%% Compute Instrument Sensitivities Using an Implied Trinomial Tree (ITT)
% Load the ITT tree and instruments from the data file deriv.mat and display the vanilla options and barrier option instruments.

load deriv.mat 
ITTSubSet = instselect(ITTInstSet,'Type', {'OptStock', 'Barrier'});

instdisp(ITTSubSet)

%
% Compute the Delta and Gamma sensitivities of vanilla options and barrier option contained in the instrument set.

[Delta, Gamma] = ittsens(ITTTree, ITTSubSet)

% Copyright 2015 The MathWorks, Inc.