/* nag_asian_geom_price (s30sac) Example Program. * * Copyright 2009, Numerical Algorithms Group. * * Mark 9, 2009. */ #include #include #include #include #include #include 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 b, 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_asian_geom_price (s30sac) Example Program Results\n"); printf("Asian Option: Geometric Continuous Average-Rate\n\n"); /* Skip heading in data file */ scanf("%*[^\n] "); /* Read put */ scanf("%8s%*[^\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, &b); /* 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_asian_geom_price (s30sac) * Asian option: geometric continuous average rate pricing formula */ nag_asian_geom_price(order, putnum, m, n, x, s, t, sigma, r, b, p, &fail); if (fail.code != NE_NOERROR) { printf("Error from nag_asian_geom_price (s30sac).\n%s\n", fail.message); exit_status = 1; goto END; } if (putnum == Nag_Call) printf("%s\n\n", "Asian Call :"); else if (putnum == Nag_Put) printf("%s\n\n", "Asian 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", " Cost of carry = ", b); 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: NAG_FREE(p); NAG_FREE(t); NAG_FREE(x); return exit_status; }