Cliquet Option

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