CliquetOptionPricer Class Reference

#include <ql/Pricers/cliquetoptionpricer.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.

Deprecated:
use CliquetOption with AnalyticCliquetPricer instead


Public Member Functions

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


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