CliquetOption Class Reference
[Financial instruments]
#include <ql/instruments/cliquetoption.hpp>
Inheritance diagram for CliquetOption:

Detailed Description
cliquet (Ratchet) optionA 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.
- Todo:
- add local/global caps/floors
- add accrued coupon and last fixing
Public Member Functions | |
CliquetOption (const boost::shared_ptr< StochasticProcess > &, const boost::shared_ptr< PercentageStrikePayoff > &, const boost::shared_ptr< EuropeanExercise > &maturity, const std::vector< Date > &resetDates, const boost::shared_ptr< PricingEngine > &engine=boost::shared_ptr< PricingEngine >()) | |
void | setupArguments (PricingEngine::arguments *) const |
Classes | |
class | arguments |
Arguments for cliquet option calculation More... | |
class | engine |
Cliquet engine base class. More... |