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

[Luigi B. <lui...@gm...>]

That's just for swaptions, unfortunately.  There's no Bachelier version of
the AnalyticEuropeanEngine for options.

Luigi


On Wed, Aug 23, 2023 at 1:26 PM Ben Watson <ben...@ma...>
wrote:

> 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
>> _______________________________________________
>> QuantLib-users mailing list
>> Qua...@li...
>> https://lists.sourceforge.net/lists/listinfo/quantlib-users
>>
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