Model[Cliquet Option]


"Model[Cliquet Option]" is a special type of Model
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with functions Model[Cliquet Option] Functions, keys Model[Cliquet Option] keys and example object CliqOptMdl

TYPE INCLUSION RELATIONSHIPS

Model Exotic Option

Model Cliquet Option

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AVAILABLE FUNCTIONS

Create

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AVAILABLE CREATE FUNCTION KEYS

Pricing Method

Simulation Model

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TYPICAL OBJECTS OF TYPE Model[Cliquet Option]

CliqOptMdl

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This type represents modelling assumptions relating to the type Cliquet Option that may be needed during some valuation algorithm.
The pricing succeeds by any of 3 different methods listed in Pricing Method

The following labels may be assigned to the key Output of the Price function in order for the latter to return the respective quantities.
List of valid values:
Delta
Refers to the output of QuantLib's delta function.


Dividend Rho
Refers to the output of QuantLib's dividendRho function.


Gamma
Refers to the output of QuantLib's gamma function.


Price

The output is a number that represents the price - also known as NPV (Net Present Value) - of the referenced tradable as of the trade date
Note the applicable trade date equals the global trade date, except if overridden by the optional entry As Of
The cash flows occurring on the trade date are included only if Trade Date CFs is set to TRUE


Rho
Refers to the output of QuantLib's rho function.


Theta
Refers to the output of QuantLib's theta function.


Vega
Refers to the output of QuantLib's vega function.



The quantities listed in McSimulation Extra Data are reportable when Monte Carlo Simulation is used.