#include <ql/Instruments/cliquetoption.hpp>
Inheritance diagram for CliquetOption:
[legend]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.
- Todo:
- add local/global caps/floors
add accrued coupon and last fixing
Member Function Documentation
void setupArguments |
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Arguments * |
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const [virtual] |
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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 OneAssetStrikedOption. |
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