Creates a Cliquet Option object.

This function requires the input of a Payoff object key, which must have been produced via a call to PercentageStrike(). This function would have returned a string 'KEY' which is to be passed to the 'payoff' parameter of this function.

Once the object has been constructed, the value of the option can be obtained by executing the PrcObjCliquetOption() function.

This function requires the input of a BlackScholes Process object key, which must have been produced via a call to one of the following functions : GBSProcess(), GBSProcess2(), BS73Process(), BS73Process2(), BlackProcess(), BlackProcess2(), GKProcess() or GKProcess2(). These functions would have returned a string 'KEY' which is to be passed to the 'stochProcess' parameter of this function.

This function requires the input of a payoff object key, which must have been produced via a call to one of the following functions : PlainVanilla(), PercentageStrike(), CashOrNothing(), AssetOrNothingPayoff() or Gap(). These functions would have returned a string 'KEY' which is to be passed to the 'payoff' parameter of this function.

This function requires the input of a exercise object key, which must have been produced via a call to the EuropeanExercise() function.

This function would have returned a string 'KEY' which is to be passed to the 'exercise' parameter of this function.

This function requires the input of an engine object key, which must have been produced via a call to one of the following functions : AnaCliquetEngine() or AnaPerformanceEngine(). These functions would have returned a string 'KEY' which is to be passed to the 'engine' parameter of this function.

This function creates an object and returns a string-key value to represent this created object.
The TAG value of the string-key returned (second part of the key) is : "CLQOPT"

String CTEngineOptions.CliquetOption( _
String Key, _
Long Reload, _
String stochProcess, _
String payoff, _
String exercise, _
Variant reset, _
String engine)

=CT.OPT.CliquetOption(
Excel String Cell Key,
Excel Numeric Cell Reload,
Excel String Cell stochProcess,
Excel String Cell payoff,
Excel String Cell exercise,
XLRange reset,
Excel String Cell engine)

static std::string CliquetOption(
std::string Key,
long Reload,
std::string stochProcess,
std::string payoff,
std::string exercise,
CTRangeDataCPP reset,
std::string engine);

System.String CTEngineOptionsSA.CliquetOption(
System.String Key,
System.Int32 Reload,
System.String stochProcess,
System.String payoff,
System.String exercise,
CTRangeData reset,
System.String engine);

CTQL.CTRangeData CliquetOption_reset;


int[] arrBCliquetOption_reset = {
CTQL.Date.serialNumber("26/7/2005", "dd/mm/yyyy"),
CTQL.Date.serialNumber("2/8/2005", "dd/mm/yyyy"),
CTQL.Date.serialNumber("9/8/2005", "dd/mm/yyyy"),
CTQL.Date.serialNumber("16/8/2005", "dd/mm/yyyy"),
CTQL.Date.serialNumber("23/8/2005", "dd/mm/yyyy"),
CTQL.Date.serialNumber("30/8/2005", "dd/mm/yyyy"),
CTQL.Date.serialNumber("6/9/2005", "dd/mm/yyyy"),
CTQL.Date.serialNumber("13/9/2005", "dd/mm/yyyy")  //  Array Data

};

CTQL.IntVector arrCliquetOption_reset =
new  CTQL.IntVector(arrBCliquetOption_reset);

// Second parameter determines whether the array is a column array (false) or a row array (true)
CliquetOption_reset = new  CTQL.CTRangeData(arrCliquetOption_reset, false);

The C# example below contains all the sub-function calls leading up to this function call. As a result, the example can contain a lot of code.

The VB.NET, J#, C++.NET, Java, Excel VBA, Visual Basic 6 (via COM) and C++ examples below contain function code stubs for the calls leading up to this function call. However, the function call for this function is displayed.
You can easily reproduce the stub functions code from the C# example.