I am trying to figure out how the value of my strip of interest rate floorlets might change over the next few years. I already have a crude Excel based Monte Carlo simulator that will generate lots of yield curves as it moves through time. I have used it for projecting the market value of a vanilla interest rate swap or a cross currency swap but now I would like to include a series of floorlets in the evaluation. The floor is struck at 0% so BS won't work. I have been trying to implement the Bachelier method shown in this article:
Interest Rate Models and Negative Rates
but my valuations are way off from the strip I priced in Bloomberg. Please, see the attached document for a copy of my work. Does anybody have a simple tutorial of how to implement this pricing method (preferably in Excel)?