Skip to main content
POST
/
quantlib
/
risk
/
sensitivities
/
greeks
Calculate Full Greeks Suite
curl --request POST \
  --url https://api.fincept.in/quantlib/risk/sensitivities/greeks \
  --header 'Content-Type: application/json' \
  --header 'X-API-Key: <api-key>' \
  --data '
{
  "S": 150,
  "K": 155,
  "T": 0.5,
  "r": 0.04,
  "sigma": 0.25,
  "q": 0.02
}
'
{
  "success": true,
  "data": {
    "delta": 0.534,
    "gamma": 0.0185,
    "vega": 34.25,
    "theta": -12.45,
    "rho": 18.75,
    "vanna": -0.245,
    "volga": 125.8
  }
}

Authorizations

​
X-API-Key
string
header
required

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

Body

application/json
​
S
number
default:100

Current underlying asset price

Example:

100

​
K
number
default:100

Strike price

Example:

100

​
T
number
default:1

Time to expiration in years

Example:

1

​
r
number
default:0.05

Risk-free interest rate (as decimal)

Example:

0.05

​
sigma
number
default:0.2

Implied volatility (as decimal)

Example:

0.2

​
q
number
default:0

Dividend yield (as decimal)

Example:

0

Response

Complete Greeks calculation

​
success
boolean
Example:

true

​
data
object