- QuantLib
- CliquetOption
cliquet (Ratchet) option More...
#include <ql/instruments/cliquetoption.hpp>

Classes | |
| class | arguments |
| Arguments for cliquet option calculation More... | |
| class | engine |
| Cliquet engine base class. More... | |
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 |
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.
| 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 Option.