Black-Scholes Greeks (Basic)

Calculate basic Black-Scholes Greeks including higher-order sensitivities (vanna and volga). This endpoint returns the Greeks structure with all input parameters and calculated second-order Greeks.

Greeks Included:

• Vanna: Sensitivity of delta to changes in volatility (∂²V/∂S∂σ)
• Volga (Vomma): Sensitivity of vega to changes in volatility (∂²V/∂σ²)

For complete first-order Greeks (delta, gamma, vega, theta, rho), use the /bs/greeks-full endpoint.

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

POST /quantlib/pricing/bs/greeks

Black-Scholes Greeks (Basic)

cURL

curl --request POST \
  --url https://api.fincept.in/quantlib/pricing/bs/greeks \
  --header 'Content-Type: application/json' \
  --header 'X-API-Key: <api-key>' \
  --data '
{
  "spot": 100,
  "strike": 105,
  "risk_free_rate": 0.05,
  "dividend_yield": 0.02,
  "volatility": 0.25,
  "time_to_maturity": 1,
  "option_type": "call"
}
'

200

{
  "success": true,
  "data": {
    "spot": 100,
    "strike": 105,
    "risk_free_rate": 0.05,
    "dividend_yield": 0.02,
    "volatility": 0.25,
    "time_to_maturity": 1,
    "vanna": -0.245,
    "volga": 82.156
  }
}

Authorizations

X-API-Key · string · header · required

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

Body

application/json

spot · number · required

Current price of the underlying asset

Example:

100

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

volatility · number · required

Annualized volatility (decimal format)

Example:

0.25

time_to_maturity · number · required

Time to expiration in years

Example:

1

dividend_yield · number · default: 0

Continuous dividend yield (annualized, decimal format)

Example:

0.02

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