quantlib.pricingengines.blackformula.bachelier_black_formula

bachelier_black_formula(OptionType option_type, Real strike, Real forward, Real stdDev, Real discount=1.0)

Black style formula when forward is normal rather than log-normal.

This is essentially the model of Bachelier.

Parameters:

• option_type (str or option.Call/Put)

• strike (float)

• forward (float)

• std_dev (float)

• discount (float)

Warning

Bachelier model needs absolute volatility, not percentage volatility. Standard deviation is absoluteVolatility*sqrt(timeToMaturity)