Program s30nbfe ! S30NBF Example Program Text ! Mark 24 Release. NAG Copyright 2012. ! .. Use Statements .. Use nag_library, Only: nag_wp, s30nbf ! .. 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 :: charm(:,:), delta(:,:), gamma(:,:), & p(:,:), rho(:,:), speed(:,:), t(:), & theta(:,:), vanna(:,:), vega(:,:), & vomma(:,:), x(:), zomma(:,:) ! .. Executable Statements .. Write (nout,*) 'S30NBF 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 (charm(ldp,n),delta(ldp,n),gamma(ldp,n),p(ldp,n),rho(ldp,n), & speed(ldp,n),t(n),theta(ldp,n),vanna(ldp,n),vega(ldp,n),vomma(ldp,n), & x(m),zomma(ldp,n)) Read (nin,*)(x(i),i=1,m) Read (nin,*)(t(i),i=1,n) ifail = 0 Call s30nbf(calput,m,n,x,s,t,sigmav,kappa,corr,var0,eta,grisk,r,q,p,ldp, & delta,gamma,vega,theta,rho,vanna,charm,speed,zomma,vomma,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,99997) ' Spot = ', s Write (nout,99997) ' Volatility of vol = ', sigmav Write (nout,99997) ' Mean reversion = ', kappa Write (nout,99997) ' Correlation = ', corr Write (nout,99997) ' Variance = ', var0 Write (nout,99997) ' Mean of variance = ', eta Write (nout,99997) ' Risk aversion = ', grisk Write (nout,99997) ' Rate = ', r Write (nout,99997) ' Dividend = ', q Write (nout,*) Do j = 1, n Write (nout,*) Write (nout,99999) t(j) Write (nout,*) & ' Strike Price Delta Gamma Vega ' // & 'Theta Rho' Do i = 1, m Write (nout,99998) x(i), p(i,j), delta(i,j), gamma(i,j), vega(i,j), & theta(i,j), rho(i,j) End Do Write (nout,*) & ' Strike Price Vanna Charm Speed ' // & 'Zomma Vomma' Do i = 1, m Write (nout,99998) x(i), p(i,j), vanna(i,j), charm(i,j), speed(i,j), & zomma(i,j), vomma(i,j) End Do End Do 99999 Format (1X,'Time to Expiry : ',1X,F8.4) 99998 Format (1X,7(F10.4,1X)) 99997 Format (A,1X,F10.4) End Program s30nbfe