How do I price a Cliquet Option in QuantLib-Python?

Question

I installed QuantLib-Python 1.18 using pip, and I am able to price various options successfully.

However, the Cliquet Option gives me the following error:

AttributeError: module 'QuantLib' has no attribute 'CliquetOption'

Is this an issue with my installation, or is it the package? If it's the latter, is there a way to easily add only the CliquetOption and the AnalyticCliquetEngine into my package? They both seem to be available in the base QuantLib (non-python) package.

Is there another way to price a Cliquet Option without those modules?

Answer 1

I don't believe the CliquetOption is implemented in the QuantLib python module.

You can: (1) use QuantLib in C++, (2) you can implement the class in the python module yourself and commit it or (3) you can raise the issue on github and maybe someone will pick it up.