Bloomberg Buyside Enterprise Solutions Derivatives API
Derivatives pricing, Greeks, and valuation models
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OpenAPI Specification
openapi: 3.2.0
info:
title: Bloomberg Buyside Enterprise Solutions Bloomberg Analytics Allocations Derivatives API
description: Access to Bloomberg's analytics engine for fixed income, derivatives, and multi-asset calculations including scenario analysis, stress testing, yield curve construction, and pricing models. Part of Bloomberg's buy-side enterprise solutions for institutional investors.
version: '1.0'
contact:
name: Bloomberg Support
url: https://www.bloomberg.com/professional/support/
termsOfService: https://www.bloomberg.com/professional/terms-of-use/
servers:
- url: https://api.bloomberg.com/analytics
description: Bloomberg Analytics API Production
security:
- bearerAuth: []
tags:
- name: Derivatives
description: Derivatives pricing, Greeks, and valuation models
paths:
/v1/derivatives/price:
post:
operationId: priceDerivative
summary: Bloomberg Buyside Enterprise Solutions Price a derivative instrument
description: Calculate the theoretical price and Greeks for derivative instruments including options, futures, swaps, and structured products using Bloomberg's pricing models.
tags:
- Derivatives
requestBody:
required: true
content:
application/json:
schema:
$ref: '#/components/schemas/DerivativePricingRequest'
responses:
'200':
description: Derivative pricing results
content:
application/json:
schema:
$ref: '#/components/schemas/DerivativePricingResponse'
'400':
description: Invalid request parameters
content:
application/json:
schema:
$ref: '#/components/schemas/ErrorResponse'
'401':
description: Unauthorized
'403':
description: Forbidden - insufficient analytics entitlements
/v1/derivatives/greeks:
post:
operationId: calculateGreeks
summary: Bloomberg Buyside Enterprise Solutions Calculate option Greeks
description: Compute option Greeks (delta, gamma, theta, vega, rho) for one or more options or option portfolios.
tags:
- Derivatives
requestBody:
required: true
content:
application/json:
schema:
type: object
required:
- securities
properties:
securities:
type: array
items:
type: string
description: List of option security identifiers
minItems: 1
maxItems: 50
pricingDate:
type: string
format: date
description: Pricing date for Greeks calculation
volatilitySurface:
type: string
description: Volatility surface identifier to use
responses:
'200':
description: Greeks calculation results
content:
application/json:
schema:
$ref: '#/components/schemas/GreeksResponse'
'400':
description: Invalid request
content:
application/json:
schema:
$ref: '#/components/schemas/ErrorResponse'
'401':
description: Unauthorized
components:
schemas:
DerivativePricingRequest:
type: object
required:
- securities
properties:
securities:
type: array
items:
type: string
description: List of derivative security identifiers
minItems: 1
maxItems: 25
pricingDate:
type: string
format: date
description: Pricing date
pricingModel:
type: string
enum:
- BLACK_SCHOLES
- BINOMIAL
- MONTE_CARLO
- BLACK76
- BACHELIER
- HJM
description: Pricing model to use
volatilitySurface:
type: string
description: Volatility surface identifier
underlyingPriceOverride:
type: number
description: Override underlying asset price
volatilityOverride:
type: number
description: Override implied volatility
riskFreeRateOverride:
type: number
description: Override risk-free rate
GreeksResponse:
type: object
properties:
results:
type: array
items:
type: object
properties:
security:
type: string
delta:
type: number
gamma:
type: number
theta:
type: number
vega:
type: number
rho:
type: number
charm:
type: number
description: Rate of change of delta over time
vanna:
type: number
description: Sensitivity of delta to volatility
volga:
type: number
description: Sensitivity of vega to volatility
ErrorResponse:
type: object
properties:
error:
type: object
properties:
code:
type: string
message:
type: string
details:
type: array
items:
type: object
properties:
field:
type: string
message:
type: string
DerivativePricingResponse:
type: object
properties:
results:
type: array
items:
type: object
properties:
security:
type: string
theoreticalPrice:
type: number
description: Theoretical price from the model
marketPrice:
type: number
description: Current market price
impliedVolatility:
type: number
description: Implied volatility
delta:
type: number
description: Delta
gamma:
type: number
description: Gamma
theta:
type: number
description: Theta (daily)
vega:
type: number
description: Vega
rho:
type: number
description: Rho
pricingModel:
type: string
description: Model used for pricing
securitySchemes:
bearerAuth:
type: http
scheme: bearer
bearerFormat: JWT
description: Bloomberg API bearer token obtained via OAuth 2.0 authentication
externalDocs:
description: Bloomberg Analytics Documentation
url: https://www.bloomberg.com/professional/product/analytics/