OK, that was may fault, sorry about that. I didn't tell you that not only IR yield, divyield and vol were assumed to be flat but, in addition, divyield was zero. In that case it seems to be quite obvious that a spot and a forward start option have the same price.
Rgds
Frank
-------- Original-Nachricht --------
> Datum: Thu, 29 Nov 2007 10:46:16 +0100
> Von: "Frank Hövermann" <
[hidden email]>
> An:
[hidden email]
> Betreff: [Quantlib-dev] Question regarding ForwardEngine
> Hi there!
> If I set up a pricing for a spot and an identically equipped forward
> starting plain vanilla option with flat IR yield curve, divyield and vol, the
> price difference is marginal even if I push up rates or extend the time until
> the forward starting option gets spot starting. Looking at the code, I
> can't find a proper discounting of the option's spot price on the date on
> which it gets struck to present time.
>
> In the same spirit, instead of the spot the forward value of the
> underlying should be taken as the strike's reference of a forward starting option.
>
> Do you agree?
>
> Regards
> Frank
> --
> Psssst! Schon vom neuen GMX MultiMessenger gehört?
> Der kann`s mit allen:
http://www.gmx.net/de/go/multimessenger>
> -------------------------------------------------------------------------
> SF.Net email is sponsored by: The Future of Linux Business White Paper
> >from Novell. From the desktop to the data center, Linux is going
> mainstream. Let it simplify your IT future.
>
http://altfarm.mediaplex.com/ad/ck/8857-50307-18918-4> _______________________________________________
> QuantLib-dev mailing list
>
[hidden email]
>
https://lists.sourceforge.net/lists/listinfo/quantlib-dev--
Psssst! Schon vom neuen GMX MultiMessenger gehört?
Der kann`s mit allen:
http://www.gmx.net/de/go/multimessenger-------------------------------------------------------------------------
SF.Net email is sponsored by: The Future of Linux Business White Paper
from Novell. From the desktop to the data center, Linux is going
mainstream. Let it simplify your IT future.
http://altfarm.mediaplex.com/ad/ck/8857-50307-18918-4_______________________________________________
QuantLib-dev mailing list
[hidden email]
https://lists.sourceforge.net/lists/listinfo/quantlib-dev
Locked
