pfhedge.nn.functional.european_forward_start_payoff

pfhedge.nn.functional.european_forward_start_payoff(input, strike=1.0, start_index=0, end_index=- 1)

Returns the payoff of a European forward start option.

See also

• pfhedge.instruments.EuropeanForwardStartOption

Parameters

• input (torch.Tensor) – The input tensor representing the price trajectory.

• strike (float, default=1.0) – The strike price of the option.

• start_index (int, default=0) – The time index at which the option starts.

• end_index (int, default=-1) – The time index at which the option ends.

Shape:

• input: \((*, T)\) where \(T\) is the number of time steps and \(*\) means any number of additional dimensions.

• output: \((*)\)

Returns

torch.Tensor