Derivatives¶
Futures Price¶
POST /derivatives/futures/price
Request body: FuturesPriceRequest
Responses
| Status | Meaning | Body |
|---|---|---|
| 200 | Successful Response | FuturesPriceResponse |
Also the shared errors: 400, 401, 404, 405, 422, 500, 501, 503.
Trs Price¶
POST /derivatives/trs/price
Request body: TrsPriceRequest
Responses
| Status | Meaning | Body |
|---|---|---|
| 200 | Successful Response | TrsPriceResponse |
Also the shared errors: 400, 401, 404, 405, 422, 500, 501, 503.
Roll¶
GET /derivatives/{index_id}/roll
Parameters
| Name | In | Type | Required | Description |
|---|---|---|---|---|
index_id |
path | string | yes | Letters, digits, dash and underscore; up to 64. |
front_expiry |
query | string | yes | Contract expiry, YYYY-MM-DD. |
back_expiry |
query | string | yes | Contract expiry, YYYY-MM-DD. |
as_of |
query | string or null | no | Valuation date, YYYY-MM-DD. Defaults to the latest price held. |
risk_free_rate |
query | number | no | Continuously compounded financing rate. |
dividend_yield |
query | number | no | Continuous dividend yield. |
Responses
| Status | Meaning | Body |
|---|---|---|
| 200 | Successful Response | RollResponse |
Also the shared errors: 400, 401, 404, 405, 422, 500, 501, 503.
Term Structure¶
GET /derivatives/{index_id}/term-structure
Parameters
| Name | In | Type | Required | Description |
|---|---|---|---|---|
index_id |
path | string | yes | Letters, digits, dash and underscore; up to 64. |
expiries |
query | array of string | yes | Contract expiries, YYYY-MM-DD. |
as_of |
query | string or null | no | Valuation date, YYYY-MM-DD. Defaults to the latest price held. |
risk_free_rate |
query | number | no | Continuously compounded financing rate. |
dividend_yield |
query | number | no | Continuous dividend yield. |
Responses
| Status | Meaning | Body |
|---|---|---|
| 200 | Successful Response | TermStructureResponse |
Also the shared errors: 400, 401, 404, 405, 422, 500, 501, 503.