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<a class="el" href="namespace_quant_lib.html">QuantLib</a>::<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::OneAssetOption" --><code>#include <ql/instruments/cliquetoption.hpp></code>
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Inheritance diagram for CliquetOption:</div>
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<area shape="rect" href="class_quant_lib_1_1_one_asset_option.html" title="Base class for options on a single asset." alt="" coords="5,7,131,33"></map>
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<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#_todo000010">Possible enhancements:</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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<tr><td></td></tr>
<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="14988ea07051e642fa62d73c4ff3fed9"></a><!-- doxytag: member="QuantLib::CliquetOption::CliquetOption" ref="14988ea07051e642fa62d73c4ff3fed9" args="(const boost::shared_ptr< PercentageStrikePayoff > &, const boost::shared_ptr< EuropeanExercise > &maturity, const std::vector< Date > &resetDates)" -->
</td><td class="memItemRight" valign="bottom"><b>CliquetOption</b> (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)</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#ad6958108bfaef12bc4ccd6b3d7a7231">setupArguments</a> (PricingEngine::arguments *) 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="ad6958108bfaef12bc4ccd6b3d7a7231"></a><!-- doxytag: member="QuantLib::CliquetOption::setupArguments" ref="ad6958108bfaef12bc4ccd6b3d7a7231" args="(PricingEngine::arguments *) const " -->
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<td class="memname">void setupArguments </td>
<td>(</td>
<td class="paramtype">PricingEngine::arguments * </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 <a class="el" href="class_quant_lib_1_1_cliquet_option_1_1engine.html" title="Cliquet engine base class.">engine</a> is used.
<p>Reimplemented from <a class="el" href="class_quant_lib_1_1_option.html#ad6958108bfaef12bc4ccd6b3d7a7231">Option</a>.</p>
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