```/* nag_pde_bs_1d_means (d03nec) Example Program.
*
* Copyright 2017 Numerical Algorithms Group.
*
* Mark 26.2, 2017.
*/

#include <stdio.h>
#include <string.h>
#include <math.h>
#include <nag.h>
#include <nag_stdlib.h>
#include <nagd03.h>

#define F(I, J)      f[ns*((J) -1)+(I) -1]
#define THETA(I, J)  theta[ns*((J) -1)+(I) -1]
#define DELTA(I, J)  delta[ns*((J) -1)+(I) -1]
#define GAMMA(I, J)  gamma[ns*((J) -1)+(I) -1]
#define LAMBDA(I, J) lambda[ns*((J) -1)+(I) -1]
#define RHO(I, J)    rho[ns*((J) -1)+(I) -1]

int main(void)
{
double ds, dt, tmat, x;
Integer i, igreek, j, ns, nt, ntd, exit_status = 0;
double *delta = 0, *f = 0, *gamma = 0, *lambda = 0, q[3], ra[3],
*rho = 0, *s = 0;
double siga[3], *t = 0, *theta = 0, *td = 0, *rd = 0, *sigd = 0,
smin, smax, tmin, tmax;
Nag_Boolean gprnt[5] = { Nag_TRUE, Nag_TRUE, Nag_TRUE, Nag_TRUE, Nag_TRUE };
Nag_Boolean tdpar[3];
const char *gname[5] = { "Theta", "Delta", "Gamma", "Lambda", "Rho" };
NagError fail;

INIT_FAIL(fail);

printf("nag_pde_bs_1d_means (d03nec) Example Program Results\n\n");

/* Skip heading in data file */
scanf("%*[^\n] ");

scanf("%lf", &x);
scanf("%lf", &tmat);
scanf("%" NAG_IFMT "%" NAG_IFMT "", &ns, &nt);
scanf("%lf%lf", &smin, &smax);
scanf("%lf%lf", &tmin, &tmax);
scanf("%" NAG_IFMT "", &ntd);

/* Allocate memory */
if (!(s = NAG_ALLOC(ns, double)) ||
!(t = NAG_ALLOC(nt, double)) ||
!(f = NAG_ALLOC(ns * nt, double)) ||
!(theta = NAG_ALLOC(ns * nt, double)) ||
!(delta = NAG_ALLOC(ns * nt, double)) ||
!(gamma = NAG_ALLOC(ns * nt, double)) ||
!(lambda = NAG_ALLOC(ns * nt, double)) ||
!(rho = NAG_ALLOC(ns * nt, double)) ||
!(td = NAG_ALLOC(ntd, double)) ||
!(rd = NAG_ALLOC(ntd, double)) || !(sigd = NAG_ALLOC(ntd, double)))
{
printf("Allocation failure\n");
exit_status = 1;
goto END;
}

/* Read discrete times and data values for r and sigma */
for (i = 0; i < ntd; i++)
scanf("%lf", &td[i]);
for (i = 0; i < ntd; i++)
scanf("%lf", &rd[i]);
for (i = 0; i < ntd; i++)
scanf("%lf", &sigd[i]);

/* Set up input parameters for nag_pde_bs_1d_analytic (d03ndc) */

s[0] = smin;
s[ns - 1] = smax;
t[0] = tmin;
t[nt - 1] = tmax;
tdpar[0] = Nag_TRUE;
tdpar[1] = Nag_FALSE;
tdpar[2] = Nag_TRUE;
q[0] = 0.0;

ds = (s[ns - 1] - s[0]) / (ns - 1.0);
dt = (t[nt - 1] - t[0]) / (nt - 1.0);

/* Loop over times */

for (j = 1; j <= nt; j++) {
t[j - 1] = t[0] + (j - 1) * dt;

/* Find average values of r and sigma */

/* nag_pde_bs_1d_means (d03nec).
* Compute average values for nag_pde_bs_1d_analytic
* (d03ndc)
*/
nag_pde_bs_1d_means(t[j - 1], tmat, ntd, td, rd, ra, &fail);

if (fail.code != NE_NOERROR) {
printf("Error from nag_pde_bs_1d_means (d03nec).\n%s\n", fail.message);
exit_status = 1;
goto END;
}

/* nag_pde_bs_1d_means (d03nec), see above. */
nag_pde_bs_1d_means(t[j - 1], tmat, ntd, td, sigd, siga, &fail);

if (fail.code != NE_NOERROR) {
printf("Error from nag_pde_bs_1d_means (d03nec).\n%s\n", fail.message);
exit_status = 1;
goto END;
}

/* Loop over stock prices */

for (i = 1; i <= ns; i++) {
s[i - 1] = s[0] + (i - 1) * ds;

/* Evaluate analytic solution of Black-Scholes equation */

/* nag_pde_bs_1d_analytic (d03ndc).
* Analytic solution of the Black-Scholes equations
*/
nag_pde_bs_1d_analytic(Nag_AmericanCall, x, s[i - 1], t[j - 1], tmat,
tdpar, ra, q, siga, &F(i, j), &THETA(i, j),
&DELTA(i, j), &GAMMA(i, j), &LAMBDA(i, j),
&RHO(i, j), &fail);

if (fail.code != NE_NOERROR) {
printf("Error from nag_pde_bs_1d_analytic (d03ndc).\n%s\n",
fail.message);
exit_status = 1;
goto END;
}
}
}

/* Output option values */

printf("\n");
printf("Option Values\n");
printf("-------------\n");
printf("%14s  |  %s\n", "Stock Price", "Time to Maturity (months)");
printf("%14s  | ", "");
for (i = 0; i < nt; i++)
printf(" %13.4e", 12.0 * (tmat - t[i]));
printf("\n");
for (i = 0; i < 74; i++)
printf("-");
printf("\n");
for (i = 1; i <= ns; i++) {
printf(" %13.4e  | ", s[i - 1]);
for (j = 1; j <= nt; j++)
printf(" %13.4e", F(i, j));
printf("\n");
}

for (igreek = 0; igreek < 5; igreek++) {
if (!gprnt[igreek])
continue;

printf("\n");
printf("%s\n", gname[igreek]);
for (i = 0; i < (Integer) strlen(gname[igreek]); i++)
printf("-");
printf("\n");
printf("%14s  |  %s\n", "Stock Price", "Time to Maturity (months)");
printf("%14s  | ", "");
for (i = 0; i < nt; i++)
printf(" %13.4e", 12.0 * (tmat - t[i]));
printf("\n");
for (i = 0; i < 74; i++)
printf("-");
printf("\n");

for (i = 1; i <= ns; i++) {
printf(" %13.4e  | ", s[i - 1]);
switch (igreek) {
case 0:
for (j = 1; j <= nt; j++)
printf(" %13.4e", THETA(i, j));
break;
case 1:
for (j = 1; j <= nt; j++)
printf(" %13.4e", DELTA(i, j));
break;
case 2:
for (j = 1; j <= nt; j++)
printf(" %13.4e", GAMMA(i, j));
break;
case 3:
for (j = 1; j <= nt; j++)
printf(" %13.4e", LAMBDA(i, j));
break;
case 4:
for (j = 1; j <= nt; j++)
printf(" %13.4e", RHO(i, j));
break;
default:
break;
}
printf("\n");
}
}

END:
NAG_FREE(s);
NAG_FREE(t);
NAG_FREE(f);
NAG_FREE(theta);
NAG_FREE(delta);
NAG_FREE(gamma);
NAG_FREE(lambda);
NAG_FREE(rho);
NAG_FREE(td);
NAG_FREE(rd);
NAG_FREE(sigd);

return exit_status;
}
```