QuantLib_CliquetOption man page

CliquetOption — cliquet (Ratchet) option

Synopsis

#include <ql/instruments/cliquetoption.hpp>

Inherits OneAssetOption.

Classes

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.

Author

Generated automatically by Doxygen for QuantLib from the source code.

Referenced By

CliquetOption(3) is an alias of QuantLib_CliquetOption(3).

Fri Sep 23 2016 Version 1.8.1 QuantLib