NAG Library Manual, Mark 30
Interfaces:  FL   CL   CPP   AD 

NAG FL Interface Introduction
Example description

 D03NCF Example Program Results


 Option Values
 -------------
   Stock Price  |   Time to Maturity (months)
                |   5.0000E+00  4.5000E+00  4.0000E+00  3.5000E+00
  -----------------------------------------------------------------
   0.0000E+00   |   5.0000E+01  5.0000E+01  5.0000E+01  5.0000E+01
   5.0000E+00   |   4.5000E+01  4.5000E+01  4.5000E+01  4.5000E+01
   1.0000E+01   |   4.0000E+01  4.0000E+01  4.0000E+01  4.0000E+01
   1.5000E+01   |   3.5000E+01  3.5000E+01  3.5000E+01  3.5000E+01
   2.0000E+01   |   3.0000E+01  3.0000E+01  3.0000E+01  3.0000E+01
   2.5000E+01   |   2.5000E+01  2.5000E+01  2.5000E+01  2.5000E+01
   3.0000E+01   |   2.0000E+01  2.0000E+01  2.0000E+01  2.0000E+01
   3.5000E+01   |   1.5000E+01  1.5000E+01  1.5000E+01  1.5000E+01
   4.0000E+01   |   1.0154E+01  1.0096E+01  1.0046E+01  1.0012E+01
   4.5000E+01   |   6.5848E+00  6.4424E+00  6.2916E+00  6.1306E+00
   5.0000E+01   |   4.0672E+00  3.8785E+00  3.6729E+00  3.4463E+00
   5.5000E+01   |   2.4264E+00  2.2423E+00  2.0454E+00  1.8336E+00
   6.0000E+01   |   1.4174E+00  1.2662E+00  1.1096E+00  9.4813E-01
   6.5000E+01   |   8.1951E-01  7.0724E-01  5.9532E-01  4.8515E-01
   7.0000E+01   |   4.7241E-01  3.9411E-01  3.1904E-01  2.4845E-01
   7.5000E+01   |   2.7257E-01  2.2016E-01  1.7174E-01  1.2815E-01
   8.0000E+01   |   1.5725E-01  1.2328E-01  9.2935E-02  6.6682E-02
   8.5000E+01   |   8.9662E-02  6.8478E-02  5.0100E-02  3.4731E-02
   9.0000E+01   |   4.8449E-02  3.6251E-02  2.5901E-02  1.7469E-02
   9.5000E+01   |   2.1100E-02  1.5584E-02  1.0968E-02  7.2680E-03
   1.0000E+02   |   0.0000E+00  0.0000E+00  0.0000E+00  0.0000E+00

 Theta
 -----
   Stock Price  |   Time to Maturity (months)
                |   5.0000E+00  4.5000E+00  4.0000E+00  3.5000E+00
  -----------------------------------------------------------------
   0.0000E+00   |   0.0000E+00  0.0000E+00  0.0000E+00  0.0000E+00
   5.0000E+00   |   0.0000E+00  0.0000E+00  0.0000E+00  0.0000E+00
   1.0000E+01   |   0.0000E+00  0.0000E+00  0.0000E+00  0.0000E+00
   1.5000E+01   |   0.0000E+00  0.0000E+00  0.0000E+00  0.0000E+00
   2.0000E+01   |   0.0000E+00  0.0000E+00  0.0000E+00  0.0000E+00
   2.5000E+01   |   0.0000E+00  0.0000E+00  0.0000E+00  0.0000E+00
   3.0000E+01   |   0.0000E+00  0.0000E+00  0.0000E+00  0.0000E+00
   3.5000E+01   |   0.0000E+00  0.0000E+00  0.0000E+00  0.0000E+00
   4.0000E+01   |  -1.4043E+00 -1.1857E+00 -8.3285E-01 -2.8064E-01
   4.5000E+01   |  -3.4185E+00 -3.6183E+00 -3.8646E+00 -4.1880E+00
   5.0000E+01   |  -4.5285E+00 -4.9339E+00 -5.4387E+00 -6.0796E+00
   5.5000E+01   |  -4.4165E+00 -4.7277E+00 -5.0821E+00 -5.4821E+00
   6.0000E+01   |  -3.6294E+00 -3.7585E+00 -3.8748E+00 -3.9632E+00
   6.5000E+01   |  -2.6946E+00 -2.6860E+00 -2.6441E+00 -2.5561E+00
   7.0000E+01   |  -1.8790E+00 -1.8018E+00 -1.6941E+00 -1.5505E+00
   7.5000E+01   |  -1.2578E+00 -1.1621E+00 -1.0461E+00 -9.0969E-01
   8.0000E+01   |  -8.1539E-01 -7.2821E-01 -6.3006E-01 -5.2314E-01
   8.5000E+01   |  -5.0841E-01 -4.4106E-01 -3.6887E-01 -2.9433E-01
   9.0000E+01   |  -2.9276E-01 -2.4840E-01 -2.0237E-01 -1.5656E-01
   9.5000E+01   |  -1.3237E-01 -1.1079E-01 -8.8802E-02 -6.7378E-02
   1.0000E+02   |   0.0000E+00  0.0000E+00  0.0000E+00  0.0000E+00

 Delta
 -----
   Stock Price  |   Time to Maturity (months)
                |   5.0000E+00  4.5000E+00  4.0000E+00  3.5000E+00
  -----------------------------------------------------------------
   0.0000E+00   |  -1.0000E+00 -1.0000E+00 -1.0000E+00 -1.0000E+00
   5.0000E+00   |  -1.0000E+00 -1.0000E+00 -1.0000E+00 -1.0000E+00
   1.0000E+01   |  -1.0000E+00 -1.0000E+00 -1.0000E+00 -1.0000E+00
   1.5000E+01   |  -1.0000E+00 -1.0000E+00 -1.0000E+00 -1.0000E+00
   2.0000E+01   |  -1.0000E+00 -1.0000E+00 -1.0000E+00 -1.0000E+00
   2.5000E+01   |  -1.0000E+00 -1.0000E+00 -1.0000E+00 -1.0000E+00
   3.0000E+01   |  -1.0000E+00 -1.0000E+00 -1.0000E+00 -1.0000E+00
   3.5000E+01   |  -9.8457E-01 -9.9042E-01 -9.9536E-01 -9.9883E-01
   4.0000E+01   |  -8.4152E-01 -8.5576E-01 -8.7084E-01 -8.8694E-01
   4.5000E+01   |  -6.0871E-01 -6.2173E-01 -6.3735E-01 -6.5654E-01
   5.0000E+01   |  -4.1584E-01 -4.2000E-01 -4.2463E-01 -4.2970E-01
   5.5000E+01   |  -2.6498E-01 -2.6123E-01 -2.5633E-01 -2.4982E-01
   6.0000E+01   |  -1.6069E-01 -1.5351E-01 -1.4500E-01 -1.3485E-01
   6.5000E+01   |  -9.4501E-02 -8.7208E-02 -7.9055E-02 -6.9969E-02
   7.0000E+01   |  -5.4694E-02 -4.8708E-02 -4.2358E-02 -3.5699E-02
   7.5000E+01   |  -3.1515E-02 -2.7084E-02 -2.2610E-02 -1.8177E-02
   8.0000E+01   |  -1.8291E-02 -1.5168E-02 -1.2164E-02 -9.3423E-03
   8.5000E+01   |  -1.0880E-02 -8.7026E-03 -6.7034E-03 -4.9214E-03
   9.0000E+01   |  -6.8562E-03 -5.2894E-03 -3.9132E-03 -2.7463E-03
   9.5000E+01   |  -4.8449E-03 -3.6251E-03 -2.5901E-03 -1.7469E-03
   1.0000E+02   |  -4.2199E-03 -3.1168E-03 -2.1936E-03 -1.4536E-03

 Gamma
 -----
   Stock Price  |   Time to Maturity (months)
                |   5.0000E+00  4.5000E+00  4.0000E+00  3.5000E+00
  -----------------------------------------------------------------
   0.0000E+00   |   0.0000E+00  0.0000E+00  0.0000E+00  0.0000E+00
   5.0000E+00   |   0.0000E+00  0.0000E+00  0.0000E+00  0.0000E+00
   1.0000E+01   |   0.0000E+00  0.0000E+00  0.0000E+00  0.0000E+00
   1.5000E+01   |   0.0000E+00  0.0000E+00  0.0000E+00  0.0000E+00
   2.0000E+01   |   0.0000E+00  0.0000E+00  0.0000E+00  0.0000E+00
   2.5000E+01   |   0.0000E+00  0.0000E+00  0.0000E+00  0.0000E+00
   3.0000E+01   |   0.0000E+00  0.0000E+00  0.0000E+00  0.0000E+00
   3.5000E+01   |   6.1726E-03  3.8321E-03  1.8558E-03  4.6773E-04
   4.0000E+01   |   5.1047E-02  5.0031E-02  4.7953E-02  4.4288E-02
   4.5000E+01   |   4.2075E-02  4.3582E-02  4.5444E-02  4.7873E-02
   5.0000E+01   |   3.5072E-02  3.7109E-02  3.9646E-02  4.2863E-02
   5.5000E+01   |   2.5275E-02  2.6400E-02  2.7671E-02  2.9089E-02
   6.0000E+01   |   1.6442E-02  1.6688E-02  1.6860E-02  1.6900E-02
   6.5000E+01   |   1.0032E-02  9.8331E-03  9.5193E-03  9.0515E-03
   7.0000E+01   |   5.8907E-03  5.5669E-03  5.1595E-03  4.6562E-03
   7.5000E+01   |   3.3809E-03  3.0827E-03  2.7396E-03  2.3529E-03
   8.0000E+01   |   1.9091E-03  1.6834E-03  1.4388E-03  1.1808E-03
   8.5000E+01   |   1.0551E-03  9.0291E-04  7.4543E-04  5.8760E-04
   9.0000E+01   |   5.5449E-04  4.6239E-04  3.7065E-04  2.8244E-04
   9.5000E+01   |   2.5001E-04  2.0330E-04  1.5859E-04  1.1731E-04
   1.0000E+02   |   0.0000E+00  0.0000E+00  0.0000E+00  0.0000E+00

 Lambda
 ------
   Stock Price  |   Time to Maturity (months)
                |   5.0000E+00  4.5000E+00  4.0000E+00  3.5000E+00
  -----------------------------------------------------------------
   0.0000E+00   |   0.0000E+00  0.0000E+00  0.0000E+00  0.0000E+00
   5.0000E+00   |   0.0000E+00  0.0000E+00  0.0000E+00  0.0000E+00
   1.0000E+01   |   0.0000E+00  0.0000E+00  0.0000E+00  0.0000E+00
   1.5000E+01   |   0.0000E+00  0.0000E+00  0.0000E+00  0.0000E+00
   2.0000E+01   |   0.0000E+00  0.0000E+00  0.0000E+00  0.0000E+00
   2.5000E+01   |   0.0000E+00  0.0000E+00  0.0000E+00  0.0000E+00
   3.0000E+01   |   0.0000E+00  0.0000E+00  0.0000E+00  0.0000E+00
   3.5000E+01   |   0.0000E+00  0.0000E+00  0.0000E+00  0.0000E+00
   4.0000E+01   |   6.3243E+00  5.1893E+00  3.8089E+00  2.1118E+00
   4.5000E+01   |   1.0721E+01  9.9718E+00  9.2140E+00  8.4953E+00
   5.0000E+01   |   1.2381E+01  1.1807E+01  1.1228E+01  1.0636E+01
   5.5000E+01   |   1.1483E+01  1.0837E+01  1.0142E+01  9.3795E+00
   6.0000E+01   |   9.3227E+00  8.5840E+00  7.7870E+00  6.9211E+00
   6.5000E+01   |   6.9621E+00  6.2206E+00  5.4412E+00  4.6264E+00
   7.0000E+01   |   4.9268E+00  4.2651E+00  3.5937E+00  2.9227E+00
   7.5000E+01   |   3.3602E+00  2.8204E+00  2.2920E+00  1.7866E+00
   8.0000E+01   |   2.2221E+00  1.8126E+00  1.4248E+00  1.0683E+00
   8.5000E+01   |   1.4122E+00  1.1240E+00  8.5856E-01  6.2248E-01
   9.0000E+01   |   8.2686E-01  6.4587E-01  4.8252E-01  3.4083E-01
   9.5000E+01   |   3.7891E-01  2.9252E-01  2.1553E-01  1.4976E-01
   1.0000E+02   |   0.0000E+00  0.0000E+00  0.0000E+00  0.0000E+00

 Rho
 ---
   Stock Price  |   Time to Maturity (months)
                |   5.0000E+00  4.5000E+00  4.0000E+00  3.5000E+00
  -----------------------------------------------------------------
   0.0000E+00   |   0.0000E+00  0.0000E+00  0.0000E+00  0.0000E+00
   5.0000E+00   |   0.0000E+00  0.0000E+00  0.0000E+00  0.0000E+00
   1.0000E+01   |   0.0000E+00  0.0000E+00  0.0000E+00  0.0000E+00
   1.5000E+01   |   0.0000E+00  0.0000E+00  0.0000E+00  0.0000E+00
   2.0000E+01   |   0.0000E+00  0.0000E+00  0.0000E+00  0.0000E+00
   2.5000E+01   |   0.0000E+00  0.0000E+00  0.0000E+00  0.0000E+00
   3.0000E+01   |   0.0000E+00  0.0000E+00  0.0000E+00  0.0000E+00
   3.5000E+01   |   0.0000E+00  0.0000E+00  0.0000E+00  0.0000E+00
   4.0000E+01   |  -7.1918E+00 -6.0114E+00 -4.5204E+00 -2.5855E+00
   4.5000E+01   |  -8.4541E+00 -7.6378E+00 -6.8479E+00 -6.1657E+00
   5.0000E+01   |  -7.5988E+00 -6.9323E+00 -6.2879E+00 -5.6707E+00
   5.5000E+01   |  -5.8905E+00 -5.2837E+00 -4.6809E+00 -4.0772E+00
   6.0000E+01   |  -4.1854E+00 -3.6547E+00 -3.1306E+00 -2.6135E+00
   6.5000E+01   |  -2.8221E+00 -2.3904E+00 -1.9743E+00 -1.5775E+00
   7.0000E+01   |  -1.8437E+00 -1.5137E+00 -1.2055E+00 -9.2283E-01
   7.5000E+01   |  -1.1812E+00 -9.4071E-01 -7.2326E-01 -5.3162E-01
   8.0000E+01   |  -7.4513E-01 -5.7680E-01 -4.2921E-01 -3.0383E-01
   8.5000E+01   |  -4.5907E-01 -3.4659E-01 -2.5060E-01 -1.7161E-01
   9.0000E+01   |  -2.6550E-01 -1.9656E-01 -1.3892E-01 -9.2652E-02
   9.5000E+01   |  -1.2280E-01 -8.9807E-02 -6.2569E-02 -4.1033E-02
   1.0000E+02   |   0.0000E+00  0.0000E+00  0.0000E+00  0.0000E+00