%% Compute the Price and Delta of a European Floating Lookback Option Using Monte Carlo Simulation
% Define the RateSpec.

StartDates = 'Jan-1-2013';
EndDates = 'Jan-1-2014';
Rates = 0.41;
Compounding = -1;
RateSpec = intenvset('ValuationDate', StartDates, 'StartDates', StartDates,...
'EndDates', EndDates, 'Rates', Rates,'Compounding', Compounding)

%
% Define the StockSpec with continuous dividend yield.

AssetPrice = 120;
Sigma = 0.3;
Yield = 0.045;
StockSpec = stockspec(Sigma, AssetPrice, 'Continuous', Yield)

%
% Define the floating lookback option.

Settle   = 'Jan-1-2013';
Maturity = 'July-1-2013'; 
OptSpec = 'call';
Strike = NaN;

%
% Compute the price and delta of the European floating lookback option.

OutSpec = {'price', 'delta'};
[Price, Delta] = lookbacksensbyls(RateSpec, StockSpec, OptSpec, Strike, Settle, Maturity,...
'OutSpec', OutSpec)

% Copyright 2015 The MathWorks, Inc.