PROGRAM s30nafe

!      S30NAF Example Program Text

!      Mark 23 Release. NAG Copyright 2011.

!      .. Use Statements ..
       USE nag_library, ONLY : nag_wp, s30naf
!      .. Implicit None Statement ..
       IMPLICIT NONE
!      .. Parameters ..
       INTEGER, PARAMETER              :: nin = 5, nout = 6
!      .. Local Scalars ..
       REAL (KIND=nag_wp)              :: corr, eta, grisk, kappa, q, r, s,    &
                                          sigmav, var0
       INTEGER                         :: i, ifail, j, ldp, m, n
       CHARACTER (1)                   :: calput
!      .. Local Arrays ..
       REAL (KIND=nag_wp), ALLOCATABLE :: p(:,:), t(:), x(:)
!      .. Executable Statements ..
       WRITE (nout,*) 'S30NAF Example Program Results'

!      Skip heading in data file
       READ (nin,*)

       READ (nin,*) calput
       READ (nin,*) s, r, q
       READ (nin,*) kappa, eta, var0, sigmav, corr, grisk
       READ (nin,*) m, n

       ldp = m
       ALLOCATE (p(ldp,n),t(n),x(m))

       READ (nin,*) (x(i),i=1,m)
       READ (nin,*) (t(i),i=1,n)

       ifail = 0
       CALL s30naf(calput,m,n,x,s,t,sigmav,kappa,corr,var0,eta,grisk,r,q,p, &
          ldp,ifail)

       WRITE (nout,*)
       WRITE (nout,*) 'Heston''s Stochastic volatility Model'

       SELECT CASE (calput)
       CASE ('C','c')
          WRITE (nout,*) 'European Call :'
       CASE ('P','p')
          WRITE (nout,*) 'European Put :'
       END SELECT

       WRITE (nout,99998) '  Spot                   = ', s
       WRITE (nout,99998) '  Volatility of vol      = ', sigmav
       WRITE (nout,99998) '  Mean reversion         = ', kappa
       WRITE (nout,99998) '  Correlation            = ', corr
       WRITE (nout,99998) '  Variance               = ', var0
       WRITE (nout,99998) '  Mean of variance       = ', eta
       WRITE (nout,99998) '  Risk aversion          = ', grisk
       WRITE (nout,99998) '  Rate                   = ', r
       WRITE (nout,99998) '  Dividend               = ', q

       WRITE (nout,*)
       WRITE (nout,*) '   Strike    Expiry    Option Price'

       DO i = 1, m

          DO j = 1, n
             WRITE (nout,99999) x(i), t(j), p(i,j)
          END DO

       END DO

99999  FORMAT (1X,2(F9.4,1X),6X,F9.4)
99998  FORMAT (A,1X,F8.4)
    END PROGRAM s30nafe