QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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Classes | Namespaces
cliquetoption.hpp File Reference

Cliquet option. More...

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

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Classes

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

Namespaces

namespace  QuantLib
 

Detailed Description

Cliquet option.

Definition in file cliquetoption.hpp.