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For caps and floors pricing engines, I see that QuantLib has both Bachelier and Black versions (BachelierCapFloorEngine and BlackCapFloorEngine). However, for purposes of pricing a floating rate bond, I can only find the BlackIborCouponPricer. Can the Black coupon pricer be used with a normal volatility surface? If not, is there an available coupon pricer that does work with normal vols, similar to the Bachelier cap/floor pricing engine?
The text was updated successfully, but these errors were encountered:
For caps and floors pricing engines, I see that QuantLib has both Bachelier and Black versions (BachelierCapFloorEngine and BlackCapFloorEngine). However, for purposes of pricing a floating rate bond, I can only find the BlackIborCouponPricer. Can the Black coupon pricer be used with a normal volatility surface? If not, is there an available coupon pricer that does work with normal vols, similar to the Bachelier cap/floor pricing engine?
The text was updated successfully, but these errors were encountered: