Expand description
Cliquet (ratchet) options: a strip of forward-start performance periods with local and global caps/floors.
The payoff observes period returns R_i = S_{t_i}/S_{t_{i-1}} - 1
over an equally-spaced reset schedule and pays at maturity
N * clamp( sum_i clamp(R_i, local_floor, local_cap),
global_floor, global_cap )A ratchet is the local_floor = 0 special case: each period
locks in its gain and losses are forgiven. Because the payoff is
built from returns it is spot-homogeneous — the classic product
whose value is all forward smile: under Black-Scholes each
period is an independent lognormal and the price collapses to a
closed form (a strip of forward-start call spreads); under Heston
the forward smile is model-generated and the price genuinely
differs, which is the reason desks price cliquets on stochastic-vol
models.
Engines: Analytical (Black-Scholes closed form; requires no
global cap/floor, which break the per-period independence) and
MonteCarlo (GBM per-period sampling, or full Heston paths when
parameters are supplied). Under homogeneous dynamics the pure
cliquet has zero spot delta; the output reports Monte Carlo
standard errors instead of spot Greeks.
Structs§
- Cliquet
- A cliquet/ratchet option on equally-spaced resets.
- Cliquet
Option Data - JSON contract data (
"product_type": "cliquet_option").
Enums§
- Cliquet
Pricer - Pricing engine choice for a cliquet.
- Cliquet
Style - Payoff family on the reset schedule.