American Option Pricing
A representative call to the American option model is as follows
http://<server>:port/oprilia/american76?fs=3.173&x=3.15&t=48.22&r=0.0&v=0.3232&pc=c
where
fs : futures or spot price
x : option strike
t : time to expiry ( in days ) - divided by 365 in model
r : interest rate
v : volatility
pc : option type - put or call
the returned value for the above pricing request is a json response as follows
{'fs': 3.173, 'x': 3.15, 't': 48.22, 'r': 0.0, 'v': 0.3232, 'pc': 'c', 'premium': 0.159862078807113, 'delta': 0.5480222561605672, 'gamma': 1.0625264222877047, 'theta': -0.558717907757004, 'vega': 0.4567573835623682, 'rho': 0.2086026977488643}European ( Black 76 ) Option Pricing
A representative call to the European Black 76 option model is as follows
http://<server>:port/oprilia/europeanblack76?fs=19.0&x=19.0&t=0.75&r=0.10&v=0.28&pc=c
where
fs : futures or spot price
x : option strike
t : time to expiry ( in days ) - divided by 365 in model
r : interest rate
v : volatility
pc : option type - put or call
the returned value for the above pricing request is a json response as follows
{ 'fs': 19.0, 'x': 19.0, 't': 0.75, 'r': 0.1, 'v': 0.28, 'pc': 'c', 'premium': 0.09618641623768909, 'delta': 0.5024284923086401, 'gamma': 1.6539266689207532, 'theta': -23.3954284356076, 'vega': 0.34351830348186935, 'rho': 0.01941771562525988}Asian Option Pricing
A representative call to the Asian option model is as follows
http://<server>:port/oprilia/asian76?fs=102.0&x=100.0&t=2.0&t_a=1.9&r=0.05&v=0.25&pc=p
where
fs : futures or spot price
x : option strike
t : time to expiry ( in days ) - divided by 365 in model
t_a: averaging period ( in days ) - divided by 365 in model
r : interest rate
v : volatility
pc : option type - put or call
the returned value for the above pricing request is a json response as follows
{ 'fs': 102.0, 'x': 100.0, 't': 2.0, 'tavg': 0.0, 'r': 0.05, 'v': 0.25, 'pc': 'p', 'premium': 0.013448675281412914, 'delta': -0.03152451963803261, 'gamma': 0.06504605164922293, 'theta': -7.049020355202214, 'vega': 0.5352391428089842, 'rho': -0.017692874949921854}Spread Option ( Kirk’s Approximation )Pricing
A representative call to the Spread option model is as follows
http://<server>:port/oprilia/kirk76?f1=37.384913362&f2=42.1774&x=3.0&t=15.71&r=0.0&v1=0.608063&v2=0.608063&corr=0.8&pc=c
where
f1 : futures or spot price
f2 : futures or spot price
x : option strike
t : time to expiry ( in days ) - divided by 365 in model
r : interest rate
v1 : volatility of f1
v2 : volatility of f2
corr : correlation between two underlyings
pc : option type - put or call
the returned value for the above pricing request is a json response as follows
{ 'f1': 37.384913362, 'f2': 42.1774, 'x': 3.0, 't': 15.71, 'corr': 0.8, 'r': 0.0, 'v1': 0.608063, 'v2': 0.608063, 'pc': 'c', 'premium': 0.00763835529404949, 'delta': 0, 'gamma': 0, 'theta': 0, 'vega': 0, 'rho': 0}