Volatility Conversion (Lognormal ↔ Normal)

Convert between lognormal (Black-Scholes) volatility and normal (Bachelier) volatility. Essential for working across different market conventions.

Conversion Directions:

• lognormal_to_normal: Convert percentage volatility to absolute volatility
• normal_to_lognormal: Convert absolute volatility to percentage volatility

Use Cases:

• Reconcile volatility quotes across different market conventions
• Convert historical lognormal vol for use in normal models
• Compare volatility surfaces built with different assumptions
• Switch between model types while maintaining consistency

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

POST /quantlib/pricing/bachelier/vol-conversion

Volatility Conversion (Lognormal ↔ Normal)

cURL

curl --request POST \
  --url https://api.fincept.in/quantlib/pricing/bachelier/vol-conversion \
  --header 'Content-Type: application/json' \
  --header 'X-API-Key: <api-key>' \
  --data '
{
  "volatility": 0.25,
  "forward": 102,
  "strike": 105,
  "time_to_maturity": 1,
  "direction": "lognormal_to_normal"
}
'

200

{
  "success": true,
  "data": {
    "normal_volatility": 25.5,
    "lognormal_volatility": 0.25,
    "direction": "lognormal_to_normal"
  }
}

Authorizations

X-API-Key · string · header · required

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

Body

application/json

volatility · number · required

Input volatility to convert (format depends on direction)

Example:

0.25

forward · number · required

Forward price of the underlying asset

Example:

102

strike · number · required

Strike price

Example:

105

time_to_maturity · number · required

Time to expiration in years

Example:

1

direction · enum<string> · default: lognormal_to_normal

Direction of volatility conversion

Available options: lognormal_to_normal, normal_to_lognormal

Example:

"lognormal_to_normal"

Response

200

application/json

Successful conversion

success · boolean

Example:

true

data · object

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