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

StartDates = 'Jan-1-2013';
EndDates = 'Jan-1-2015';
Rates = 0.1;
Compounding = -1;
RateSpec = intenvset('ValuationDate', StartDates, 'StartDates', StartDates,...
'EndDates', EndDates, 'Rates', Rates,'Compounding', Compounding)

%
% Define the StockSpec.

AssetPrice = 103;
Sigma = 0.30;
StockSpec = stockspec(Sigma, AssetPrice)

%
% Define the fixed lookback option.

Settle   = 'Jan-1-2013';
Maturity = 'July-1-2013'; 
OptSpec = 'call';
Strike = 99;

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

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

% Copyright 2015 The MathWorks, Inc.