Cliquet Option


Cliquet Option is a direct subtype of Exotic Option
aaaaaaaa aaaaaaaa aaaaaaaa aaaaaaaa aaaaaaaa aaaaaaaa aaaaaaaa aaaaaaaa aaaaaaaa aaaaaaaa aaaaaaaa aaaaaaaa aaaaaaaa aaaaaaaa aaaaaaaa aaaaaaaa
with functions Cliquet Option Functions, keys Cliquet Option keys and example object CliqOpt

TYPE INCLUSION RELATIONSHIPS

Exotic Option

Cliquet Option

</defs>

AVAILABLE FUNCTIONS

Create

</defs>

AVAILABLE CREATE FUNCTION KEYS

Fwd Start

Moneyness

Performance Linked

</defs>

TYPICAL OBJECTS OF TYPE Cliquet Option

CliqOpt

</defs>

This type represents a series of consecutive Fwd Start Option contracts sharing the same Moneyness
The strike of each option is not known in advance. It is rather set on the expiry date of the previous option so that it equals the underlying price on that date, multiplied by a fixed factor called "moneyness".

The following features are currently not supported by QuantLib:
American and Bermudan exercise style, barriers, discrete dividends/storage costs.

The pricing methodology is specified in Model[Cliquet Option]