%% Compute the Price and Sensitivities of an Asian Option Using the Longstaff-Schwartz Model
% Define the RateSpec.

Rates = 0.05;
StartDate = 'Jan-1-2013';
EndDate = 'Jan-1-2014';
RateSpec = intenvset('ValuationDate', StartDate, 'StartDates', StartDate, ...
'EndDates', EndDate,'Compounding', -1, 'Rates', Rates)

%
% Define the StockSpec for the asset.

AssetPrice = 100;
Sigma = 0.2;
StockSpec = stockspec(Sigma, AssetPrice)

%
% Define the Asian 'call' option.

Settle = 'Jan-1-2013';
ExerciseDates = 'Jan-1-2014';
Strike = 110;
OptSpec = 'call';

%
% Compute the price for the European arithmetic average price and sensitivities for the Asian option using the Longstaff-Schwartz model.

NumTrials = 10000;
NumPeriods = 100;
AvgType = 'arithmetic';
Antithetic= true;
OutSpec = {'Price', 'Delta', 'Gamma'};
PriceSens = asiansensbyls(RateSpec, StockSpec, OptSpec, Strike, Settle, ExerciseDates, ...
'NumTrials', NumTrials, 'NumPeriods', NumPeriods,'Antithetic', Antithetic, 'AvgType', ...
AvgType,'OutSpec',OutSpec)

% Copyright 2015 The MathWorks, Inc.