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    %% Compute Gap Option Prices and Sensitivities Using the Black-Scholes Option Pricing Model
% This example shows how to compute gap option prices and sensitivities
% using the Black-Scholes option pricing model. Consider a gap call and put
% options on a nondividend paying stock with a strike of 57 and expiring on
% January 1, 2008. On July 1, 2008 the stock is trading at 50. Using this
% data, compute the price and sensitivity of the option if the risk-free
% rate is 9%, the strike threshold is 50, and the volatility is 20%.
%%

% Copyright 2015 The MathWorks, Inc.

Settle = 'Jan-1-2008';
Maturity = 'Jul-1-2008';
Compounding = -1; 
Rates = 0.09;
%create the RateSpec
RateSpec = intenvset('ValuationDate', Settle, 'StartDates', Settle,...
'EndDates', Maturity, 'Rates', Rates, 'Compounding', Compounding, 'Basis', 1);
% define the StockSpec
AssetPrice = 50;
Sigma = .2;
StockSpec = stockspec(Sigma, AssetPrice);
% define the call and put options
OptSpec = {'call'; 'put'};
Strike = 57;
StrikeThreshold = 50;
% compute the price
Pgap = gapbybls(RateSpec, StockSpec, Settle, Maturity, OptSpec,...
Strike, StrikeThreshold)
% compute the gamma and delta
OutSpec = {'gamma'; 'delta'};
[Gamma ,Delta] = gapsensbybls(RateSpec, StockSpec, Settle, Maturity,... 
OptSpec, Strike, StrikeThreshold, 'OutSpec', OutSpec)