http://quantlib.414.s1.nabble.com/Re-QuantLib-dev-Digest-Vol-78-Issue-3-tp13587p13589.html
Oh, I see. You had sent this to the mailing list already. I got a
saw yours I mixed them up. Sorry, I made a fool of myself again.
Folks, word of advice: write to the mailing list as Theo did.
> Theo,
> just to check: I'm not sure that the forward option implemented in
> forwardengine.hpp is what you mean as "an option on a forward". What
> it prices is an option whose strike will be fixed at a later time as a
> percentage of the forward price. For instance, when we close the deal
> today we agree that the maturity will be in 9 months, and the strike
> will be 90% of the underlying price in 3 months. Three months from
> today, we observe the underlying price, we calculate the strike
> accordingly, and from that point hence the option is a normal one. Is
> this what you had in mind?
>
> Also, I'd like to post the answer to the mailing list as well, since
> it might be useful to others. Should I remove your name and/or
> address before doing so?
>
> Later,
> Luigi
>
>
> On Thu, Nov 15, 2012 at 11:29 AM, Theo Boafo <
[hidden email]> wrote:
>> Hi,
>>
>> I want to price an European Option on a forward contract, so I can create a
>> forward contract using forward in Instrument ie forward.hpp/forward.cpp and
>> then use black formula to price.
>>
>> What does forwardengine.hpp do as from snippet below, the forwardprocess is
>> constructed using spot,dividendYield and risk free rate, but my forward
>> process is driftless?
>>
>> Basically what I am getting at is I want to price an option on a commodity
>> forward contract.
>>
>> boost::shared_ptr<GeneralizedBlackScholesProcess> fwdProcess(
>> new GeneralizedBlackScholesProcess(spot,
>> dividendYield,
>> riskFreeRate,
>> blackVolatility));
>>
>> Also I dont see the use of blackformula in the unit test.
>>
>> There is a forwardoption in the unit test ie.
>>
>> struct ForwardOptionData {
>> Option::Type type;
>> Real moneyness;
>> Real s; // spot
>> Rate q; // dividend
>> Rate r; // risk-free rate
>> Time start; // time to reset
>> Time t; // time to maturity
>> Volatility v; // volatility
>> Real result; // expected result
>> Real tol; // tolerance
>> };
>>
>>
>> which uses which is using s,q, and r to form forward price and then use
>> blacksholes merton process to price option on forwards, its not
>> using,forward.hpp/forward.cpp and black formula.
>>
>> Regards
>>
>> Theo
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