Following is the list of functions exposed in Derivator API. For root URL and credentials contact us.
Module |
Function |
Endpoint URL (relative to root) |
Parameters |
Description |
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exoticderivatives
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Price | ./exoticderivatives/Price | SecurityType, SecurityFeatures, settlement_date, maturity_date, yield_curve, start, Drift, Vol, blend, steps_pa, NumSims, basis, yc_compounding, browinanbridge |
Gets price of exotic derivative using Monte-Carlo simulation
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| best_of_option | ./exoticderivatives/best_of_option | div_yield, vol, corr, rf, l_cap, u_cap, swap_rate, spread, start_date, maturity_date, n, num, quantity, option |
Gets price of best of option using Monte-Carlo simulation
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fixedrate
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FixedRateBondCF | ./fixedrate/FixedRateBondCF | settlement, maturity, coupon, redemption, frequency, basis, with_principal, start_date | Generates cashflows for a fixed rate bond |
| FixedRateBondFromSwap | ./fixedrate/FixedRateBondFromSwap | settlement, maturity, coupon, redemption, swapcurve, spread, frequency, basis, start_date, clean, basiscurve | Gets price of bond from swao curve | |
| FixedRateBondPr | ./fixedrate/FixedRateBondPr | settlement, maturity, coupon, redemption, frequency, basis, yieldc, compoundingfrequency, spread, clean, start_date |
Gets price of bond from yield curve (yield or zero coupon curve)
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| SwapRatefromCurve | ./fixedrate/SwapRatefromCurve | swapcurve, settlement, maturity, basis, frequency | Gets swap rate from swap curve | |
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options
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DigitalOptionPrice | ./options/DigitalOptionPrice | forward, strike, time, interest, volatility, optiontype, compoundfreq | Gets price of digital option |
| FXOptionImpliedVol | ./options/FXOptionImpliedVol | spot, strike, interestdom, interestfor, target, optiontype, time, valuedate, expirydate, compoundingfreq | Gets implied vol of FX option | |
| FXOptionPrice | ./options/FXOptionPrice | spot, strike, time, interestdom, interestfor, volatility, optiontype, compoundfreq | Get price of FX option from vol | |
| OptionImpliedVol | ./options/OptionImpliedVol | forward, strike, interest, target, optiontype, time, valuedate, expirydate, compoundingfreq | Gets implied vol from option price and forward | |
| OptionPayOff | ./options/OptionPayOff | price, strike, optiontype | Get payoff for options | |
| OptionPrice | ./options/OptionPrice | forward, strike, time, interest, volatility, optiontype, compoundfreq | Get price of option from forward and vol | |
| StockOptionImpliedVol | ./options/StockOptionImpliedVol | spot, strike, interest, div_yield, target, optiontype, time, valuedate, expirydate, compoundingfreq |
Get implied vol of stok option from underlying value, option price
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| get_forward_scenarios | ./options/get_forward_scenarios | forward_x, strike, interest, volatility_x, optiontype, greek_type, time_x, valuedate, notional, expirydate, compoundingfreq, defer_premium | Get scenarios of forward, vols and time | |
| getdigitalgreeks | ./options/getdigitalgreeks | forward, strike, interest, volatility, optiontype, time, valuedate, expirydate, notional, compoundingfreq | Get greeks of digital option | |
| getdigitalscenarios | ./options/getdigitalscenarios | forward_x, strike, interest, volatility_x, optiontype, greek_type, time_x, valuedate, notional, expirydate, compoundingfreq | Get scenarios of digital option | |
| getfxgreeks | ./options/getfxgreeks | spot, strike, interestdom, interestfor, volatility, optiontype, time, valuedate, expirydate, notional, compoundingfreq | Get greeks of FX option | |
| getfxscenarios | ./options/getfxscenarios | spot_x, strike, interestdom, interestfor, volatility_x, optiontype, greek_type, time_x, valuedate, notional, expirydate, compoundingfreq | Get scenarios of FX option | |
| getgreeks | ./options/getgreeks | forward, strike, interest, volatility, optiontype, time, valuedate, expirydate, notional, compoundingfreq, defer_premium | Get greeks of an option from forward and vol | |
| getgreeks_from_target | ./options/getgreeks_from_target | forward, strike, interest, target, optiontype, time, valuedate, expirydate, notional, compoundingfreq |
Get greeks of an option from forwrad and a target price
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| getstockgreeks | ./options/getstockgreeks | spot, div_yield, strike, interest, volatility, optiontype, time, valuedate, expirydate, notional, compoundingfreq | Get greeks of stock options form underlying, vol | |
| normsdist | ./options/normsdist | x | Get cumulative normal distribution | |
| get_greeks | ./optionstrategies/get_greeks | book_options, valuedate, forward, volatility, vol_bump, compoundingfreq, defer_premium | Get greeks for a book (list) of options | |
| get_option_scenarios | ./optionstrategies/get_option_scenarios | book_options, forward, interest_curve, greek_type, scenario_date, volatility, compoundingfreq, defer_premium | Get secnario values for a book(list) of options | |
| get_payoff_graph | ./optionstrategies/get_payoff_graph | book_options, forward, valuedate, interest_curve, volatility, compoundingfreq, defer_premium | Get pay off graph for a list of options | |
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spreadoptions
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get_product_greeks | ./spreadoptions/get_product_greeks | forward1, forward2, strike, interest, vol1, vol2, corr, optiontype, time, valuedate, expirydate, compoundingfreq |
Get greeks of a option on a product of two securities
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| get_product_scenarios | ./spreadoptions/get_product_scenarios | forward1, forward2, strike, interest, vol1, vol2, corr_x, optiontype, greek_type, time, valuedate, expirydate, compoundingfreq |
Get scenarios of a option on a product of two securities
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| get_ratio_greeks | ./spreadoptions/get_ratio_greeks | forward1, forward2, strike, interest, vol1, vol2, corr, optiontype, time, valuedate, expirydate, compoundingfreq | Get greeks of a option on a ratio of two securities | |
| get_ratio_scenarios | ./spreadoptions/get_ratio_scenarios | forward1, forward2, strike, interest, vol1, vol2, corr_x, optiontype, greek_type, time, valuedate, expirydate, compoundingfreq |
Get scenarios of a option on a ratio of two securities
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swaps
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AmortSwapCalculations | ./swaps/AmortSwapCalculations | settlement, redemption, maturity, coupon, swapcurve, spread, frequency, fixed_basis, float_basis, amort_schedule, basiscurve, last_reset, clean | Get value of an amortizing swap |
| CCYSwapCalculations | ./swaps/CCYSwapCalculations | settlement, maturity, pay_leg_notional, rcv_leg_notional, pay_swapcurve, rcv_swapcurve, is_pay_fixed, is_rcv_fixed, pay_frequency, rcv_frequency, pay_basis, rcv_basis, conversion_rate, pay_spread, rcv_spread, pay_rate, rcv_rate, conversion_base, pay_last_reset, rcv_last_reset, ccy_basis_crv, ccy_basis_leg, rcv_basis_curve, pay_basis_curve, clean, start_date, krd_pv01 | Get value of a cross currency swap | |
| GenerateAmortSchedule | ./swaps/GenerateAmortSchedule | settlement, maturity, frequency, notional, method | Generate amortization schedule | |
| SwapCalculations | ./swaps/SwapCalculations | settlement, maturity, coupon, redemption, swapcurve, spread, frequency, fixed_basis, float_basis, basiscurve, start_date, last_reset, cashflow, only_mtm, float_frequency, krd_pv01, only_cf | Get swap value for interest rate swap | |
| SwapCalculationsBook | ./swaps/SwapCalculationsBook | swaps, swapcurve, basiscurvex, clean | Get value from a book(list) of swapts | |
| SwapRatefromCurve | ./swaps/SwapRatefromCurve | swapcurve, settlement, maturity, basis, frequency | Get swap rate from swap curve |