Normal Model

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

Price and analyze interest-rate instruments using a Normal (Bachelier) model.

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

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.
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.

How to Price Interest Rate Options with Negative Interest Rates (3 min 05 sec)