pricing_* tool, pricing on the market quotes you pass in: business-day calendars, day counts, schedules and rate conventions; bootstrapped, interpolated, fitted (Nelson-Siegel, Svensson, splines) and spreaded yield curves; inflation and default-probability curves; bonds (fixed, floating, amortizing, callable, convertible, inflation-linked) with yield, duration, convexity and z-spread; swaps (vanilla, OIS, basis, cross-currency), FRAs, futures, caps, floors and swaptions; credit default swaps; vanilla and exotic options (barrier, Asian, lookback, basket, digital, compound, cliquet, quanto) under Black-Scholes, Heston, Bates, SABR and other models with Greeks and implied volatility; volatility surfaces, smiles and risk-neutral densities; Heston and short-rate calibration; and distributions, statistics, interpolation, integration, random sequences and Monte Carlo paths. It runs on Fincept’s servers; your agent sends numbers or data references and gets back a result envelope with tables and charts.
Fincept Pricing tools are free. They count toward the rate limit only; a
$fincept reference inside a call is charged like a direct call to that tool.Modules
Tools are grouped in modules. Each module is a toolset namedpricing_<module>, so you can list it or search within it. The Fincept Pricing reference lists every module and tool.
pricing_catalog returns the live list of modules and tools from inside your agent.
Inputs
Rates, spreads and volatilities are decimals (0.0425 = 4.25%), dates are ISO (YYYY-MM-DD) and tenors read like
3M or 10Y. Calendars, day counts, frequencies and other conventions have defaults on every tool (US Treasury conventions for bonds) and can be set for other markets.
Limits
A computation that runs past its time limit answers
timeout; a busy engine answers busy and the call can be retried a few seconds later.
Outputs
Option tools return the price, every Greek the engine provides and, from a market price, the implied volatility. Bond, swap and credit tools return prices, yields, spreads, durations, convexity, BPS or DV01, leg values and the cash-flow table. Curve tools return each instrument’s repriced quote, zero, discount and forward rates on a grid as series with a chart, anddata.curve to pass to any other pricing tool; volatility tools return surfaces and smiles as grid tables with smile and term-structure charts; calibration tools return the parameters and each quote’s market and model values.
Example
Prompt
option price Greeks, finds pricing_historical_vol and pricing_vanilla_option, and passes the dates and closes as $fincept references to market_get_candles (candles.time as the date column and candles.close).