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Forward_Start_OptionForward Start Option is a Tradable that represents a forward start Vanilla Option contract with vanilla payoff.
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
max[ S(T) - mS(t*) , 0 ]
where S(T) is the underlying value at the exercise time T,
S(t*) is the underlying value at the forward start time t*, when the strike is set and
m is the moneyness, as agreed in the option contract.
The second is the performance payoff given by the formula
max[ S(T)/S(t*) - m , 0 ]
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: