Forward_Start_Option

The effective strike is set to a preagreed percentage - called moneyness - of the underlying price quoted at some fixed future date.

This is equivalent to having a forward start option, the strike of which is set at the future date when the forward option starts.

There exist 2 payoff variations compatible with this setting:

The first is the vanilla payoff given by the formula

where

The second is the performance payoff given by the formula

The following features are currently not supported by QuantLib:

Bermudan exercise style, discrete dividends/storage costs.

The pricing methodology is specified in Model[Forward Start Option]

The following QuantLib issues have been identified:

Issue::ForwardStartOption_Payoff_VanillaOnly