Price floors using Normal or Bachelier pricing model
[
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.
[
adds optional name-value pair arguments.FloorPrice
,Floorlets
]
= floorbynormal(___,Name,Value
)