/* nag_binary_aon_greeks (s30cdc) Example Program.
 *
 * Copyright 2009, Numerical Algorithms Group.
 *
 * Mark 9, 2009.
 */
/* Pre-processor includes */
#include <stdio.h>
#include <math.h>
#include <string.h>
#include <nag.h>
#include <nagx04.h>
#include <nag_stdlib.h>
#include <nags.h>

int main(int argc, char *argv[])
{
  FILE          *fpin, *fpout;
  /*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        *charm = 0, *colour = 0, *delta = 0, *gamma = 0, *p = 0;
  double        *rho = 0, *rhoq = 0, *speed = 0, *t = 0, *theta = 0;
  double        *vanna = 0, *vega = 0, *vomma = 0, *x = 0, *zomma = 0;
  /*Character scalar and array declarations */
  char          put[8+1];
  Nag_OrderType order;

  INIT_FAIL(fail);

  /* Check for command-line IO options */
  fpin = nag_example_file_io(argc, argv, "-data", NULL);
  fpout = nag_example_file_io(argc, argv, "-results", NULL);

  fprintf(fpout, "nag_binary_aon_greeks (s30cdc) Example Program Results\n");
  fprintf(fpout, "Binary (Digital): Asset-or-Nothing\n\n");
  /*     Skip heading in data file*/
  fscanf(fpin, "%*[^\n] ");
  /*     Read put*/
  fscanf(fpin, "%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 s, sigma, r, q*/
  fscanf(fpin, "%lf%lf%lf%lf%*[^\n] ", &s, &sigma, &r, &q);
  /*     Read m, n*/
  fscanf(fpin, "%ld%ld%*[^\n] ", &m, &n);
    #ifdef NAG_COLUMN_MAJOR
    #define CHARM(I, J)  charm[(J-1)*m + I-1]
    #define COLOUR(I, J) colour[(J-1)*m + I-1]
    #define DELTA(I, J)  delta[(J-1)*m + I-1]
    #define GAMMA(I, J)  gamma[(J-1)*m + I-1]
    #define P(I, J)      p[(J-1)*m + I-1]
    #define RHO(I, J)    rho[(J-1)*m + I-1]
    #define RHOQ(I, J)   rhoq[(J-1)*m + I-1]
    #define SPEED(I, J)  speed[(J-1)*m + I-1]
    #define THETA(I, J)  theta[(J-1)*m + I-1]
    #define VANNA(I, J)  vanna[(J-1)*m + I-1]
    #define VEGA(I, J)   vega[(J-1)*m + I-1]
    #define VOMMA(I, J)  vomma[(J-1)*m + I-1]
    #define ZOMMA(I, J)  zomma[(J-1)*m + I-1]
  order = Nag_ColMajor;
    #else
    #define CHARM(I, J)  charm[(I-1)*n + J-1]
    #define COLOUR(I, J) colour[(I-1)*n + J-1]
    #define DELTA(I, J)  delta[(I-1)*n + J-1]
    #define GAMMA(I, J)  gamma[(I-1)*n + J-1]
    #define P(I, J)      p[(I-1)*n + J-1]
    #define RHO(I, J)    rho[(I-1)*n + J-1]
    #define RHOQ(I, J)   rhoq[(I-1)*n + J-1]
    #define SPEED(I, J)  speed[(I-1)*n + J-1]
    #define THETA(I, J)  theta[(I-1)*n + J-1]
    #define VANNA(I, J)  vanna[(I-1)*n + J-1]
    #define VEGA(I, J)   vega[(I-1)*n + J-1]
    #define VOMMA(I, J)  vomma[(I-1)*n + J-1]
    #define ZOMMA(I, J)  zomma[(I-1)*n + J-1]
  order = Nag_RowMajor;
    #endif
  if (
    !(charm = NAG_ALLOC(m*n, double)) ||
    !(colour = NAG_ALLOC(m*n, double)) ||
    !(delta = NAG_ALLOC(m*n, double)) ||
    !(gamma = NAG_ALLOC(m*n, double)) ||
    !(p = NAG_ALLOC(m*n, double)) ||
    !(rho = NAG_ALLOC(m*n, double)) ||
    !(rhoq = NAG_ALLOC(m*n, double)) ||
    !(speed = NAG_ALLOC(m*n, double)) ||
    !(t = NAG_ALLOC(n, double)) ||
    !(theta = NAG_ALLOC(m*n, double)) ||
    !(vanna = NAG_ALLOC(m*n, double)) ||
    !(vega = NAG_ALLOC(m*n, double)) ||
    !(vomma = NAG_ALLOC(m*n, double)) ||
    !(x = NAG_ALLOC(m, double)) ||
    !(zomma = NAG_ALLOC(m*n, double)))
    {
      fprintf(fpout, "Allocation failure\n");
      exit_status = -1;
      goto END;
    }
  /*     Read array of strike/exercise prices, X*/
  for (i = 0; i < m; i++)
    fscanf(fpin, "%lf ", &x[i]);
  fscanf(fpin, "%*[^\n] ");
  /*     Read array of times to expiry*/
  for (i = 0; i < n; i++)
    fscanf(fpin, "%lf ", &t[i]);
  fscanf(fpin, "%*[^\n] ");
  /*
   * nag_binary_aon_greeks (s30cdc)
   * Binary option: asset-or-nothing pricing formula with Greeks
   */
  nag_binary_aon_greeks(order, putnum, m, n, x, s, t, sigma, r, q, p,
                        delta, gamma, vega, theta, rho, rhoq, vanna, charm,
                        speed, colour, zomma, vomma, &fail);
  if (fail.code != NE_NOERROR)
    {
      fprintf(fpout, "Error from nag_binary_aon_greeks (s30cdc).\n%s\n",
              fail.message);
      exit_status = 1;
      goto END;
    }
  if (putnum == Nag_Call)
    {
      fprintf(fpout, "European Call :\n\n");
    }
  else if (putnum == Nag_Put)
    {
      fprintf(fpout, "European Put :\n\n");
    }
  fprintf(fpout, "%s%8.4f\n", "  Spot       = ", s);
  fprintf(fpout, "%s%8.4f\n", "  Volatility = ", sigma);
  fprintf(fpout, "%s%8.4f\n", "  Rate       = ", r);
  fprintf(fpout, "%s%8.4f\n", "  Dividend   = ", q);
  fprintf(fpout, "\n");
  for (j = 1; j <= n; j++)
    {
      fprintf(fpout, "\n");
      fprintf(fpout, "  Time to Expiry :    %8.4f\n", t[j-1]);
      fprintf(fpout, "   Strike     Price     Delta     Gamma      Vega"
              "     Theta       Rho      Rhoq\n");
      for (i = 1; i <= m; i++)
        fprintf(fpout, "%9.4f %9.4f %9.4f %9.4f %9.4f %9.4f %9.4f %9.4f\n",
                x[i-1], P(i, j), DELTA(i, j), GAMMA(i, j), VEGA(i, j),
                THETA(i, j), RHO(i, j), RHOQ(i, j));
      fprintf(fpout, "                        Vanna     Charm     Speed"
              "    Colour     Zomma     Vomma\n");
      for (i = 1; i <= m; i++)
        fprintf(fpout, "%29.4f %9.4f %9.4f %9.4f %9.4f %9.4f\n", VANNA(i, j),
                CHARM(i, j), SPEED(i, j), COLOUR(i, j), ZOMMA(i, j),
                VOMMA(i, j));
    }

 END:
  if (fpin != stdin) fclose(fpin);
  if (fpout != stdout) fclose(fpout);
  if (charm) NAG_FREE(charm);
  if (colour) NAG_FREE(colour);
  if (delta) NAG_FREE(delta);
  if (gamma) NAG_FREE(gamma);
  if (p) NAG_FREE(p);
  if (rho) NAG_FREE(rho);
  if (rhoq) NAG_FREE(rhoq);
  if (speed) NAG_FREE(speed);
  if (t) NAG_FREE(t);
  if (theta) NAG_FREE(theta);
  if (vanna) NAG_FREE(vanna);
  if (vega) NAG_FREE(vega);
  if (vomma) NAG_FREE(vomma);
  if (x) NAG_FREE(x);
  if (zomma) NAG_FREE(zomma);

  return exit_status;
}