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Derivatives Pricer – Scenario from Surface
x402
Derivatives Pricer – Scenario from Surface is a paid API for AI agents from derivatives-pricer-production.up.railway.app, paid per call via x402, $0.15/call, status unknown (last checked 2026-09-15).
Prices a portfolio of European options and computes Black-Scholes Greeks across base and user-defined scenario states using a submitted implied-vol smile surface with total-variance bilinear interpolation.
Price / call$0.15
Success—
StatusUnknown
How this service works
x402-paid Black-Scholes European option pricing, Greeks, IV surfaces, price/scenario on submitted smiles (TV bilinear), portfolio risk, free demo, and MCP. USDC exact on Solana (PayAI) and/or Base (CDP when configured). Receive wallets appear only in HTTP 402, never on free discovery.
Output
Returns a JSON object with a 'book' summary (base value, scenario value, base and scenario aggregate Greeks, delta P&L) and an array of 'legs' detailing per-option base and scenario prices, implied vols, forwards, Greeks, and contributions. Also includes model identifier, sticky convention used, the applied scenario parameters, any warnings, a requestId, timestamp, and surface metadata (point count, tenor count, moneyness count, convention).
Example use cases
Options book P&L scenario analysis
“I'm running a book with two call options and one put, all European, on the same underlying at 5% rate. I have a 9-point implied vol surface in log-moneyness-forward convention. Can you price the whole portfolio in base and also stress it with a +10% spot move and +2 vol points absolute shift using moneyness-sticky interpolation?”
Hedge ratio computation under custom smile
“I need delta and vega for a 6-month 105-strike call on a forward of 100 using my own submitted smile surface — interpolate with total-variance bilinear under the moneyness-sticky convention at a 4% risk-free rate and zero dividend yield, then tell me how the Greeks shift if spot drops 5%.”
Volatility surface scenario for risk report
“For our weekly risk report, run a base pricing and a scenario shock of -15% spot and +5 vol points (relative) on our three-leg options portfolio using the IV surface I'm submitting in log-moneyness-forward format — sticky-strike convention, 5% rate, 2% dividend yield, bilinear total-variance interpolation.”
Technical details
Endpoint
POSThttps://derivatives-pricer-production.up.railway.app/v1/option/scenario-from-surfaceWhen to prefer
Use this endpoint when you have your own implied volatility surface (as a grid of log-moneyness-forward points) and want to price a portfolio of European options under both current market conditions and a user-defined scenario shock (spot, vol, rate, time). It is the right choice when you need scenario P&L, full Black-Scholes Greeks in base and stressed states, and per-leg attribution — all in a single call. Prefer sibling endpoints for simpler single-option pricing with direct sigma input (no surface needed) or for implied volatility extraction only.
Side effects
- Invalid or insufficient surface points (fewer than minItems, or non-monotone tenors/strikes) cause a 400 validation error
- Options or positions arrays outside 1–50 item bounds return a 422 schema rejection
- Missing required surface convention or interpolation fields cause a 400 error
- Payment not provided or insufficient USDC triggers an HTTP 402 with wallet address for payment
- Scenario producing extreme extrapolation beyond surface boundary may yield warnings array entries but still return a result
- Malformed option definitions (missing expiry, strike, type) cause a 400 parse error
Input
Schema · Request body
| Field | Type | Description |
|---|---|---|
| rate | number | |
| sticky | string | |
| options | array | |
| surface | array | |
| scenario | object | |
| wingRule | string | |
| positions | array | |
| dividendYield | number | |
| interpolation | string | |
| surfaceConvention | string |
Output
Schema · Response
{
"type": "json",
"example": {
"book": {
"valueBase": 10.45057562,
"deltaValue": 7.36197848,
"greeksBase": {
"rho": 53.23248343,
"vega": 37.52403469,
"delta": 0.63683059,
"gamma": 0.01876202,
"theta": -6.41402764
},
"greeksNote": "Greeks are analytic BS Greeks at sticky/scenario σ — NOT full smile-recalibrated bump deltas",
"valueScenario": 17.8125541,
"greeksScenario": {
"rho": 69.26443492,
"vega": 31.55892407,
"delta": 0.79160899,
"gamma": 0.01273721,
"theta": -6.69435438
}
},
"legs": [
{
"base": {
"k": 0,
"price": 10.45057562,
"greeks": {
"rho": 53.23248343,
"vega": 37.52403469,
"delta": 0.63683059,
"gamma": 0.01876202,
"theta": -6.41402764
},
"forward": 100,
"impliedVol": 0.2,
"underlying": 100,
"contribution": 10.45057562,
"timeToExpiry": 1
},
"index": 0,
"strike": 100,
"quantity": 1,
"scenario": {
"k": -0.09531018,
"price": 17.8125541,
"greeks": {
"rho": 69.26443492,
"vega": 31.55892407,
"delta": 0.79160899,
"gamma": 0.01273721,
"theta": -6.69435438
},
"forward": 110,
"impliedVol": 0.20476824,
"underlying": 110,
"contribution": 17.8125541,
"timeToExpiry": 1
},
"deltaValue": 7.36197848,
"optionType": "call"
}
],
"model": "black-scholes-merton+surface-tv-bilinear",
"sticky": "moneyness",
"scenario": {
"rateBp": 0,
"volAbs": 0,
"volRel": 0,
"timeDays": 0,
"smileTwist": 0,
"rateScenario": 0.05,
"underlyingRel": 0.1
},
"warnings": [],
"requestId": "00000000-0000-4000-8000-000000000007",
"computedAt": "2026-01-01T00:00:00.000Z",
"optionStyle": "european",
"surfaceMeta": {
"kCount": 3,
"tCount": 3,
"convention": "log_moneyness_forward",
"pointCount": 9
}
}
}Tags
x402
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