Bachelier Implied Volatility

Calculate implied normal (absolute) volatility from market option price using the Bachelier model. Returns volatility in absolute price units rather than percentage.

Use Cases:

• Extract normal volatility from interest rate options markets
• Build normal volatility surfaces for low/negative rate regimes
• Convert between lognormal and normal volatility representations
• Price consistently in markets quoting normal vol

Tier: Standard (2 credits/request) [Tier: PRO, Credits: 5]

POST /quantlib/pricing/bachelier/implied-vol

Bachelier Implied Volatility

cURL

curl --request POST \
  --url https://api.fincept.in/quantlib/pricing/bachelier/implied-vol \
  --header 'Content-Type: application/json' \
  --header 'X-API-Key: <api-key>' \
  --data '
{
  "market_price": 7.892,
  "forward": 102,
  "strike": 105,
  "risk_free_rate": 0.01,
  "time_to_maturity": 1,
  "option_type": "call"
}
'

200

{
  "success": true,
  "data": {
    "implied_normal_volatility": 25
  }
}

Authorizations

X-API-Key · string · header · required

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

Body

application/json

market_price · number · required

Market price of the option

Example:

8.5

forward · number · required

Forward price of the underlying asset

Example:

102

strike · number · required

Strike price of the option

Example:

105

risk_free_rate · number · required

Risk-free interest rate (annualized, decimal format)

Example:

0.05

time_to_maturity · number · required

Time to expiration in years

Example:

1

option_type · enum<string> · default: call

Type of option

Available options: call, put

Example:

"call"

Response

200

application/json

Successful calculation

success · boolean

Example:

true

data · object

Show child attributes