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POST
/
quantlib
/
volatility
/
local-vol
/
implied-to-local
Implied to Local Volatility Conversion
curl --request POST \
  --url https://api.fincept.in/quantlib/volatility/local-vol/implied-to-local \
  --header 'Content-Type: application/json' \
  --header 'X-API-Key: <api-key>' \
  --data '
{
  "spot": 100,
  "rate": 0.05,
  "strike": 105,
  "expiry": 1,
  "implied_vol": 0.25,
  "dk": 0.01,
  "dt": 0.01
}
'
{
  "success": true,
  "data": {
    "local_vol": 0.2465,
    "implied_vol": 0.25,
    "spot": 100,
    "strike": 105,
    "expiry": 1
  }
}

Authorizations

​
X-API-Key
string
header
required

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

Body

application/json
​
spot
number
required

Current spot price of the underlying

Required range: x >= 0
Example:

100

​
rate
number
required

Risk-free interest rate (continuously compounded)

Required range: -0.1 <= x <= 1
Example:

0.05

​
strike
number
required

Strike price for local vol calculation

Required range: x >= 0
Example:

105

​
expiry
number
required

Time to expiry in years

Required range: x >= 0
Example:

1

​
implied_vol
number
required

Implied volatility at (strike, expiry). For full surface conversion, use a volatility surface function

Required range: 0 <= x <= 5
Example:

0.25

​
dk
number
default:0.01

Strike increment for finite difference (as fraction of strike)

Required range: 0.0001 <= x <= 0.1
Example:

0.01

​
dt
number
default:0.01

Time increment for finite difference (in years)

Required range: 0.0001 <= x <= 0.1
Example:

0.01

Response

Successful Response

​
success
boolean
Example:

true

​
data
object