Re: [Quantlib-users] Any constructors of QuantLib-Python for Normal (Bachelier) model process?

[Ben W. <ben...@ma...>]

BachelierSwaptionEngine is on that list

On Wed, 23 Aug 2023, 6:45 pm André de Boer, <are...@gm...> wrote:

> Hi Kenji,
>
> I am not expert on this subject, but have you noticed the website:
> https://quantlib-python-docs.readthedocs.io/en/latest/pricing_engines.html
> .
>
> Regards,
> Andre
>
> On Wed, 23 Aug 2023 at 00:35, forward_rate--- via QuantLib-users <
> qua...@li...> wrote:
>
>> Hi All、
>>
>>
>> I tried to find how to evaluate a listed option of 3m Euribor Futures,
>>
>> such as Call strike 96.00 Expire Sep 19, 2023(Bloomberg ticker: ERU3C 96)
>>
>> using Normal(Bachelier) model.
>>
>>
>> I know the way with lognormal Black model in Python as
>>
>>
>>   Engine = ql.AnalyticEuropenaEngine( ql.BlackProcess(...) )
>>
>>   optionOBJECT.setPricingEngine(Engine)
>>
>>
>> But I cannot find the class of the process of Normal(Bachelier) model.
>>
>>
>> Could you suggest any constructors for Normal(Bachelier) model
>>
>> to evaluate the listed Euribor Futures' option?
>>
>>
>> Thanks - Kenji
>> _______________________________________________
>> QuantLib-users mailing list
>> Qua...@li...
>> https://lists.sourceforge.net/lists/listinfo/quantlib-users
>>
>
>
> --
> Best regards,
> André de Boer
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