/* nag_amer_bs_price (s30qcc) Example Program.
 *
 * Copyright 2009, Numerical Algorithms Group.
 *
 * Mark 9, 2009.
 */
#include <stdio.h>
#include <math.h>
#include <string.h>
#include <nag.h>
#include <nag_stdlib.h>
#include <nags.h>

int main(void)
{
  /*Integer scalar and array declarations */
  Integer       exit_status = 0;
  Integer       i, j, m, n;
  NagError      fail;
  Nag_CallPut   putnum;
  /*Double scalar and array declarations */
  double        q, r, s, sigma;
  double        *p = 0, *t = 0, *x = 0;
  /*Character scalar and array declarations */
  char          put[8+1];
  Nag_OrderType order;

  INIT_FAIL(fail);

  printf("nag_amer_bs_price (s30qcc) Example Program Results\n");
  /*     Skip heading in data file*/
  scanf("%*[^\n] ");
  /*     Read put*/
  scanf("%s%*[^\n] ", put);
  /*
   * nag_enum_name_to_value (x04nac).
   * Converts NAG enum member name to value
   */
  putnum = (Nag_CallPut) nag_enum_name_to_value(put);
  /*     Read sigma, r*/
  scanf("%lf%lf%lf%lf%*[^\n] ", &s, &sigma, &r, &q);
  /*     Read m, n*/
  scanf("%ld%ld%*[^\n] ", &m, &n);
    #ifdef NAG_COLUMN_MAJOR
    #define P(I, J) p[(J-1)*m + I-1]
  order = Nag_ColMajor;
    #else
    #define P(I, J) p[(I-1)*n + J-1]
  order = Nag_RowMajor;
    #endif
  if (
    !(p = NAG_ALLOC(m*n, double)) ||
    !(t = NAG_ALLOC(n, double)) ||
    !(x = NAG_ALLOC(m, double)))
    {
      printf("Allocation failure\n");
      exit_status = -1;
      goto END;
    }
  /* Read array of strike/exercise prices, X*/
  for (i = 0; i < m; i++)
    scanf("%lf ", &x[i]);
  scanf("%*[^\n] ");
  for (i = 0; i < n; i++)
    scanf("%lf ", &t[i]);
  scanf("%*[^\n] ");
  /*
   * nag_amer_bs_price (s30qcc)
   * American option: Bjerksund and Stensland pricing formula
   */
  nag_amer_bs_price(order, putnum, m, n, x, s, t, sigma, r, q, p,
                    &fail);
  if (fail.code != NE_NOERROR)
    {
      printf("Error from nag_amer_bs_price (s30qcc).\n%s\n",
              fail.message);
      exit_status = 1;
      goto END;
    }
  if (putnum == Nag_Call)
    {
      printf("%s\n\n", "American Call :");
    }
  else if (putnum == Nag_Put)
    {
      printf("%s\n\n", "American Put :");
    }
  printf("%s%8.4f\n", "  Spot       = ", s);
  printf("%s%8.4f\n", "  Volatility = ", sigma);
  printf("%s%8.4f\n", "  Rate       = ", r);
  printf("%s%8.4f\n", "  Dividend   = ", q);
  printf("\n");
  printf("%s\n", "    Strike    Expiry   Option Price");
  for (i = 1; i <= m; i++)
    {
      for (j = 1; j <= n; j++)
        printf(" %9.4f %9.4f %11.4f\n", x[i-1], t[j-1], P(i, j));
    }

 END:
  if (p) NAG_FREE(p);
  if (t) NAG_FREE(t);
  if (x) NAG_FREE(x);

  return exit_status;
}