QuantLib_CliquetOption man page
CliquetOption — cliquet (Ratchet) option
Arguments for cliquet option calculation
Cliquet engine base class.
Public Member Functions
CliquetOption (const boost::shared_ptr< PercentageStrikePayoff > &, const boost::shared_ptr< EuropeanExercise > &maturity, const std::vector< Date > &resetDates)
void setupArguments (PricingEngine::arguments *) const
Additional Inherited Members
cliquet (Ratchet) option
A cliquet option, also known as Ratchet option, is a series of forward-starting (a.k.a. deferred strike) options where the strike for each forward start option is set equal to a fixed percentage of the spot price at the beginning of each period.
Member Function Documentation
void setupArguments (PricingEngine::arguments *) const [virtual]
When a derived argument structure is defined for an instrument, this method should be overridden to fill it. This is mandatory in case a pricing engine is used.
Reimplemented from Instrument.
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CliquetOption(3) is an alias of QuantLib_CliquetOption(3).