SABR Volatility Smile
curl --request POST \
--url https://api.fincept.in/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
]
}
'import requests
url = "https://api.fincept.in/quantlib/volatility/sabr/smile"
payload = {
"forward": 100,
"expiry": 1,
"alpha": 0.25,
"beta": 0.5,
"rho": -0.2,
"nu": 0.3,
"strikes": [90, 95, 100, 105, 110]
}
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,
strikes: [90, 95, 100, 105, 110]
})
};
fetch('https://api.fincept.in/quantlib/volatility/sabr/smile', 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/smile",
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,
'strikes' => [
90,
95,
100,
105,
110
]
]),
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/smile"
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 \"strikes\": [\n 90,\n 95,\n 100,\n 105,\n 110\n ]\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/smile")
.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 \"strikes\": [\n 90,\n 95,\n 100,\n 105,\n 110\n ]\n}")
.asString();require 'uri'
require 'net/http'
url = URI("https://api.fincept.in/quantlib/volatility/sabr/smile")
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 \"strikes\": [\n 90,\n 95,\n 100,\n 105,\n 110\n ]\n}"
response = http.request(request)
puts response.read_body{
"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
}
]
}
}{
"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 Volatility Smile
Generate a complete SABR volatility smile across multiple strikes for a given expiry. Returns the volatility smile curve along with key smile characteristics: ATM volatility, skew (first derivative), and curvature (second derivative). Essential for understanding market expectations and pricing options across the strike spectrum. [Tier: PRO, Credits: 5]
POST
/
quantlib
/
volatility
/
sabr
/
smile
SABR Volatility Smile
curl --request POST \
--url https://api.fincept.in/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
]
}
'import requests
url = "https://api.fincept.in/quantlib/volatility/sabr/smile"
payload = {
"forward": 100,
"expiry": 1,
"alpha": 0.25,
"beta": 0.5,
"rho": -0.2,
"nu": 0.3,
"strikes": [90, 95, 100, 105, 110]
}
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,
strikes: [90, 95, 100, 105, 110]
})
};
fetch('https://api.fincept.in/quantlib/volatility/sabr/smile', 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/smile",
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,
'strikes' => [
90,
95,
100,
105,
110
]
]),
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/smile"
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 \"strikes\": [\n 90,\n 95,\n 100,\n 105,\n 110\n ]\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/smile")
.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 \"strikes\": [\n 90,\n 95,\n 100,\n 105,\n 110\n ]\n}")
.asString();require 'uri'
require 'net/http'
url = URI("https://api.fincept.in/quantlib/volatility/sabr/smile")
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 \"strikes\": [\n 90,\n 95,\n 100,\n 105,\n 110\n ]\n}"
response = http.request(request)
puts response.read_body{
"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
}
]
}
}{
"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
Forward price of the underlying
Required range:
x >= 0Example:
100
Time to expiry in years
Required range:
x >= 0Example:
1
SABR alpha parameter (ATM volatility level)
Required range:
x >= 0Example:
0.25
SABR beta parameter (backbone exponent)
Required range:
0 <= x <= 1Example:
0.5
SABR rho parameter (skew control)
Required range:
-1 <= x <= 1Example:
-0.2
SABR nu parameter (smile curvature)
Required range:
x >= 0Example:
0.3
Array of strike prices for smile evaluation
Minimum array length:
2Example:
[90, 95, 100, 105, 110]
⌘I
