Calculate Twist Sensitivity (Steepening/Flattening)

Measures sensitivity to yield curve steepening or flattening - short rates decrease while long rates increase (steepening) or vice versa (flattening). Critical for curve trades, butterfly strategies, and understanding non-parallel curve movements that often occur during policy transitions. [Tier: PRO, Credits: 5]

POST /quantlib/risk/sensitivities/twist

Calculate Twist Sensitivity (Steepening/Flattening)

cURL

curl --request POST \
  --url https://api.fincept.in/quantlib/risk/sensitivities/twist \
  --header 'Content-Type: application/json' \
  --header 'X-API-Key: <api-key>' \
  --data '
{
  "cashflows": [
    40,
    40,
    40,
    40,
    1040
  ],
  "times": [
    1,
    2,
    3,
    4,
    5
  ],
  "curve_rates": [
    0.015,
    0.02,
    0.025,
    0.028,
    0.03
  ],
  "bump_size": 0.0001
}
'

import requests

url = "https://api.fincept.in/quantlib/risk/sensitivities/twist"

payload = {
    "cashflows": [40, 40, 40, 40, 1040],
    "times": [1, 2, 3, 4, 5],
    "curve_rates": [0.015, 0.02, 0.025, 0.028, 0.03],
    "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({
    cashflows: [40, 40, 40, 40, 1040],
    times: [1, 2, 3, 4, 5],
    curve_rates: [0.015, 0.02, 0.025, 0.028, 0.03],
    bump_size: 0.0001
  })
};

fetch('https://api.fincept.in/quantlib/risk/sensitivities/twist', 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/twist",
  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([
    'cashflows' => [
        40,
        40,
        40,
        40,
        1040
    ],
    'times' => [
        1,
        2,
        3,
        4,
        5
    ],
    'curve_rates' => [
        0.015,
        0.02,
        0.025,
        0.028,
        0.03
    ],
    '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/twist"

	payload := strings.NewReader("{\n  \"cashflows\": [\n    40,\n    40,\n    40,\n    40,\n    1040\n  ],\n  \"times\": [\n    1,\n    2,\n    3,\n    4,\n    5\n  ],\n  \"curve_rates\": [\n    0.015,\n    0.02,\n    0.025,\n    0.028,\n    0.03\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/twist")
  .header("X-API-Key", "<api-key>")
  .header("Content-Type", "application/json")
  .body("{\n  \"cashflows\": [\n    40,\n    40,\n    40,\n    40,\n    1040\n  ],\n  \"times\": [\n    1,\n    2,\n    3,\n    4,\n    5\n  ],\n  \"curve_rates\": [\n    0.015,\n    0.02,\n    0.025,\n    0.028,\n    0.03\n  ],\n  \"bump_size\": 0.0001\n}")
  .asString();

require 'uri'
require 'net/http'

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

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  \"cashflows\": [\n    40,\n    40,\n    40,\n    40,\n    1040\n  ],\n  \"times\": [\n    1,\n    2,\n    3,\n    4,\n    5\n  ],\n  \"curve_rates\": [\n    0.015,\n    0.02,\n    0.025,\n    0.028,\n    0.03\n  ],\n  \"bump_size\": 0.0001\n}"

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

200

{
  "success": true,
  "data": {
    "twist_sensitivity": -185.25
  }
}

{
  "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

cashflows · number[] · required

Cashflows to value

Example:

[5, 5, 5, 105]

times · number[] · required

Time points in years

Example:

[1, 2, 3, 4]

curve_rates · number[] · required

Current discount rates

Example:

[0.02, 0.025, 0.03, 0.035]

bump_size · number · default: 0.0001

Twist amount

Example:

0.0001

Response

200

application/json

Twist sensitivity

success · boolean

Example:

true

data · object

Show child attributes