CliquetOption Class Reference
[Financial instruments]

#include <ql/Instruments/cliquetoption.hpp>

Inheritance diagram for CliquetOption:

Inheritance graph
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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


Public Member Functions

 CliquetOption (const boost::shared_ptr< BlackScholesProcess > &, 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 (Arguments *) const


Member Function Documentation

void setupArguments 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 OneAssetStrikedOption.


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