cliquet option with global floor and local cap + VolSwap valuation

[florianAIM]

Hello M. O'Kane,

Is it possible to add function to valuate cliquet option with global floor and local cap on equity index ? but also functions to valuate Volatility Swap for equity, commo and fx ?

thanks for your answer

[domokane]

Hi - OK. I will look at this. Can you provide me with the full details.

[florianAIM]

For the cliquet :

• Option style: European
• Option type: Call
• Maturity :1y
• Reset: monthly
• Currency: USD or EUR
• Underlying: Equity index

•   Payoff : 
  

For the VolSwaps :

• Plain vanilla VolSwap with or without cap at x2.5