr/dynamics",
CURLOPT_RETURNTRANSFER => true,
CURLOPT_ENCODING => "",
CURLOPT_MAXREDIRS => 10,
CURLOPT_TIMEOUT => 30,
CURLOPT_HTTP_VERSION => CURL_HTTP_VERSION_1_1,
CURLOPT_CUSTOMREQUEST => "POST",
CURLOPT_POSTFIELDS => json_encode([
'forward' => 100,
'expiry' => 1,
'alpha' => 0.25,
'beta' => 0.5,
'rho' => -0.2,
'nu' => 0.3,
'strike' => 100,
'forward_shift' => 1
]),
CURLOPT_HTTPHEADER => [
"Content-Type: application/json",
"X-API-Key: <api-key>"
],
]);
$response = curl_exec($curl);
$err = curl_error($curl);
curl_close($curl);
if ($err) {
echo "cURL Error #:" . $err;
} else {
echo $response;
}package main
import (
"fmt"
"strings"
"net/http"
"io"
)
func main() {
url := "https://api.fincept.in/quantlib/volatility/sabr/dynamics"
payload := strings.NewReader("{\n \"forward\": 100,\n \"expiry\": 1,\n \"alpha\": 0.25,\n \"beta\": 0.5,\n \"rho\": -0.2,\n \"nu\": 0.3,\n \"strike\": 100,\n \"forward_shift\": 1\n}")
req, _ := http.NewRequest("POST", url, payload)
req.Header.Add("X-API-Key", "<api-key>")
req.Header.Add("Content-Type", "application/json")
res, _ := http.DefaultClient.Do(req)
defer res.Body.Close()
body, _ := io.ReadAll(res.Body)
fmt.Println(string(body))
}HttpResponse<String> response = Unirest.post("https://api.fincept.in/quantlib/volatility/sabr/dynamics")
.header("X-API-Key", "<api-key>")
.header("Content-Type", "application/json")
.body("{\n \"forward\": 100,\n \"expiry\": 1,\n \"alpha\": 0.25,\n \"beta\": 0.5,\n \"rho\": -0.2,\n \"nu\": 0.3,\n \"strike\": 100,\n \"forward_shift\": 1\n}")
.asString();require 'uri'
require 'net/http'
url = URI("https://api.fincept.in/quantlib/volatility/sabr/dynamics")
http = Net::HTTP.new(url.host, url.port)
http.use_ssl = true
request = Net::HTTP::Post.new(url)
request["X-API-Key"] = '<api-key>'
request["Content-Type"] = 'application/json'
request.body = "{\n \"forward\": 100,\n \"expiry\": 1,\n \"alpha\": 0.25,\n \"beta\": 0.5,\n \"rho\": -0.2,\n \"nu\": 0.3,\n \"strike\": 100,\n \"forward_shift\": 1\n}"
response = http.request(request)
puts response.read_body{
"success": true,
"data": {
"sticky_strike_vol": 0.25,
"sticky_delta_vol": 0.2485,
"forward_shift": 1
}
}{
"detail": "Invalid API key"
}{
"detail": "Endpoint requires Standard tier or higher"
}{
"detail": [
{
"loc": [
"body",
"volatility"
],
"msg": "field required",
"type": "value_error.missing"
}
]
}Authorizations
API key for authentication. Get your key at https://api.fincept.in/auth/register
Body
application/json
Current 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
Strike price for volatility evaluation
Required range:
x >= 0Example:
100
Change in forward price (e.g., 0.01 for +1 unit, -0.01 for -1 unit)
Example:
1
⌘I
