CliquetOptionPricer Class Reference

#include <ql/Pricers/cliquetoption.hpp>

List of all 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.

In the particular case in which only two dates are given the cliquet option is the same as a forward-starting option starting at the first date and expiring at the second date.


Public Member Functions

 CliquetOptionPricer (Option::Type type, double underlying, double moneyness, const std::vector< Spread > &dividendYield, const std::vector< Rate > &riskFreeRate, const std::vector< Time > &times, const std::vector< double > &volatility)
double value () const
double delta () const
double gamma () const
double theta () const
double vega () const
double rho () const
double dividendRho () const


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