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    %% Compute Sensitivities for Barrier and Lookback Instruments Using a crrtree  

% Copyright 2015 The MathWorks, Inc.


%% 
% Load the CRR tree and instruments from the data file |deriv.mat|. Compute
% the |Delta| and |Gamma| sensitivities of the barrier and lookback options
% contained in the instrument set.  
load deriv.mat; 
CRRSubSet = instselect(CRRInstSet,'Type', ... 
{'Barrier', 'Lookback'}); 

instdisp(CRRSubSet)  

%% 
% Obtain the |Delta| and |Gamma| for the barrier and lookback options contained
% in the instrument set. 
[Delta, Gamma] = crrsens(CRRTree, CRRSubSet)