Actant adds Bachelier model for Eurodollar interest rate options

London September 28, 2015

In the current trading environment where risk free interest rates tend to zero or even go below, CME Eurodollar and similar interest rate option products need a pricing model that does not assume that rates are always positive. To address this need, Actant has added the Bachelier model for interest rate options with a slight modification that takes into account the time value of money.

Contact sales@actant.com to find out more about how Actant support interest rate options trading on the CME and elsewhere.