floorbynormal
Price floors using Normal or Bachelier pricing model
Syntax
Description
[
prices floors using the Normal (Bachelier) pricing model for negative rates.
FloorPrice
,Floorlets
]
= floorbynormal(RateSpec
,Strike
,Settle
,Maturity
,Volatility
)floorbynormal
computes prices of vanilla floors and amortizing floors.
Note
Alternatively, you can use the Floor
object to price floor
instruments. For more information, see Get Started with Workflows Using Object-Based Framework for Pricing Financial Instruments.
[
adds optional name-value pair arguments.FloorPrice
,Floorlets
]
= floorbynormal(___,Name,Value
)