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Normal Model

Calculate price for caps, floors, swaptions for negative rates using Normal (Bachelier) model

Functions

capbynormalPrice caps using Normal or Bachelier pricing model
floorbynormalPrice floors using Normal or Bachelier pricing model
swaptionbynormalPrice swaptions using Normal or Bachelier option pricing model
normalvolbysabrImplied Normal (Bachelier) volatility by SABR model

Examples and How To

Concepts