Window barrier options are extensions of American barrier options. The difference being that window barriers are active only for a subsection of the life of the option. The two main window barrier variations are front-window barriers (barriers active from the horizon until a specified date prior to expiry) and rear-window barriers (barriers active from a specified date after the horizon until expiry).
Front-window barrier options, also called early ending barriers, have a vanilla payoff at expiry plus single (one) or double (two) American barriers that are active from the horizon but cease to be active on the barrier end date. The barrier end date occurs prior to the expiry date and the window barriers are either all knock-out or all knock-in. Exhibit 26.1 shows a typical front-window double knock-out barrier contract.
Within a front-window knock-out barrier option:
Example: GBP/USD 1yr 1.6000 GBP call/USD put with front-window knock-out barriers for the first month at 1.5500 and 1.6000. With GBP/USD spot at 1.5865, ...