Go to Deriscope's documentation start page


"Model[Quanto Forward Start Option]" is a special type of Model that represents all modelling assumptions needed in valuation algorithms concerning objects of type Quanto Forward Start Option.
The pricing succeeds by any of 8 different methods listed in
Quanto Forward Start Option Pricing Methods

The following quantities may be also calculated and reported along the price.
Refers to the output of QuantLib's gamma function.
The output refers to the price of the referenced tradable contract.
Refers to the output of QuantLib's theta function.