Program s30nafe ! S30NAF Example Program Text ! Mark 24 Release. NAG Copyright 2012. ! .. 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