```/* nag_specfun_opt_asian_geom_greeks (s30sbc) Example Program.
*
* Copyright 2020 Numerical Algorithms Group.
*
* Mark 27.1, 2020.
*/
#include <math.h>
#include <nag.h>
#include <stdio.h>
#include <string.h>

int main(void) {
/* 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 b, r, s, sigma;
double *charm = 0, *colour = 0, *crho = 0, *delta = 0, *gamma = 0;
double *p = 0, *rho = 0, *speed = 0, *t = 0, *theta = 0, *vanna = 0;
double *vega = 0, *vomma = 0, *x = 0, *zomma = 0;
/* Character scalar and array declarations */
char put[8 + 1];
Nag_OrderType order;

INIT_FAIL(fail);

printf(
"nag_specfun_opt_asian_geom_greeks (s30sbc) Example Program Results\n");
printf("Asian Option: Geometric Continuous Average-Rate\n\n");
/* Skip heading in data file */
scanf("%*[^\n] ");
scanf("%8s%*[^\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, b */
scanf("%lf%lf%lf%lf%*[^\n] ", &s, &sigma, &r, &b);
scanf("%" NAG_IFMT "%" NAG_IFMT "%*[^\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 CRHO(I, J) crho[(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 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 CRHO(I, J) crho[(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 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)) ||
!(crho = 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;
}
/* Read array of strike/exercise prices, X */
for (i = 0; i < m; i++)
scanf("%lf ", &x[i]);
scanf("%*[^\n] ");
/* Read array of times to expiry */
for (i = 0; i < n; i++)
scanf("%lf ", &t[i]);
scanf("%*[^\n] ");
/*
* nag_specfun_opt_asian_geom_greeks (s30sbc)
* Asian option: geometric continuous average rate pricing formula
* with Greeks
*/
nag_specfun_opt_asian_geom_greeks(
order, putnum, m, n, x, s, t, sigma, r, b, p, delta, gamma, vega, theta,
rho, crho, vanna, charm, speed, colour, zomma, vomma, &fail);
if (fail.code != NE_NOERROR) {
printf("Error from nag_specfun_opt_asian_geom_greeks (s30sbc).\n%s\n",
fail.message);
exit_status = 1;
goto END;
}
if (putnum == Nag_Call)
printf("%s\n\n", "Asian Call :");
else if (putnum == Nag_Put)
printf("%s\n\n", "Asian Put :");
printf("  Spot          = %8.4f\n", s);
printf("  Volatility    = %8.4f\n", sigma);
printf("  Rate          = %8.4f\n", r);
printf("  Cost of carry = %8.4f\n", b);
printf("\n");
for (j = 1; j <= n; j++) {
printf("\n  Time to Expiry :    %8.4f\n", t[j - 1]);
printf("  Strike    Price    Delta    Gamma     Vega    "
"Theta      Rho     CRho\n");
for (i = 1; i <= m; i++)
printf("%8.4f %8.4f %8.4f %8.4f %8.4f %8.4f %8.4f %8.4f\n", x[i - 1],
P(i, j), DELTA(i, j), GAMMA(i, j), VEGA(i, j), THETA(i, j),
RHO(i, j), CRHO(i, j));
printf("                     Vanna    Charm    Speed   "
"Colour    Zomma    Vomma\n");
for (i = 1; i <= m; i++)
printf("%26.4f %8.4f %8.4f %8.4f %8.4f %8.4f\n", VANNA(i, j), CHARM(i, j),
SPEED(i, j), COLOUR(i, j), ZOMMA(i, j), VOMMA(i, j));
}

END:
NAG_FREE(charm);
NAG_FREE(colour);
NAG_FREE(crho);
NAG_FREE(delta);
NAG_FREE(gamma);
NAG_FREE(p);
NAG_FREE(rho);
NAG_FREE(speed);
NAG_FREE(t);
NAG_FREE(theta);
NAG_FREE(vanna);
NAG_FREE(vega);
NAG_FREE(vomma);
NAG_FREE(x);
NAG_FREE(zomma);

return exit_status;
}
```