POST theo-and-greeks-calculator

< API Reference

POST

/theo-and-greeks-calculator

OPTIONS

Calculate theoretical option price and greeks using Binomial model

Example URI

Live


https://api.livevol.com/v1/live/theo-and-greeks-calculator

Delayed


https://api.livevol.com/v1/delayed/theo-and-greeks-calculator

Request Information

Body Parameters

Collection of TheoCalculatorInputs

Name	Description	Type	Additional information
symbol	Option symbol	string	Required
expiry	Expiration date and time (Eastern Standard Time)	string	Required DateTime in yyyy-MM-dd HH:mm:ss format. (i.e. 2020-02-05 17:43:23)
cost_of_carry	Cost of carry	decimal number	Default value is: 0 Range: inclusive between -500 and 500
option_style	Calculation model	string	Allowed values are [ AMERICAN, EUROPEAN ] Default value is: AMERICAN
delivery_type	Delivery type	string	Allowed values are [ STANDARD, NON-STANDARD ] Default value is: STANDARD
dividends	Dividends	Collection of DividendInfo	None.
model	Calculation model	string	Allowed values are [ BJERK-STETS, BLACK-SCHOLES, COX-ROSS-RUB, MAX-BJERK-BLACK, ROLL-GESKE-WHALEY ] Default value is: COX-ROSS-RUB
risk_rate	Interest rate	decimal number	Default value is: 0 Range: inclusive between -500 and 500
stock_price	Spot price of the underlying asset	decimal number	Default value is: 0 Range: inclusive between 0 and 1.79769313486232E+308
option_volatility	Option volatility	decimal number	Default value is: 0 Range: inclusive between 0 and 1.79769313486232E+308
num_steps	Emulation steps count for binomial model	integer	Default value is: 100 Range: inclusive between 1 and 150
penny_class	Penny Class for root	string	Allowed values are [ 3.0, ALL, NICKEL ] Default value is: NICKEL
time_stamp	Timestamp (Eastern Standard Time)	string	Required DateTime in yyyy-MM-dd HH:mm:ss.fff format. (i.e. 2020-02-05 17:43:23.732)
root	Option root	string	Required
strike	Option strike	decimal number	Required Range: inclusive between 0.01 and 1.79769313486232E+308
option_type	Option type	string	Required Allowed values are [ C, P ]

Request Formats

application/json, text/json

Sample:

[
  {
    "symbol": "XLI",
    "expiry": "2017-08-18 16:00:00",
    "cost_of_carry": 0.0,
    "option_style": "EUROPEAN",
    "delivery_type": "STANDARD",
    "dividends": [
      {
        "date": "2016-06-30",
        "amount": 0.115,
        "source_id": 11
      },
      {
        "date": "2016-09-30",
        "amount": 0.115,
        "source_id": 12
      }
    ],
    "model": "COX-ROSS-RUB",
    "risk_rate": 0.05,
    "stock_price": 10.0,
    "option_volatility": 12.0,
    "num_steps": 100,
    "penny_class": "3.0",
    "time_stamp": "2017-08-14 09:30:01.015",
    "root": "AMZN",
    "strike": 1702.5,
    "option_type": "C"
  },
  {
    "symbol": "AA",
    "expiry": "2017-09-18 16:00:00",
    "cost_of_carry": 0.0,
    "option_style": "AMERICAN",
    "delivery_type": "NON-STANDARD",
    "dividends": [
      {
        "date": "2016-06-30",
        "amount": 0.115,
        "source_id": 11
      },
      {
        "date": "2016-09-30",
        "amount": 0.115,
        "source_id": 12
      }
    ],
    "model": "COX-ROSS-RUB",
    "risk_rate": 0.13,
    "stock_price": 12.5,
    "option_volatility": 1.45,
    "num_steps": 100,
    "penny_class": "ALL",
    "time_stamp": "2017-08-14 09:31:01.030",
    "root": "AAPL",
    "strike": 180.0,
    "option_type": "P"
  }
]

application/xml, text/xml

Sample:

<ArrayOftheo_calculator_inputs xmlns:i="http://www.w3.org/2001/XMLSchema-instance">
  <theo_calculator_inputs>
    <option_type>C</option_type>
    <root>AMZN</root>
    <strike>1702.5</strike>
    <time_stamp>2017-08-14 09:30:01.015</time_stamp>
    <cost_of_carry>0</cost_of_carry>
    <delivery_type>STANDARD</delivery_type>
    <dividends>
      <dividend_info>
        <amount>0.115</amount>
        <date>2016-06-30</date>
        <source_id>11</source_id>
      </dividend_info>
      <dividend_info>
        <amount>0.115</amount>
        <date>2016-09-30</date>
        <source_id>12</source_id>
      </dividend_info>
    </dividends>
    <model>COX-ROSS-RUB</model>
    <num_steps>100</num_steps>
    <option_style>EUROPEAN</option_style>
    <option_volatility>12</option_volatility>
    <penny_class>3.0</penny_class>
    <risk_rate>0.05</risk_rate>
    <stock_price>10</stock_price>
    <symbol>XLI</symbol>
  </theo_calculator_inputs>
  <theo_calculator_inputs>
    <option_type>P</option_type>
    <root>AAPL</root>
    <strike>180</strike>
    <time_stamp>2017-08-14 09:31:01.030</time_stamp>
    <cost_of_carry>0</cost_of_carry>
    <delivery_type>NON-STANDARD</delivery_type>
    <dividends>
      <dividend_info>
        <amount>0.115</amount>
        <date>2016-06-30</date>
        <source_id>11</source_id>
      </dividend_info>
      <dividend_info>
        <amount>0.115</amount>
        <date>2016-09-30</date>
        <source_id>12</source_id>
      </dividend_info>
    </dividends>
    <model>COX-ROSS-RUB</model>
    <num_steps>100</num_steps>
    <option_style>AMERICAN</option_style>
    <option_volatility>1.45</option_volatility>
    <penny_class>ALL</penny_class>
    <risk_rate>0.13</risk_rate>
    <stock_price>12.5</stock_price>
    <symbol>AA</symbol>
  </theo_calculator_inputs>
</ArrayOftheo_calculator_inputs>

Response Information

Resource Description

Collection of TheoCalculatorResultOfTheoCalculatorInputsAndTheoGreekResult

Name	Description	Type	Additional information
inputs	Inputs used for calculations	TheoCalculatorInputs	None.
results	Calculation results	TheoGreekResult	None.
details	Calculation details	Collection of string	None.

Example URI

Request Information

Body Parameters

Request Formats

application/json, text/json

application/xml, text/xml

Response Information

Resource Description

Response Formats