QuantLib_CliquetOption man page

CliquetOption — cliquet (Ratchet) option  


#include <ql/instruments/cliquetoption.hpp>

Inherits OneAssetOption.


class arguments
Arguments for cliquet option calculation
class engine
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

Detailed Description

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.


Generated automatically by Doxygen for QuantLib from the source code.

Referenced By

The man page CliquetOption(3) is an alias of QuantLib_CliquetOption(3).

Mon Apr 30 2018 Version 1.12.1 QuantLib