QuantLib_CliquetOption (3) - Linux Manuals
QuantLib_CliquetOption: cliquet (Ratchet) option
QuantLib::CliquetOption - cliquet (Ratchet) option
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.
- 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.
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