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Normal Model

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

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

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