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