Calculate Bucket Delta (DV01 by Tenor)

Computes sensitivity to interest rate changes at specific maturity buckets (e.g., 1Y, 5Y, 10Y). Shows where along the yield curve the portfolio has risk exposure. Critical for interest rate risk management, immunization strategies, and regulatory reporting under FRTB. [Tier: PRO, Credits: 5]

POST /quantlib/risk/sensitivities/bucket-delta

Calculate Bucket Delta (DV01 by Tenor)

cURL

curl --request POST \
  --url https://api.fincept.in/quantlib/risk/sensitivities/bucket-delta \
  --header 'Content-Type: application/json' \
  --header 'X-API-Key: <api-key>' \
  --data '
{
  "positions": [
    {
      "tenor": 1,
      "notional": 2000000,
      "duration": 0.98
    },
    {
      "tenor": 3,
      "notional": 1500000,
      "duration": 2.85
    },
    {
      "tenor": 5,
      "notional": 1000000,
      "duration": 4.52
    },
    {
      "tenor": 10,
      "notional": 800000,
      "duration": 8.75
    }
  ],
  "bump_size": 0.0001
}
'

import requests

url = "https://api.fincept.in/quantlib/risk/sensitivities/bucket-delta"

payload = {
    "positions": [
        {
            "tenor": 1,
            "notional": 2000000,
            "duration": 0.98
        },
        {
            "tenor": 3,
            "notional": 1500000,
            "duration": 2.85
        },
        {
            "tenor": 5,
            "notional": 1000000,
            "duration": 4.52
        },
        {
            "tenor": 10,
            "notional": 800000,
            "duration": 8.75
        }
    ],
    "bump_size": 0.0001
}
headers = {
    "X-API-Key": "<api-key>",
    "Content-Type": "application/json"
}

response = requests.post(url, json=payload, headers=headers)

print(response.text)

const options = {
  method: 'POST',
  headers: {'X-API-Key': '<api-key>', 'Content-Type': 'application/json'},
  body: JSON.stringify({
    positions: [
      {tenor: 1, notional: 2000000, duration: 0.98},
      {tenor: 3, notional: 1500000, duration: 2.85},
      {tenor: 5, notional: 1000000, duration: 4.52},
      {tenor: 10, notional: 800000, duration: 8.75}
    ],
    bump_size: 0.0001
  })
};

fetch('https://api.fincept.in/quantlib/risk/sensitivities/bucket-delta', options)
  .then(res => res.json())
  .then(res => console.log(res))
  .catch(err => console.error(err));

<?php

$curl = curl_init();

curl_setopt_array($curl, [
  CURLOPT_URL => "https://api.fincept.in/quantlib/risk/sensitivities/bucket-delta",
  CURLOPT_RETURNTRANSFER => true,
  CURLOPT_ENCODING => "",
  CURLOPT_MAXREDIRS => 10,
  CURLOPT_TIMEOUT => 30,
  CURLOPT_HTTP_VERSION => CURL_HTTP_VERSION_1_1,
  CURLOPT_CUSTOMREQUEST => "POST",
  CURLOPT_POSTFIELDS => json_encode([
    'positions' => [
        [
                'tenor' => 1,
                'notional' => 2000000,
                'duration' => 0.98
        ],
        [
                'tenor' => 3,
                'notional' => 1500000,
                'duration' => 2.85
        ],
        [
                'tenor' => 5,
                'notional' => 1000000,
                'duration' => 4.52
        ],
        [
                'tenor' => 10,
                'notional' => 800000,
                'duration' => 8.75
        ]
    ],
    'bump_size' => 0.0001
  ]),
  CURLOPT_HTTPHEADER => [
    "Content-Type: application/json",
    "X-API-Key: <api-key>"
  ],
]);

$response = curl_exec($curl);
$err = curl_error($curl);

curl_close($curl);

if ($err) {
  echo "cURL Error #:" . $err;
} else {
  echo $response;
}

package main

import (
	"fmt"
	"strings"
	"net/http"
	"io"
)

func main() {

	url := "https://api.fincept.in/quantlib/risk/sensitivities/bucket-delta"

	payload := strings.NewReader("{\n  \"positions\": [\n    {\n      \"tenor\": 1,\n      \"notional\": 2000000,\n      \"duration\": 0.98\n    },\n    {\n      \"tenor\": 3,\n      \"notional\": 1500000,\n      \"duration\": 2.85\n    },\n    {\n      \"tenor\": 5,\n      \"notional\": 1000000,\n      \"duration\": 4.52\n    },\n    {\n      \"tenor\": 10,\n      \"notional\": 800000,\n      \"duration\": 8.75\n    }\n  ],\n  \"bump_size\": 0.0001\n}")

	req, _ := http.NewRequest("POST", url, payload)

	req.Header.Add("X-API-Key", "<api-key>")
	req.Header.Add("Content-Type", "application/json")

	res, _ := http.DefaultClient.Do(req)

	defer res.Body.Close()
	body, _ := io.ReadAll(res.Body)

	fmt.Println(string(body))

}

HttpResponse<String> response = Unirest.post("https://api.fincept.in/quantlib/risk/sensitivities/bucket-delta")
  .header("X-API-Key", "<api-key>")
  .header("Content-Type", "application/json")
  .body("{\n  \"positions\": [\n    {\n      \"tenor\": 1,\n      \"notional\": 2000000,\n      \"duration\": 0.98\n    },\n    {\n      \"tenor\": 3,\n      \"notional\": 1500000,\n      \"duration\": 2.85\n    },\n    {\n      \"tenor\": 5,\n      \"notional\": 1000000,\n      \"duration\": 4.52\n    },\n    {\n      \"tenor\": 10,\n      \"notional\": 800000,\n      \"duration\": 8.75\n    }\n  ],\n  \"bump_size\": 0.0001\n}")
  .asString();

require 'uri'
require 'net/http'

url = URI("https://api.fincept.in/quantlib/risk/sensitivities/bucket-delta")

http = Net::HTTP.new(url.host, url.port)
http.use_ssl = true

request = Net::HTTP::Post.new(url)
request["X-API-Key"] = '<api-key>'
request["Content-Type"] = 'application/json'
request.body = "{\n  \"positions\": [\n    {\n      \"tenor\": 1,\n      \"notional\": 2000000,\n      \"duration\": 0.98\n    },\n    {\n      \"tenor\": 3,\n      \"notional\": 1500000,\n      \"duration\": 2.85\n    },\n    {\n      \"tenor\": 5,\n      \"notional\": 1000000,\n      \"duration\": 4.52\n    },\n    {\n      \"tenor\": 10,\n      \"notional\": 800000,\n      \"duration\": 8.75\n    }\n  ],\n  \"bump_size\": 0.0001\n}"

response = http.request(request)
puts response.read_body

200

{
  "success": true,
  "data": {
    "1Y": 1960,
    "3Y": 4275,
    "5Y": 4520,
    "10Y": 7000,
    "total": 17755
  }
}

{
  "detail": "Invalid API key"
}

{
  "detail": "Insufficient credits. This endpoint requires 5 credits."
}

{
  "detail": [
    {
      "loc": [
        "<string>"
      ],
      "msg": "<string>",
      "type": "<string>"
    }
  ]
}

Authorizations

X-API-Key · string · header · required

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

Body

application/json

positions · object[] · required

List of fixed income positions with tenor information

Show child attributes

Example:

[
  {
    "tenor": 2,
    "notional": 1000000,
    "duration": 1.9
  },
  {
    "tenor": 5,
    "notional": 500000,
    "duration": 4.5
  }
]

bump_size · number · default: 0.0001

Rate bump size in decimal (e.g., 0.0001 for 1bp)

Example:

0.0001

Response

200

application/json

Bucket delta by tenor

success · boolean

Example:

true

data · object

DV01 by tenor bucket

Show child attributes

Example:

{
  "1Y": 1960,
  "3Y": 4275,
  "5Y": 4520,
  "10Y": 7000
}