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CliquetOption Class Reference#include <cliquetoption.hpp>
Detailed Descriptioncliquet (Ratchet) optionA 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.
The documentation for this class was generated from the following files:
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