#include <qle/instruments/cliquetoption.hpp>

Inheritance diagram for CliquetOption:

Classes
class	arguments

class	engine
	Cliquet engine base class. More...

Public Member Functions
	CliquetOption (const boost::shared_ptr< PercentageStrikePayoff > &payoff, const boost::shared_ptr< EuropeanExercise > &maturity, const std::set< Date > &valuationDates, const Date &paymentDate, const Real notional, const Position::Type &longShort, const Real localCap=Null< Real >(), const Real localFloor=Null< Real >(), const Real globalCap=Null< Real >(), const Real globalFloor=Null< Real >(), const Real premium=Null< Real >(), const Date &premiumPayDate=Date(), const std::string &premiumCurrency="")

bool	isExpired () const override

void	setupArguments (PricingEngine::arguments *) const override

const std::set< Date > &	valuationDates () const

Detailed Description

The payoff on the payment date is given by min( max( sum min( max( S(t) / S(t-1) - moneyness, localFloor ), localCap ), globalFloor), globalCap)

Classes