Deriscope ## The Excel Derivatives Periscope

##### Products

Forward_Start_Option

*Forward 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:

Issue::ForwardStartOption_Payoff_VanillaOnly