Request
{
"body": {
"dividendYield": 0,
"interpolation": "total_variance_bilinear",
"options": [
{
"optionType": "call",
"quantity": 1,
"strike": 100,
"timeToExpiry": 1,
"underlying": 100
}
],
"rate": 0.05,
"surface": [
{
"iv": 0.22,
"k": -0.1,
"timeToExpiry": 0.25
},
{
"iv": 0.2,
"k": 0,
"timeToExpiry": 0.25
},
{
"iv": 0.23,
"k": 0.1,
"timeToExpiry": 0.25
},
{
"iv": 0.21,
"k": -0.1,
"timeToExpiry": 0.5
},
{
"iv": 0.2,
"k": 0,
"timeToExpiry": 0.5
},
{
"iv": 0.22,
"k": 0.1,
"timeToExpiry": 0.5
},
{
"iv": 0.205,
"k": -0.1,
"timeToExpiry": 1
},
{
"iv": 0.2,
"k": 0,
"timeToExpiry": 1
},
{
"iv": 0.215,
"k": 0.1,
"timeToExpiry": 1
}
],
"surfaceConvention": "log_moneyness_forward",
"wingRule": "flat_vol"
},
"bodyType": "json",
"method": "POST",
"type": "http"
}
Response
{
"example": {
"book": {
"greeks": {
"delta": 0.63683059,
"gamma": 0.01876202,
"rho": 53.23248343,
"theta": -6.41402764,
"vega": 37.52403469
},
"mtm": 10.45057562
},
"computedAt": "2026-01-01T00:00:00.000Z",
"model": "black-scholes-merton+surface-tv-bilinear",
"optionStyle": "european",
"requestId": "00000000-0000-4000-8000-000000000006",
"results": [
{
"contribution": 10.45057562,
"forward": 100,
"greeks": {
"delta": 0.63683059,
"gamma": 0.01876202,
"rho": 53.23248343,
"theta": -6.41402764,
"vega": 37.52403469
},
"impliedVol": 0.2,
"index": 0,
"k": 0,
"optionType": "call",
"price": 10.45057562,
"quantity": 1,
"strike": 100,
"timeToExpiry": 1,
"underlying": 100
}
],
"surfaceMeta": {
"convention": "log_moneyness_forward",
"interpolation": "total_variance_bilinear",
"kCount": 3,
"pointCount": 9,
"tCount": 3,
"wingRule": "flat_vol"
},
"units": {
"delta": "dV/dS (share equivalent) at sticky/interpolated \u03c3",
"gamma": "d\u00b2V/dS\u00b2",
"price": "option value in spot currency units",
"rho": "dV/dr per 1.0 absolute rate (not per 1%)",
"theta": "dV/dT per year (not per day)",
"vega": "dV/d\u03c3 per 1.0 absolute volatility (not per 1%)"
},
"warnings": []
},
"type": "json"
}