bachelier

financepy.models.bachelier

Class

Bachelier(
    volatility: float,
)

Bachelier's Model which prices call and put options in the forward measure assuming the underlying rate follows a normal process.


value(
    self,
    forward_rate: float,
    strike_rate: float,
    time_to_expiry: float,
    df: float,
    call_or_put: 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.