CliquetOptionPricer Class Reference#include <ql/Pricers/cliquetoption.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.
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Public Member Functions |
| CliquetOptionPricer (Option::Type type, double underlying, double moneyness, const std::vector< Spread > ÷ndYield, const std::vector< Rate > &riskFreeRate, const std::vector< Time > ×, const std::vector< double > &volatility) |
double | value () const |
double | delta () const |
double | gamma () const |
double | theta () const |
double | vega () const |
double | rho () const |
double | dividendRho () const |
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