/* nag_heston_greeks (s30nbc) Example Program. * * Copyright 2011, Numerical Algorithms Group. * * Mark 23, 2011. */ #include #include #include int main(void) { #ifdef NAG_COLUMN_MAJOR #define K(I, J) (J-1)*pdp + I-1 #else #define K(I, J) (I-1)*pdp + J-1 #endif /* Scalars */ Integer exit_status = 0; double corr, eta, grisk, kappa, q, r, s, sigmav, var0; Integer i, j, pdp, m, n; /* Arrays */ double *charm = 0, *delta = 0, *gamma = 0, *p = 0, *rho = 0, *speed = 0, *t = 0, *theta = 0, *vanna = 0, *vega = 0, *vomma = 0, *x = 0, *zomma = 0; char put[8+1]; /* Nag types */ Nag_OrderType order; Nag_CallPut putnum; NagError fail; INIT_FAIL(fail); printf("nag_heston_greeks (s30nbc) 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 s, r, q */ scanf("%lf%lf%lf%*[^\n] ", &s, &r, &q); /* Read kappa,eta,var0,sigmav,corr,grisk */ scanf("%lf%lf%lf%*[^\n]", &kappa, &eta, &var0); scanf("%lf%lf%lf%*[^\n]", &sigmav, &corr, &grisk); /* Read m, n */ scanf("%ld%ld%*[^\n]", &m, &n); if ( !(charm = 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)) || !(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)) ) { printf("Allocation failure\n"); exit_status = -1; goto END; } #ifdef NAG_COLUMN_MAJOR order = Nag_ColMajor; pdp = m; #else order = Nag_RowMajor; pdp = n; #endif 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_heston_greeks (s30nbc). Heston's model option pricing formula with Greeks */ nag_heston_greeks(order, putnum, m, n, x, s, t, sigmav, kappa, corr, var0, eta, grisk, r, q, p, delta, gamma, vega, theta, rho, vanna, charm, speed, zomma, vomma, &fail); if (fail.code != NE_NOERROR) { printf("Error from nag_heston_greeks(s30nbc).\n%s\n", fail.message); exit_status = 1; goto END; } printf("\nHeston's Stochastic volatility Model\n"); switch (putnum) { case Nag_Call: printf("European Call :\n\n"); break; case Nag_Put: printf("European Put :\n\n"); } printf(" Spot = %10.4f\n", s); printf(" Volatility of vol = %10.4f\n", sigmav); printf(" Mean reversion = %10.4f\n", kappa); printf(" Correlation = %10.4f\n", corr); printf(" Variance = %10.4f\n", var0); printf(" Mean of variance = %10.4f\n", eta); printf(" Risk aversion = %10.4f\n", grisk); printf(" Rate = %10.4f\n", r); printf(" Dividend = %10.4f\n\n", q); for (j = 1; j <= n; j++) { printf("Time to Expiry : %8.4f\n", t[j-1]); printf("%10s%11s%11s%11s%11s%11s%11s\n", "Strike", "Price", "Delta", "Gamma", "Vega", "Theta", "Rho"); for (i = 1; i <= m; i++) printf("%10.4f %10.4f %10.4f %10.4f %10.4f %10.4f %10.4f\n", x[i-1], p[K(i, j)], delta[K(i, j)], gamma[K(i, j)], vega[K(i, j)], theta[K(i, j)], rho[K(i, j)]); printf("%32s%11s%11s%11s%11s\n", "Vanna", "Charm", "Speed", "Zomma", "Vomma"); for (i = 1; i <= m; i++) printf("%21s %10.4f %10.4f %10.4f %10.4f %10.4f\n", "", vanna[K(i, j)], charm[K(i, j)], speed[K(i, j)], zomma[K(i, j)], vomma[K(i, j)]); } END: if (charm) NAG_FREE(charm); if (delta) NAG_FREE(delta); if (gamma) NAG_FREE(gamma); if (p) NAG_FREE(p); if (rho) NAG_FREE(rho); 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; }