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<b>QuantLib</b>::<a class="el" href="class_quant_lib_1_1_cliquet_option.html">CliquetOption</a></div>
<h1>CliquetOption Class Reference<br>
<small>
[<a class="el" href="group__instruments.html">Financial instruments</a>]</small>
</h1><!-- doxytag: class="QuantLib::CliquetOption" --><!-- doxytag: inherits="QuantLib::OneAssetStrikedOption" --><code>#include <ql/Instruments/cliquetoption.hpp></code>
<p>
Inheritance diagram for CliquetOption:<p><center><img src="class_quant_lib_1_1_cliquet_option__inherit__graph.png" border="0" usemap="#_cliquet_option__inherit__map" alt="Inheritance graph"></center>
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<center><font size="2">[<a href="graph_legend.html">legend</a>]</font></center><a href="class_quant_lib_1_1_cliquet_option-members.html">List of all members.</a><hr><a name="_details"></a><h2>Detailed Description</h2>
cliquet (Ratchet) option
<p>
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.<p>
<dl compact><dt><b><a class="el" href="todo.html#_todo000022">Todo:</a></b></dt><dd><ul>
<li>add local/global caps/floors</li><li>add accrued coupon and last fixing</li></ul>
</dd></dl>
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<table border="0" cellpadding="0" cellspacing="0">
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<tr><td colspan="2"><br><h2>Public Member Functions</h2></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="d23db285d89dd723faa14bb05801ec3c"></a><!-- doxytag: member="QuantLib::CliquetOption::CliquetOption" ref="d23db285d89dd723faa14bb05801ec3c" args="(const boost::shared_ptr< StochasticProcess > &, 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 >())" -->
</td><td class="memItemRight" valign="bottom"><b>CliquetOption</b> (const boost::shared_ptr< <a class="el" href="class_quant_lib_1_1_stochastic_process.html">StochasticProcess</a> > &, const boost::shared_ptr< <a class="el" href="class_quant_lib_1_1_percentage_strike_payoff.html">PercentageStrikePayoff</a> > &, const boost::shared_ptr< <a class="el" href="class_quant_lib_1_1_european_exercise.html">EuropeanExercise</a> > &maturity, const std::vector< <a class="el" href="class_quant_lib_1_1_date.html">Date</a> > &resetDates, const boost::shared_ptr< <a class="el" href="class_quant_lib_1_1_pricing_engine.html">PricingEngine</a> > &<a class="el" href="class_quant_lib_1_1_cliquet_option_1_1engine.html">engine</a>=boost::shared_ptr< <a class="el" href="class_quant_lib_1_1_pricing_engine.html">PricingEngine</a> >())</td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top">void </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_cliquet_option.html#5343dd1b4e84eb46141f7e3fdd87eb15">setupArguments</a> (<a class="el" href="class_quant_lib_1_1_arguments.html">Arguments</a> *) const</td></tr>
<tr><td colspan="2"><br><h2>Classes</h2></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top">class </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_cliquet_option_1_1arguments.html">arguments</a></td></tr>
<tr><td class="mdescLeft"> </td><td class="mdescRight">Arguments for cliquet option calculation <a href="class_quant_lib_1_1_cliquet_option_1_1arguments.html#_details">More...</a><br></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top">class </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_cliquet_option_1_1engine.html">engine</a></td></tr>
<tr><td class="mdescLeft"> </td><td class="mdescRight">Cliquet engine base class. <a href="class_quant_lib_1_1_cliquet_option_1_1engine.html#_details">More...</a><br></td></tr>
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<hr><h2>Member Function Documentation</h2>
<a class="anchor" name="5343dd1b4e84eb46141f7e3fdd87eb15"></a><!-- doxytag: member="QuantLib::CliquetOption::setupArguments" ref="5343dd1b4e84eb46141f7e3fdd87eb15" args="(Arguments *) const" -->
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<td class="memname">void setupArguments </td>
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<td class="paramtype"><a class="el" href="class_quant_lib_1_1_arguments.html">Arguments</a> * </td>
<td class="paramname"> </td>
<td> ) </td>
<td width="100%"> const<code> [virtual]</code></td>
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<p>
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.
<p>
Reimplemented from <a class="el" href="class_quant_lib_1_1_one_asset_striked_option.html#5343dd1b4e84eb46141f7e3fdd87eb15">OneAssetStrikedOption</a>.
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