QuantLib_CliquetOption (3) - Linux Man Pages

QuantLib_CliquetOption: cliquet (Ratchet) option

NAME

QuantLib::CliquetOption - cliquet (Ratchet) option

SYNOPSIS


#include <ql/instruments/cliquetoption.hpp>

Inherits QuantLib::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

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.

Possible enhancements

*
add local/global caps/floors
*
add accrued coupon and last fixing

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 Option.

Author

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