Bachelier

Subtype of Pricing Method

Assumes that the underlying forward rate F follows the Bachelier process so that it is normally distributed at any future time.
Concretely F is diffused as dF = σdw in its martingale measure.
The QuantLib engine used is the BachelierCapFloor in the interest rate case and the YoYInflationBachelierCapFloor in the inflation case.