Black76 Swaption Price

Price a European swaption using the Black76 model. A swaption is an option to enter into an interest rate swap.

Types:

• Payer Swaption: Right to enter a swap as fixed-rate payer (benefits when rates rise)
• Receiver Swaption: Right to enter a swap as fixed-rate receiver (benefits when rates fall)

Use Cases:

• Price exchange-traded and OTC swaptions
• Hedge future swap positions
• Manage interest rate exposure for future borrowings
• Value embedded options in callable/putable bonds

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

POST /quantlib/pricing/black76/swaption

Black76 Swaption Price

cURL

curl --request POST \
  --url https://api.fincept.in/quantlib/pricing/black76/swaption \
  --header 'Content-Type: application/json' \
  --header 'X-API-Key: <api-key>' \
  --data '
{
  "forward_swap_rate": 0.04,
  "strike": 0.045,
  "annuity": 4.5,
  "volatility": 0.18,
  "t_expiry": 2,
  "is_payer": true,
  "notional": 1000000
}
'

200

{
  "success": true,
  "data": {
    "swaption_price": 12345.67,
    "is_payer": true
  }
}

Authorizations

X-API-Key · string · header · required

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

Body

application/json

forward_swap_rate · number · required

Forward swap rate (decimal format)

Example:

0.04

strike · number · required

Strike rate of the swaption (decimal format)

Example:

0.045

annuity · number · required

Present value of a basis point (PVBP) or annuity

Example:

4.5

volatility · number · required

Annualized swap rate volatility (decimal format)

Example:

0.18

t_expiry · number · required

Time to expiration in years

Example:

2

is_payer · boolean · default: true

True for payer swaption, false for receiver swaption

Example:

true

notional · number · default: 1

Notional amount

Example:

1000000

Response

200

application/json

Successful calculation

success · boolean

Example:

true

data · object

Show child attributes