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

NAG FL Interface Introduction
Example description

 D03NDF 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   |   0.0000E+00  0.0000E+00  0.0000E+00  0.0000E+00
   5.0000E+00   |   4.4491E-19  4.5989E-21  1.5461E-23  1.0478E-26
   1.0000E+01   |   5.5566E-10  5.5129E-11  3.1298E-12  8.0281E-14
   1.5000E+01   |   4.7337E-06  1.2187E-06  2.2774E-07  2.7003E-08
   2.0000E+01   |   7.2236E-04  3.1054E-04  1.1005E-04  2.9678E-05
   2.5000E+01   |   1.6557E-02  9.6610E-03  5.0099E-03  2.2012E-03
   3.0000E+01   |   1.3307E-01  9.4037E-02  6.1869E-02  3.6848E-02
   3.5000E+01   |   5.6631E-01  4.5257E-01  3.4667E-01  2.5053E-01
   4.0000E+01   |   1.6004E+00  1.3850E+00  1.1699E+00  9.5640E-01
   4.5000E+01   |   3.4384E+00  3.1328E+00  2.8168E+00  2.4891E+00
   5.0000E+01   |   6.1165E+00  5.7600E+00  5.3874E+00  4.9960E+00
   5.5000E+01   |   9.5300E+00  9.1645E+00  8.7846E+00  8.3882E+00
   6.0000E+01   |   1.3509E+01  1.3163E+01  1.2808E+01  1.2445E+01
   6.5000E+01   |   1.7883E+01  1.7568E+01  1.7251E+01  1.6932E+01
   7.0000E+01   |   2.2513E+01  2.2230E+01  2.1949E+01  2.1671E+01
   7.5000E+01   |   2.7301E+01  2.7045E+01  2.6792E+01  2.6544E+01
   8.0000E+01   |   3.2182E+01  3.1946E+01  3.1713E+01  3.1485E+01
   8.5000E+01   |   3.7117E+01  3.6894E+01  3.6674E+01  3.6458E+01
   9.0000E+01   |   4.2081E+01  4.1868E+01  4.1656E+01  4.1446E+01
   9.5000E+01   |   4.7062E+01  4.6854E+01  4.6647E+01  4.6441E+01
   1.0000E+02   |   5.2052E+01  5.1847E+01  5.1643E+01  5.1439E+01

 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   |  -4.4017E-17 -5.5977E-19 -2.3735E-21 -2.0936E-24
   1.0000E+01   |  -2.7827E-08 -3.3857E-09 -2.4163E-10 -8.0398E-12
   1.5000E+01   |  -1.3953E-04 -4.3864E-05 -1.0258E-05 -1.5706E-06
   2.0000E+01   |  -1.3287E-02 -6.9342E-03 -3.0567E-03 -1.0576E-03
   2.5000E+01   |  -1.9512E-01 -1.3714E-01 -8.7730E-02 -4.9018E-02
   3.0000E+01   |  -1.0161E+00 -8.5596E-01 -6.8695E-01 -5.1395E-01
   3.5000E+01   |  -2.8112E+00 -2.6426E+00 -2.4328E+00 -2.1723E+00
   4.0000E+01   |  -5.1662E+00 -5.1709E+00 -5.1500E+00 -5.0892E+00
   4.5000E+01   |  -7.2196E+00 -7.4540E+00 -7.7180E+00 -8.0183E+00
   5.0000E+01   |  -8.3848E+00 -8.7388E+00 -9.1543E+00 -9.6525E+00
   5.5000E+01   |  -8.6152E+00 -8.9372E+00 -9.3056E+00 -9.7329E+00
   6.0000E+01   |  -8.2058E+00 -8.4077E+00 -8.6186E+00 -8.8343E+00
   6.5000E+01   |  -7.5116E+00 -7.5845E+00 -7.6368E+00 -7.6553E+00
   7.0000E+01   |  -6.7905E+00 -6.7711E+00 -6.7202E+00 -6.6262E+00
   7.5000E+01   |  -6.1758E+00 -6.1099E+00 -6.0160E+00 -5.8893E+00
   8.0000E+01   |  -5.7084E+00 -5.6310E+00 -5.5359E+00 -5.4234E+00
   8.5000E+01   |  -5.3786E+00 -5.3103E+00 -5.2340E+00 -5.1533E+00
   9.0000E+01   |  -5.1582E+00 -5.1071E+00 -5.0551E+00 -5.0062E+00
   9.5000E+01   |  -5.0165E+00 -4.9835E+00 -4.9536E+00 -4.9298E+00
   1.0000E+02   |  -4.9281E+00 -4.9107E+00 -4.8979E+00 -4.8916E+00

 Delta
 -----
   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   |   3.1381E-18  3.5969E-20  1.3576E-22  1.0494E-25
   1.0000E+01   |   1.4005E-09  1.5376E-10  9.7805E-12  2.8553E-13
   1.5000E+01   |   6.1418E-06  1.7452E-06  3.6436E-07  4.9030E-08
   2.0000E+01   |   5.6040E-04  2.6494E-04  1.0451E-04  3.1863E-05
   2.5000E+01   |   8.3312E-03  5.3217E-03  3.0570E-03  1.5104E-03
   3.0000E+01   |   4.5711E-02  3.5158E-02  2.5461E-02  1.6934E-02
   3.5000E+01   |   1.3765E-01  1.1889E-01  9.9459E-02  7.9557E-02
   4.0000E+01   |   2.8307E-01  2.6258E-01  2.3996E-01  2.1479E-01
   4.5000E+01   |   4.5320E-01  4.3858E-01  4.2214E-01  4.0335E-01
   5.0000E+01   |   6.1427E-01  6.0856E-01  6.0249E-01  5.9601E-01
   5.5000E+01   |   7.4525E-01  7.4687E-01  7.4937E-01  7.5308E-01
   6.0000E+01   |   8.4052E-01  8.4611E-01  8.5298E-01  8.6148E-01
   6.5000E+01   |   9.0433E-01  9.1096E-01  9.1862E-01  9.2752E-01
   7.0000E+01   |   9.4449E-01  9.5045E-01  9.5699E-01  9.6412E-01
   7.5000E+01   |   9.6862E-01  9.7325E-01  9.7808E-01  9.8300E-01
   8.0000E+01   |   9.8260E-01  9.8589E-01  9.8913E-01  9.9221E-01
   8.5000E+01   |   9.9050E-01  9.9269E-01  9.9473E-01  9.9653E-01
   9.0000E+01   |   9.9487E-01  9.9627E-01  9.9748E-01  9.9848E-01
   9.5000E+01   |   9.9725E-01  9.9811E-01  9.9881E-01  9.9935E-01
   1.0000E+02   |   9.9854E-01  9.9905E-01  9.9945E-01  9.9972E-01

 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   |   2.1246E-17  2.7112E-19  1.1536E-21  1.0211E-24
   1.0000E+01   |   3.3102E-09  4.0468E-10  2.9020E-11  9.7029E-13
   1.5000E+01   |   7.2660E-06  2.2982E-06  5.4080E-07  8.3319E-08
   2.0000E+01   |   3.8245E-04  2.0111E-04  8.9333E-05  3.1153E-05
   2.5000E+01   |   3.5190E-03  2.4960E-03  1.6118E-03  9.0924E-04
   3.0000E+01   |   1.2392E-02  1.0554E-02  8.5660E-03  6.4838E-03
   3.5000E+01   |   2.4348E-02  2.3181E-02  2.1626E-02  1.9580E-02
   4.0000E+01   |   3.2765E-02  3.3274E-02  3.3650E-02  3.3795E-02
   4.5000E+01   |   3.4099E-02  3.5763E-02  3.7655E-02  3.9828E-02
   5.0000E+01   |   2.9625E-02  3.1360E-02  3.3403E-02  3.5860E-02
   5.5000E+01   |   2.2600E-02  2.3743E-02  2.5052E-02  2.6569E-02
   6.0000E+01   |   1.5672E-02  1.6137E-02  1.6603E-02  1.7048E-02
   6.5000E+01   |   1.0123E-02  1.0119E-02  1.0032E-02  9.8216E-03
   7.0000E+01   |   6.1999E-03  5.9720E-03  5.6534E-03  5.2154E-03
   7.5000E+01   |   3.6474E-03  3.3666E-03  3.0215E-03  2.6027E-03
   8.0000E+01   |   2.0815E-03  1.8329E-03  1.5510E-03  1.2387E-03
   8.5000E+01   |   1.1610E-03  9.7196E-04  7.7211E-04  5.6851E-04
   9.0000E+01   |   6.3660E-04  5.0529E-04  3.7553E-04  2.5382E-04
   9.5000E+01   |   3.4468E-04  2.5884E-04  1.7950E-04  1.1099E-04
   1.0000E+02   |   1.8494E-04  1.3118E-04  8.4708E-05  4.7786E-05

 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   |   8.8525E-17  1.0167E-18  3.8453E-21  2.9781E-24
   1.0000E+01   |   5.5171E-08  6.0702E-09  3.8694E-10  1.1320E-11
   1.5000E+01   |   2.7247E-04  7.7565E-05  1.6224E-05  2.1871E-06
   2.0000E+01   |   2.5496E-02  1.2066E-02  4.7644E-03  1.4538E-03
   2.5000E+01   |   3.6656E-01  2.3400E-01  1.3431E-01  6.6299E-02
   3.0000E+01   |   1.8588E+00  1.4248E+00  1.0279E+00  6.8080E-01
   3.5000E+01   |   4.9710E+00  4.2595E+00  3.5323E+00  2.7983E+00
   4.0000E+01   |   8.7374E+00  7.9857E+00  7.1787E+00  6.3084E+00
   4.5000E+01   |   1.1508E+01  1.0863E+01  1.0167E+01  9.4094E+00
   5.0000E+01   |   1.2344E+01  1.1760E+01  1.1134E+01  1.0459E+01
   5.5000E+01   |   1.1394E+01  1.0773E+01  1.0104E+01  9.3768E+00
   6.0000E+01   |   9.4033E+00  8.7137E+00  7.9693E+00  7.1602E+00
   6.5000E+01   |   7.1285E+00  6.4127E+00  5.6514E+00  4.8412E+00
   7.0000E+01   |   5.0632E+00  4.3894E+00  3.6936E+00  2.9815E+00
   7.5000E+01   |   3.4194E+00  2.8406E+00  2.2661E+00  1.7080E+00
   8.0000E+01   |   2.2203E+00  1.7596E+00  1.3235E+00  9.2488E-01
   8.5000E+01   |   1.3981E+00  1.0534E+00  7.4380E-01  4.7920E-01
   9.0000E+01   |   8.5941E-01  6.1393E-01  4.0558E-01  2.3986E-01
   9.5000E+01   |   5.1846E-01  3.5040E-01  2.1600E-01  1.1686E-01
   1.0000E+02   |   3.0824E-01  1.9677E-01  1.1294E-01  5.5750E-02

 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   |   6.3524E-18  6.5717E-20  2.2112E-22  1.4997E-25
   1.0000E+01   |   5.6040E-09  5.5594E-10  3.1558E-11  8.0937E-13
   1.5000E+01   |   3.6414E-05  9.3595E-06  1.7459E-06  2.0663E-07
   2.0000E+01   |   4.3690E-03  1.8706E-03  6.6008E-04  1.7721E-04
   2.5000E+01   |   7.9884E-02  4.6268E-02  2.3805E-02  1.0371E-02
   3.0000E+01   |   5.1594E-01  3.6026E-01  2.3399E-01  1.3743E-01
   3.5000E+01   |   1.7715E+00  1.3907E+00  1.0448E+00  7.3907E-01
   4.0000E+01   |   4.0509E+00  3.4193E+00  2.8095E+00  2.2269E+00
   4.5000E+01   |   7.0648E+00  6.2263E+00  5.3932E+00  4.5679E+00
   5.0000E+01   |   1.0249E+01  9.2505E+00  8.2458E+00  7.2346E+00
   5.5000E+01   |   1.3108E+01  1.1967E+01  1.0810E+01  9.6342E+00
   6.0000E+01   |   1.5384E+01  1.4101E+01  1.2790E+01  1.1446E+01
   6.5000E+01   |   1.7041E+01  1.5617E+01  1.4153E+01  1.2646E+01
   7.0000E+01   |   1.8167E+01  1.6613E+01  1.5013E+01  1.3363E+01
   7.5000E+01   |   1.8894E+01  1.7231E+01  1.5521E+01  1.3761E+01
   8.0000E+01   |   1.9344E+01  1.7597E+01  1.5806E+01  1.3969E+01
   8.5000E+01   |   1.9615E+01  1.7807E+01  1.5959E+01  1.4072E+01
   9.0000E+01   |   1.9774E+01  1.7924E+01  1.6039E+01  1.4122E+01
   9.5000E+01   |   1.9865E+01  1.7987E+01  1.6080E+01  1.4145E+01
   1.0000E+02   |   1.9917E+01  1.8022E+01  1.6101E+01  1.4156E+01