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QuantLib API Overview

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Tier Structure

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Quick Navigation

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Free Tier (0 credits)

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Core Module (51 endpoints)

• Financial Types: Rate, Money, Currency, Tenor, Period
• Date Operations: Business day checks, date arithmetic, tenor calculations
• Day Count Conventions: ACT/360, ACT/365, 30/360, and more
• Business Calendars: 50+ country calendars (US, UK, EU, India, Japan, etc.)
• Pure Functions: Black-Scholes pricing, VaR, interpolation, GBM simulation
• Math Utilities: Compound interest, discount factors, cashflow analysis
• Automatic Differentiation: Forward/reverse mode AD for Greeks

# Check if date is a business day
POST /quantlib/core/date/is-business-day
POST /quantlib/core/types/tenor/add-to-date
POST /quantlib/core/pure/black-scholes
POST /quantlib/core/autodiff/forward-mode

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Scheduling Module (14 endpoints)

• Schedule Generation: Fixed, floating, custom frequencies
• Business Day Adjustment: Following, modified following, preceding
• Period Management: Coupon periods, payment dates
• Calendar Operations: Holiday handling, end-of-month rules

POST /quantlib/scheduling/schedule
POST /quantlib/scheduling/calendar-operations
POST /quantlib/scheduling/period-info

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Basic Tier (1 credit)

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Statistics Module (52 endpoints)

• Continuous Distributions (PDF/CDF/PPF): Normal, Lognormal, Student-t, Chi-squared, F, Gamma, Beta, Exponential
• Discrete Distributions: Binomial, Poisson, Negative Binomial, Hypergeometric, Geometric
• Time Series Models: AR, MA, ARMA, ARIMA, GARCH, EGARCH, GJR-GARCH
• Statistical Tests: Normality, stationarity, autocorrelation
• Descriptive Stats: Mean, variance, skewness, kurtosis, quantiles

POST /quantlib/statistics/normal-pdf
POST /quantlib/statistics/arima
POST /quantlib/statistics/garch
POST /quantlib/statistics/correlation-matrix

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Numerical Module (28 endpoints)

• Differentiation: Forward, backward, central differences, Richardson extrapolation
• Integration: Gaussian quadrature, Simpson’s rule, Monte Carlo integration
• Interpolation: Linear, cubic spline, monotone convex, Hermite
• Linear Algebra: LU, QR, SVD, Cholesky decomposition, eigenvalues
• ODE Solvers: Euler, Runge-Kutta, adaptive methods
• Optimization: Newton, gradient descent, BFGS, conjugate gradient
• FFT: Fast Fourier Transform for option pricing

POST /quantlib/numerical/cubic-spline
POST /quantlib/numerical/cholesky
POST /quantlib/numerical/fft
POST /quantlib/numerical/newton-raphson

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Solver Module (25 endpoints)

• Bond Analytics: Yield to maturity, duration, convexity, DV01
• Volatility Solvers: Implied volatility from option prices
• Spread Calculations: Z-spread, asset swap spread, OAS
• Curve Bootstrapping: Build yield curves from market instruments
• Model Calibration: Vasicek, CIR parameter fitting
• IRR Calculations: Internal rate of return, XIRR for irregular cash flows

POST /quantlib/solver/bond-yield
POST /quantlib/solver/implied-volatility
POST /quantlib/solver/z-spread
POST /quantlib/solver/bootstrap-curve

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Economics Module (25 endpoints)

• Production Functions: Cobb-Douglas, CES with optimal factor allocation
• General Equilibrium: Walrasian equilibrium solver
• Game Theory: Nash equilibrium, fictitious play, evolutionary games
• Auction Theory: First-price, second-price, all-pay auctions
• Utility Theory: CARA, CRRA, Prospect Theory with loss aversion
• Welfare Economics: Social welfare, deadweight loss

POST /quantlib/economics/cobb-douglas
POST /quantlib/economics/nash-equilibrium
POST /quantlib/economics/auction-theory
POST /quantlib/economics/utility-cara

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Standard Tier (2 credits)

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Analysis Module (45 endpoints)

• Fundamental Analysis: Profitability, liquidity, leverage, efficiency ratios
• Industry Analysis: Banking, insurance, REITs, utilities-specific metrics
• Valuation Models: DCF (FCFF, FCFE), Gordon growth, DDM, comparable
• Credit Models: Merton, Altman Z-Score, Piotroski F-Score, Ohlson O-Score
• Factor Models: Fama-French 3/5 factor, Carhart 4-factor
• Pro Forma: Forecasting, scenario analysis
• Stock Screening: Multi-criteria filtering
• Startup Valuation: VC method, scorecard, Berkus

POST /quantlib/analysis/dcf-valuation
POST /quantlib/analysis/altman-z-score
POST /quantlib/analysis/dupont-analysis
POST /quantlib/analysis/fama-french

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Curves Module (28 endpoints)

• Curve Types: Zero, discount, forward, par, inflation
• Interpolation: Linear, log-linear, cubic spline, monotone convex, Hermite, flat forward
• Curve Operations: Parallel shift, twist, butterfly, roll down
• Parametric Models: Nelson-Siegel, Svensson (NSS)
• Multi-Curve Framework: OIS discounting, tenor-specific curves
• Curve Analytics: Forward rates, discount factors, par rates

POST /quantlib/curves/zero-curve
POST /quantlib/curves/nelson-siegel
POST /quantlib/curves/interpolate
POST /quantlib/curves/parallel-shift

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Pricing Module (29 endpoints)

• Black-Scholes: European/American options, all Greeks, digital options
• Black76: Caplets, floorlets, swaptions (futures-style)
• Bachelier: Normal volatility model, shifted lognormal
• Binomial Trees: CRR, JR, Tian, LR methods for American options
• Exotic Options: Barrier, Asian, lookback, spread options
• Kirk Model: Spread option pricing
• Greeks Calculation: Full Greeks suite including higher-order

POST /quantlib/pricing/black-scholes
POST /quantlib/pricing/black76-swaption
POST /quantlib/pricing/binomial-tree
POST /quantlib/pricing/barrier-option

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Instruments Module (26 endpoints)

• Bonds: Fixed coupon, floating rate, inflation-linked, zero coupon
• Interest Rate Swaps: PV, par rate, DV01, cash flows
• FRA: Forward rate agreements
• Money Market: Deposits, T-bills, repos, commercial paper
• OIS: Overnight index swaps
• Equity Derivatives: Equity swaps, variance swaps, volatility swaps
• FX Derivatives: FX forwards, Garman-Kohlhagen model
• Credit Derivatives: CDS pricing and spread calculations
• Futures: STIR futures, bond futures

POST /quantlib/instruments/fixed-bond
POST /quantlib/instruments/interest-rate-swap
POST /quantlib/instruments/fx-forward
POST /quantlib/instruments/cds

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Stochastic Module (36 endpoints)

• Diffusion Processes: GBM, Ornstein-Uhlenbeck, CIR, Vasicek, Heston
• Jump Processes: Merton, Kou, Variance Gamma jump-diffusion
• Simulation Methods: Euler-Maruyama, Milstein, exact simulation
• Advanced Techniques: Multilevel Monte Carlo, Sobol sequences
• Brownian Motion: Standard, geometric, arithmetic, bridge
• Ito Calculus: Ito’s lemma, product rule, quotient rule
• Girsanov Theorem: Risk-neutral pricing, measure changes
• Martingale Tests: Statistical tests for martingale property

POST /quantlib/stochastic/gbm-simulation
POST /quantlib/stochastic/heston-paths
POST /quantlib/stochastic/sobol-sequence
POST /quantlib/stochastic/ito-lemma

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Volatility Module (14 endpoints)

• Surface Types: Flat, term structure, strike grid
• SABR Model: Implied volatility, calibration, smile, density, dynamics
• Local Volatility: Dupire local vol, implied-to-local conversion
• Volatility Smile: Strike interpolation, calendar spread
• ATM Volatility: At-the-money vol calculation

POST /quantlib/volatility/sabr-implied-vol
POST /quantlib/volatility/sabr-calibration
POST /quantlib/volatility/local-vol-dupire
POST /quantlib/volatility/vol-surface

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Pro Tier (5 credits)

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Models Module (14 endpoints)

• Short Rate Models: Vasicek, CIR, Hull-White, Black-Karasinski
• Stochastic Volatility: Heston (analytical + MC), SABR dynamics
• Jump Diffusion: Merton, Kou, Variance Gamma models
• Local Volatility: Dupire model, implied volatility surface
• Model Calibration: Fit models to market data (SVI, SABR)
• Simulation: Exact and discretized path generation

POST /quantlib/models/heston-price
POST /quantlib/models/hull-white
POST /quantlib/models/merton-jump
POST /quantlib/models/svi-calibration

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Portfolio Module (15 endpoints)

• Mean-Variance Optimization: Minimum variance, maximum Sharpe, target return
• Efficient Frontier: Trace complete frontier, identify tangency portfolio
• Black-Litterman: Bayesian approach combining views with equilibrium
• Risk Parity: Equal risk contribution (ERC), hierarchical risk parity (HRP)
• Risk Metrics: Tracking error, information ratio, Sortino ratio, max drawdown
• Advanced Techniques: Inverse volatility weighting, minimum CVaR
• Performance Attribution: Factor decomposition, incremental VaR

POST /quantlib/portfolio/mean-variance
POST /quantlib/portfolio/efficient-frontier
POST /quantlib/portfolio/black-litterman
POST /quantlib/portfolio/risk-parity

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Risk Module (25 endpoints)

• Value at Risk: Parametric, historical, Monte Carlo methods
• Component VaR: Individual asset contributions to portfolio VaR
• Stress Testing: Historical scenarios, custom shocks
• Copulas: Gaussian, Student-t, Clayton, Frank, Gumbel, Joe
• Extreme Value Theory: GPD, GEV, Hill estimator for tail risk
• XVA Calculations: CVA (credit valuation adjustment), PFE (potential future exposure)
• Sensitivities: Full Greeks, bucket delta, cross-gamma, key rate duration
• Hedging: Optimal hedge ratios, exposure profiles
• Backtesting: VaR model validation, traffic light tests

POST /quantlib/risk/var-parametric
POST /quantlib/risk/component-var
POST /quantlib/risk/cva
POST /quantlib/risk/stress-test

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Regulatory Module (11 endpoints)

• Basel III Capital: Credit RWA, operational RWA, capital ratios
• SA-CCR: Exposure at default (EAD), replacement cost (RC), potential future exposure (PFE)
• IFRS 9: Expected credit loss (ECL), staging, significant increase in credit risk (SICR)
• Liquidity Ratios: LCR (liquidity coverage ratio), NSFR (net stable funding ratio)
• Stress Testing: Capital projections, adverse scenarios

POST /quantlib/regulatory/basel-capital-ratio
POST /quantlib/regulatory/sa-ccr
POST /quantlib/regulatory/ifrs9-ecl
POST /quantlib/regulatory/lcr

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ML Module (35 endpoints)

• Credit Scoring: Logistic regression, WoE binning, scorecard development
• Model Validation: Discrimination (Gini, KS), calibration (Hosmer-Lemeshow), PSI
• Regression Models: OLS, Lasso, ElasticNet, decision trees, gradient boosting, random forest
• Credit Parameters: PD, LGD, EAD modeling
• Clustering: K-Means, DBSCAN, hierarchical, PCA dimension reduction
• Anomaly Detection: Isolation forest, outlier detection
• Feature Engineering: Technical indicators, rolling statistics, calendar features
• Preprocessing: Scalers, outlier treatment, winsorization

POST /quantlib/ml/credit-scorecard
POST /quantlib/ml/gini-coefficient
POST /quantlib/ml/gradient-boosting
POST /quantlib/ml/isolation-forest

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Physics Module (24 endpoints)

• Information Theory: Shannon/Renyi/Tsallis entropy, KL/JS divergence
• Mutual Information: Dependency measures, transfer entropy
• Statistical Mechanics: Boltzmann distribution, Ising model, phase transitions
• Thermodynamics: Free energy, Carnot efficiency, van der Waals equation
• Maximum Entropy: Constrained optimization for probability distributions
• Fisher Information: Parameter estimation, Cramér-Rao bounds

POST /quantlib/physics/shannon-entropy
POST /quantlib/physics/kl-divergence
POST /quantlib/physics/ising-model
POST /quantlib/physics/max-entropy

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Module Comparison

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By Complexity

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By Use Case

• Core (dates, calendars)
• Pricing (Black-Scholes, binomial)
• Volatility (SABR, surfaces)
• Models (Heston)
• Risk (Greeks, hedging)

• Core (day counts)
• Curves (yield curves)
• Instruments (bonds, swaps)
• Pricing (swaptions)
• Risk (duration, convexity)

• Statistics (distributions)
• Risk (VaR, stress testing)
• Portfolio (optimization)
• Regulatory (Basel III)

• Numerical (optimization)
• Stochastic (simulation)
• ML (backtesting)
• Physics (information theory)

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Authentication & Access

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API Key Required

curl -X POST https://api.fincept.in/quantlib/... \
  -H "X-API-Key: fk_user_your_key_here" \
  -H "Content-Type: application/json"

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Tier Access Control

{
  "success": false,
  "message": "Module 'risk' requires 'pro' plan or higher. Your current plan: 'free'.",
  "detail": "Upgrade your subscription to access this endpoint."
}

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Insufficient Credits

{
  "success": false,
  "message": "Insufficient credits",
  "detail": "This call costs 5 credits. Your balance: 2."
}

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Response Format

{
  "success": true,
  "message": "Operation completed successfully",
  "data": {
    // Endpoint-specific response data
  }
}

{
  "success": false,
  "message": "Error summary",
  "detail": "Detailed error explanation"
}

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Rate Limits

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Next Steps

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Need Help?

• 📧 Email: support@fincept.in
• 📚 Documentation: Comprehensive guides for each module
• 💬 Community: Join our Discord for discussions
• 🏢 Enterprise: Contact sales for custom solutions