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POST
/
quantlib
/
volatility
/
sabr
/
smile
SABR Volatility Smile
curl --request POST \
  --url https://finceptbackend.share.zrok.io/quantlib/volatility/sabr/smile \
  --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,
  "strikes": [
    90,
    95,
    100,
    105,
    110
  ]
}
'
{
  "success": true,
  "data": {
    "forward": 100,
    "expiry": 1,
    "atm_vol": 0.25,
    "skew": -0.0015,
    "curvature": 0.00008,
    "smile": [
      {
        "strike": 90,
        "implied_vol": 0.268
      },
      {
        "strike": 95,
        "implied_vol": 0.257
      },
      {
        "strike": 100,
        "implied_vol": 0.25
      },
      {
        "strike": 105,
        "implied_vol": 0.248
      },
      {
        "strike": 110,
        "implied_vol": 0.251
      }
    ]
  }
}

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: x >= 0
Example:

100

​
expiry
number
required

Time to expiry in years

Required range: x >= 0
Example:

1

​
alpha
number
required

SABR alpha parameter (ATM volatility level)

Required range: x >= 0
Example:

0.25

​
beta
number
required

SABR beta parameter (backbone exponent)

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

0.5

​
rho
number
required

SABR rho parameter (skew control)

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

-0.2

​
nu
number
required

SABR nu parameter (smile curvature)

Required range: x >= 0
Example:

0.3

​
strikes
number[]
required

Array of strike prices for smile evaluation

Minimum array length: 2
Example:
[90, 95, 100, 105, 110]

Response

Successful Response

​
success
boolean
Example:

true

​
data
object