CliquetOption Class Reference

cliquet (Ratchet) option More...

#include <ql/instruments/cliquetoption.hpp>

Inheritance diagram for CliquetOption:

List of all members.

Classes

class  arguments
 Arguments for cliquet option calculation More...
class  engine
 Cliquet engine base class. More...

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.