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POST
/
quantlib
/
risk
/
sensitivities
/
twist
Calculate Twist Sensitivity (Steepening/Flattening)
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
}
'
{
  "success": true,
  "data": {
    "twist_sensitivity": -185.25
  }
}

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

Twist sensitivity

​
success
boolean
Example:

true

​
data
object