Heston Implied Volatility

Calculate Black-Scholes implied volatility from Heston model prices. This endpoint first computes the option price using the Heston model, then inverts the Black-Scholes formula to find the equivalent constant volatility. Essential for comparing Heston model outputs with market-quoted implied volatilities and constructing volatility surfaces. [Tier: ENTERPRISE, Credits: 10]

POST /quantlib/models/heston/implied-vol

Heston Implied Volatility

cURL

curl --request POST \
  --url https://api.fincept.in/quantlib/models/heston/implied-vol \
  --header 'Content-Type: application/json' \
  --header 'X-API-Key: <api-key>' \
  --data '
{
  "S0": 100,
  "v0": 0.04,
  "r": 0.05,
  "kappa": 2,
  "theta": 0.04,
  "sigma_v": 0.3,
  "rho": -0.7,
  "strike": 95,
  "T": 1,
  "option_type": "put"
}
'

200

{
  "success": true,
  "data": {
    "implied_vol": 0.237,
    "strike": 95,
    "T": 1
  }
}

Authorizations

X-API-Key · string · header · required

API key for authentication. Get your key at https://api.fincept.in/auth/register

Body

application/json

S0 · number · required

Current asset price

v0 · number · required

Initial variance (volatility squared)

r · number · required

Risk-free rate (annualized)

kappa · number · required

Variance mean reversion speed

theta · number · required

Long-term variance

sigma_v · number · required

Volatility of variance

rho · number · required

Stock-variance correlation

strike · number · required

Option strike price

T · number · required

Time to maturity in years

option_type · enum<string> · default: call

Option type

Available options: call, put

Response

200

application/json

Successfully calculated implied volatility

success · boolean

Example:

true

data · object

Show child attributes

Example:

{
  "implied_vol": 0.237,
  "strike": 95,
  "T": 1
}