Bachelier
financepy.models.bachelier
Classes
Bachelier
Bachelier(volatility: float)
Bachelier's Model which prices call and put options in the forward
measure assuming the underlying rate follows a normal process.
Methods
value
value(self, forward_rate: float, strike_rate: float, time_to_expiry: float, df: float, call_or_put: financepy.utils.global_types.OptionTypes) -> float
Price a call or put option using Bachelier's model.
Generated automatically from the FinancePy source code.
Do not edit this file manually.