cliquetoption (3) - Linux Manuals

cliquetoption: Cliquet option.

NAME

ql/instruments/cliquetoption.hpp - Cliquet option.

SYNOPSIS

#include <ql/instruments/oneassetoption.hpp>
#include <ql/instruments/payoffs.hpp>
#include <ql/time/date.hpp>
#include <vector>

Classes

class CliquetOption
cliquet (Ratchet) option
class arguments
Arguments for cliquet option calculation
class engine
Cliquet engine base class.

Detailed Description

Cliquet option.

Author

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