Model[Fwd Start Option]


"Model[Fwd Start Option]" is a special type of Model
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with functions Model[Fwd Start Option] Functions, keys Model[Fwd Start Option] keys and example object FwdStartOptMdl

TYPE INCLUSION RELATIONSHIPS

Model Exotic Option

Model Fwd Start Option

</defs>

AVAILABLE FUNCTIONS

Create

</defs>

AVAILABLE CREATE FUNCTION KEYS

Pricing Method

</defs>

TYPICAL OBJECTS OF TYPE Model[Fwd Start Option]

FwdStartOptMdl

</defs>

This type represents modelling assumptions relating to the type Fwd Start Option that may be needed during some valuation algorithm.
The pricing succeeds by any of 8 different methods listed in Fwd Start Option Pricing Methods

The following labels may be assigned to the key Output of the Price function in order for the latter to return the respective quantities.
List of valid values:
Gamma
Refers to the output of QuantLib's gamma function.


Price

The output is a number that represents the price - also known as NPV (Net Present Value) - of the referenced tradable as of the trade date
Note the applicable trade date equals the global trade date, except if overridden by the optional entry As Of
The cash flows occurring on the trade date are included only if Trade Date CFs is set to TRUE


Rho
Refers to the output of QuantLib's rho function.


Theta
Refers to the output of QuantLib's theta function.


Vega
Refers to the output of QuantLib's vega function.