%% Create an Asian Option Instrument
% Load the example instrument set, deriv.mat, and set the required values for an asian option instrument.

load deriv.mat

%
% Create a subportfolio with barrier and lookback options.

CRRSubSet = instselect(CRRInstSet,'Type',{'Barrier', 'Lookback'});

%
% Define the asian instrument.

OptSpec = 'put';
Strike = NaN;
Settle = '01-Jan-2003';
ExerciseDates = '01-Jan-2004';

%
% Add a floating strike asian option to the instrument set.

InstSet = instasian(CRRSubSet, OptSpec, Strike, Settle, ExerciseDates);
instdisp(InstSet)

% Copyright 2015 The MathWorks, Inc.