Normal Model
The Normal (Bachelier) model assumes that the price of a financial asset follows a normal distribution, which implies that the price can theoretically become negative. Price and analyze interest-rate instruments using a Normal model with the following functions:
Functions
capbynormal | Price caps using Normal or Bachelier pricing model |
floorbynormal | Price floors using Normal or Bachelier pricing model |
swaptionbynormal | Price swaptions using Normal or Bachelier option pricing model |
normalvolbysabr | Implied Normal (Bachelier) volatility by SABR model |
Topics
- Price Swaptions with Negative Strikes Using the Shifted SABR Model
This example shows how to price swaptions with negative strikes by using the Shifted SABR model.
- Calibrating Caplets Using the Normal (Bachelier) Model
This example shows how to use
hwcalbycapto calibrate market data with the Normal (Bachelier) model to price caplets. - Calibrating Floorlets Using the Normal (Bachelier) Model
This example shows how to use
hwcalbyfloorto calibrate market data with the Normal (Bachelier) model to price floorlets. - Work with Negative Interest Rates Using Functions
Financial Instruments Toolbox™ computes prices for caps, floors, swaptions when modeling for negative interest-rates using functions.
- Interest-Rate Derivatives Using Closed-Form Solutions
Closed-form solutions for pricing caps and floors using the Black model.
