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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

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 hwcalbycap to calibrate market data with the Normal (Bachelier) model to price caplets.

Calibrating Floorlets Using the Normal (Bachelier) Model

This example shows how to use hwcalbyfloor to calibrate market data with the Normal (Bachelier) model to price floorlets.

Concepts

Work with Negative Interest Rates

Financial Instruments Toolbox™ computes prices for caps, floors, swaptions when modeling for negative interest-rates.

Interest-Rate Derivatives Using Closed-Form Solutions

Closed-form solutions for pricing caps and floors using the Black model.