[Quantlib-dev] Question regarding ForwardEngine

[<fho...@gm...>]

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
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